FN Thomson Reuters Web of Science™ VR 1.0 PT J AU Orrenius, PM AF Orrenius, Pia M. TI Immigration Economics SO MIGRATION STUDIES LA English DT Book Review ID LABOR-MARKET; IMPACT C1 [Orrenius, Pia M.] Fed Reserve Bank Dallas, Dallas, TX USA. RP Orrenius, PM (reprint author), Fed Reserve Bank Dallas, Dallas, TX USA. NR 7 TC 0 Z9 0 U1 1 U2 2 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 2049-5838 EI 2049-5846 J9 MIGR STUD JI Migr. Stud. PD NOV PY 2015 VL 3 IS 3 BP 467 EP 469 DI 10.1093/migration/mnv011 PG 4 WC Demography SC Demography GA DE3MN UT WOS:000370533700011 ER PT J AU Atkeson, AG Eisfeldt, AL Weill, PO AF Atkeson, Andrew G. Eisfeldt, Andrea L. Weill, Pierre-Olivier TI ENTRY AND EXIT IN OTC DERIVATIVES MARKETS SO ECONOMETRICA LA English DT Article DE OTC markets; derivatives; search; entry and exit ID CONTAGION; SEARCH AB We develop a parsimonious model to study the equilibrium and socially optimal decisions of banks to enter, trade in, and possibly exit, an OTC market. Although we endow all banks with the same trading technology, banks' optimal entry and trading decisions endogenously lead to a realistic market structure composed of dealers and customers with distinct trading patterns. We decompose banks' entry incentives into incentives to hedge risk and incentives to make intermediation profits. We show that dealer banks enter more than is socially optimal. In the face of large negative shocks, they may also exit more than is socially optimal when markets are not perfectly resilient. C1 [Atkeson, Andrew G.] Univ Calif Los Angeles, Dept Econ, Bunche Hall 9379,POB 951477, Los Angeles, CA USA. [Atkeson, Andrew G.; Eisfeldt, Andrea L.; Weill, Pierre-Olivier] NBER, Cambridge, MA 02138 USA. [Atkeson, Andrew G.] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Eisfeldt, Andrea L.] Univ Calif Los Angeles, Anderson Sch Management, Finance Area, 110 Westwood Plaza,Suite C4-10, Los Angeles, CA 90095 USA. [Weill, Pierre-Olivier] Univ Calif Los Angeles, Dept Econ, Bunche Hall 8355,POB 951477, Los Angeles, CA 90095 USA. [Weill, Pierre-Olivier] CEPR, Washington, DC 20009 USA. RP Atkeson, AG (reprint author), Univ Calif Los Angeles, Dept Econ, Bunche Hall 9379,POB 951477, Los Angeles, CA USA.; Atkeson, AG; Eisfeldt, AL; Weill, PO (reprint author), NBER, Cambridge, MA 02138 USA.; Atkeson, AG (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA.; Eisfeldt, AL (reprint author), Univ Calif Los Angeles, Anderson Sch Management, Finance Area, 110 Westwood Plaza,Suite C4-10, Los Angeles, CA 90095 USA.; Weill, PO (reprint author), Univ Calif Los Angeles, Dept Econ, Bunche Hall 8355,POB 951477, Los Angeles, CA 90095 USA.; Weill, PO (reprint author), CEPR, Washington, DC 20009 USA. EM andy@atkeson.net; andrea.eisfeldt@anderson.ucla.edu; poweill@econ.ucla.edu FU Bank of France; Fink Center for Finance and Investments; Ziman Center for Real Estate FX We would like to thank, for fruitful comments and suggestions, the co-editor, three referees, as well as Gara Afonso, Saki Bigio, Briana Chang, Jean-Edouard Colliard, Darrell Duffie, Ben Lester, Gustavo Manso, TylerMuir, Martin Oehmke, Ioanid Rosu, Tano Santos, Daniel Sanches, Martin Schneider, Shouyong Shi, Randy Wright, Pierre Yared, and numerous seminar audiences. Patrick Kiefer, Pierre Mabille, Omair Syed, Alfredo Reyes, and Semih Uslu provided expert research assistance. We thank the Bank of France, the Fink Center for Finance and Investments, and the Ziman Center for Real Estate for financial support. Part of this project was completed when Pierre-Olivier Weill was a visiting Professor at the Paris School of Economics, whose hospitality is gratefully acknowledged. All errors are ours. NR 25 TC 1 Z9 1 U1 4 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0012-9682 EI 1468-0262 J9 ECONOMETRICA JI Econometrica PD NOV PY 2015 VL 83 IS 6 BP 2231 EP 2292 DI 10.3982/ECTA11477 PG 62 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA DB3IW UT WOS:000368405400004 ER PT J AU Kim, YJ Tesar, LL Zhang, J AF Kim, Yun Jung Tesar, Linda L. Zhang, Jing TI D The impact of foreign liabilities on small firms: Firm-level evidence from the Korean crisis SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Financial crisis; Firm-level data; Balance-sheet effects; Korean economy ID FINANCIAL CRISIS; BALANCE SHEETS; CURRENCY; DETERMINANTS; INVESTMENT; EXPOSURE; INDUSTRY; POLICY; DEBT AB Using Korean firm-level data on publicly-listed and privately-held firms together with firm exit data, we find strong evidence that holdings of foreign-currency denominated debt negatively affected the economic performance of small firms during the 1997-98 crisis. The large exchange rate depreciation that occurred during the crisis resulted in a decline in net worth for firms with foreign-currency denominated debt on their balance sheets. Small firms with more short-term foreign debt were more likely to declare bankruptcy. Conditional on surviving the crisis, small firms that had more short-term foreign debt experienced larger declines in sales. The exit (bankruptcy) margin accounts for a large fraction of small firms' adjustment during the crisis. (C) 2015 Elsevier By. All rights reserved. C1 [Kim, Yun Jung] Sogang Univ, Seoul, South Korea. [Tesar, Linda L.] Univ Michigan, Ann Arbor, MI 48109 USA. [Tesar, Linda L.] NBER, Cambridge, MA 02138 USA. [Zhang, Jing] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Zhang, J (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM yunjungk@sogang.ac.kr; ltesar@umich.edu; jzhangzn@gmail.com FU National Research Foundation of Korea grant - Korean Government [NRF-2013S1A5A8023475] FX The authors would like to thank Chris House, Andrei Levchenko, Kathryn Dominguez, Amy Dittmar, and participants of seminars at the University of Michigan, the Australian National University, Sciences Po and the 2013 Economics Joint Conference in Korea. This work was supported by the National Research Foundation of Korea grant funded by the Korean Government (NRF-2013S1A5A8023475). NR 34 TC 1 Z9 1 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD NOV PY 2015 VL 97 IS 2 BP 209 EP 230 DI 10.1016/j.jinteco.2015.05.006 PG 22 WC Economics SC Business & Economics GA DA3KZ UT WOS:000367696900001 ER PT J AU Wang, J Wang, X AF Wang, Jian Wang, Xiao TI Benefits of foreign ownership: Evidence from foreign direct investment in China SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Foreign direct investment; Firm productivity; Financial constraints; Mergers and acquisitions; Difference in differences; Propensity score matching ID MATCHING ESTIMATORS; PRODUCTIVITY GROWTH; LEVEL; MARKET; TRADE; HETEROGENEITY; SPILLOVERS; MERGERS; EXPORT; FIRMS AB To examine the effect of foreign direct investment, this paper compares the post-acquisition performance changes of foreign- and domestic-acquired firms in China. Unlike previous studies, we investigate the purified effect of foreign ownership by using domestic-acquired firms as the control group. After controlling for the acquisition effect that exists in domestic acquisitions, we find no evidence that foreign ownership can bring additional productivity gains to target firms, though both foreign and domestic acquisitions bring productivity improvements to target firms. In contrast, a strong and robust finding is that foreign ownership significantly improves target firms' financial conditions and exports relative to domestic-acquired firms. Foreign acquisition is also found to improve output, employment and wages for target firms. These findings conflict with the conventional view of productivity-driven FDI and highlight the financial channel through which FDI benefits the host countries. (C) 2015 Elsevier B.V. All rights reserved. C1 [Wang, Jian] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. [Wang, Xiao] Univ N Dakota, Grand Forks, ND 58202 USA. RP Wang, J (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. EM jian.wang@dal.frb.org; xiao.wang@business.und.edu FU National Natural Science Foundation of China [71473040] FX We thank Co-Editor Nina Pavcnik and two anonymous referees for their insightful comments. We also benefit from discussions with Sebnem Kalemli-Ozcan, Ashi Leblebicioglu, Jiao Shi, Nick Sly, Heiwai Tang, Chunyang Wang, Jianfeng Yu, Zhi Yu, Mehmet Ulu and participants at various seminars and conferences. We thank the National Natural Science Foundation of China (Grant number: 71473040) for financial support. All views are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of Dallas or the Federal Reserve System. NR 57 TC 2 Z9 2 U1 8 U2 16 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD NOV PY 2015 VL 97 IS 2 BP 325 EP 338 DI 10.1016/j.jinteco.2015.07.006 PG 14 WC Economics SC Business & Economics GA DA3KZ UT WOS:000367696900008 ER PT J AU Buch, CM Goldberg, LS AF Buch, Claudia M. Goldberg, Linda S. TI International Banking and Liquidity Risk Transmission: Lessons from Across Countries SO IMF ECONOMIC REVIEW LA English DT Article ID FINANCIAL CRISIS; SHOCKS EVIDENCE; CAPITAL REQUIREMENTS; GREAT RECESSION; EMERGING MARKET; FOREIGN BANKS; MINIMUM-WAGE; GLOBAL BANKS; MANAGEMENT; IMPACT AB Activities of international banks are at the core of discussions on the causes and effects of the global financial crisis. The International Banking Research Network (IBRN), established in 2012, brings together researchers from around the world with access to microdata on individual banks to investigate key issues. This paper summarizes the common methodology and results of case studies conducted in 11 countries to analyze the impact of liquidity shocks on bank lending, both domestic and foreign. Four main insights are established. First, liquidity conditions affecting parent banks transmit into both the domestic and foreign lending of these banks. Second, the ex ante balance sheet composition of banks and banks' business models influence their responses to liquidity risk. No single balance sheet characteristic consistently plays a role in liquidity risk transmission. Third, internal liquidity management within multinational banks can alter the domestic lending effects of liquidity risk. Fourth, the availability of official sector liquidity tends to reduce the adverse consequences of private liquidity conditions for bank lending during stress periods and to weaken the impact of bank balance sheet constraints. C1 [Buch, Claudia M.] Deutsch Bundesbank, Frankfurt, Germany. [Goldberg, Linda S.] Fed Reserve Bank New York, Financial Intermediat, New York, NY USA. RP Buch, CM (reprint author), Deutsch Bundesbank, Frankfurt, Germany. NR 63 TC 7 Z9 7 U1 6 U2 16 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PD NOV PY 2015 VL 63 IS 3 BP 377 EP 410 DI 10.1057/imfer.2015.29 PG 34 WC Business, Finance; Economics SC Business & Economics GA CZ6DF UT WOS:000367190700002 ER PT J AU Correa, R Goldberg, LS Rice, T AF Correa, Ricardo Goldberg, Linda S. Rice, Tara TI International Banking and Liquidity Risk Transmission: Evidence from the United States SO IMF ECONOMIC REVIEW LA English DT Article ID GREAT RECESSION; MANAGEMENT AB The balance sheet structure of U.S. banks influences how they respond to liquidity risks. We find the responses differ in fundamental ways across banks without foreign affiliates vs. those with foreign affiliates. Among banks without foreign affiliates, cross-sectional differences in response to liquidity risk depend on the banks' shares of core deposit funding, Tier 1 capital, and outstanding credit commitments. Among banks with foreign affiliates, the global banks, liquidity management strategies as reflected in internal borrowing and lending across the global organization matter. This intrabank borrowing serves as a shock absorber and affects lending growth to domestic and foreign customers. Across all banks, the use of official sector emergency liquidity facilities tends to reduce the importance of ex ante differences in balance sheets as drivers of cross-sectional differences in lending in response to market liquidity risks. C1 [Correa, Ricardo] Fed Reserve Board, Int Financial Stabil Sect, Washington, DC 20551 USA. [Goldberg, Linda S.] Fed Reserve Bank New York, Financial Intermediat, New York, NY USA. [Rice, Tara] Fed Reserve Board, Div Int Finance, New York, NY USA. RP Correa, R (reprint author), Fed Reserve Board, Int Financial Stabil Sect, Washington, DC 20551 USA. NR 6 TC 1 Z9 1 U1 2 U2 3 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PD NOV PY 2015 VL 63 IS 3 BP 626 EP 643 DI 10.1057/imfer.2015.28 PG 18 WC Business, Finance; Economics SC Business & Economics GA CZ6DF UT WOS:000367190700013 ER PT J AU Park, YH AF Park, Yang-Ho TI Volatility-of-volatility and tail risk hedging returns SO JOURNAL OF FINANCIAL MARKETS LA English DT Article DE VVIX; Tail risk; Rare disaster; Model uncertainty; Option returns; VIX options ID EXPECTED STOCK RETURNS; VARIABLE RARE DISASTERS; STOCHASTIC VOLATILITY; REALIZED VOLATILITY; IMPLIED VOLATILITY; MARKET VOLATILITY; LIQUIDITY RISK; OPTION RETURNS; TIME-SERIES; 10 PUZZLES AB This paper reports that the volatility-of-volatility implied by VIX options has predictability for tail risk hedging returns. Specifically, an increase in the volatility-of-volatility as measured by the VVIX index raises current prices of tail risk hedging options, such as S&P 500 puts and VIX calls, and lowers their subsequent returns over the next three to four weeks. The results are robust to jump risk, skewness, kurtosis, option liquidity, variance risk premium, and limit of arbitrage. The predictability can be explained by either risk premiums for a time-varying crash risk factor or uncertainty premiums for a time-varying uncertain belief in volatility. Published by Elsevier B.V. C1 [Park, Yang-Ho] Fed Reserve Syst, Board Governors, Risk Anal Sect, Washington, DC 20551 USA. RP Park, YH (reprint author), Fed Reserve Syst, Board Governors, Risk Anal Sect, 20th & C St NW, Washington, DC 20551 USA. EM yang-ho.park@frb.gov OI Park, Yang-Ho/0000-0002-5865-7123 NR 67 TC 2 Z9 2 U1 9 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1386-4181 EI 1878-576X J9 J FINANC MARK JI J. Financ. Mark. PD NOV PY 2015 VL 26 BP 38 EP 63 DI 10.1016/j.finmar.2015.05.003 PG 26 WC Business, Finance SC Business & Economics GA CZ1RO UT WOS:000366883200002 ER PT J AU Lambie-Hanson, L AF Lambie-Hanson, Lauren TI When does delinquency result in neglect? Mortgage distress and property maintenance SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Mortgages; Foreclosure; Property maintenance ID FORECLOSURE EXTERNALITIES; PRICE AB Numerous studies have found that foreclosed properties sell at a discount and push down the sale prices of nearby properties, which may be partly driven by poorer maintenance of the foreclosed homes. However, direct evidence of foreclosure-related property neglect has been scarce. This paper uses data on constituent complaints and requests for public services made to the City of Boston to examine the incidence and timing of this type of foreclosure externality. Interior and exterior property conditions appear to suffer most while homes are bank owned, although complaints about reduced maintenance are also common earlier in the foreclosure process. (C) 2015 Elsevier Inc. All rights reserved. C1 [Lambie-Hanson, Lauren] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Lambie-Hanson, L (reprint author), Fed Reserve Bank Philadelphia, Data Anal & Res Grp, Risk Assessment, 10 Independence Mall, Philadelphia, PA 19106 USA. EM Lauren.Lambie-Hanson@phil.frb.org FU Lincoln Institute of Land Policy's C. Lowell Harriss dissertation grant program FX I thank my dissertation committee-Lynn Fisher, Bill Wheaton, and Paul Willen-for their constructive feedback throughout this project. Two anonymous referees, the editor, Chris Foote, Kris Gerardi, Tim Lambie-Hanson, and audiences at the Association of Collegiate Schools of Planning conference, the Federal Reserve Banks of Philadelphia and New York, and the University of Wisconsin provided helpful comments. Robert Gehret, Ron Farrar, and Sheila Dillon provided help and useful guidance on a pilot study for this paper. Numerous staff members of the City of Boston helped me secure access to the City's data and patiently answered my questions about it. Kathy Condon of the MIS Property Information Network generously helped me secure access to the MIS data for my dissertation. Financial support from the Lincoln Institute of Land Policy's C. Lowell Harriss dissertation grant program made this research possible. NR 38 TC 6 Z9 6 U1 0 U2 1 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 EI 1095-9068 J9 J URBAN ECON JI J. Urban Econ. PD NOV PY 2015 VL 90 BP 1 EP 16 DI 10.1016/j.jue.2015.07.002 PG 16 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA CZ6LK UT WOS:000367212600001 ER PT J AU Anenberg, E Kung, E AF Anenberg, Elliot Kung, Edward TI Information technology and product variety in the city: The case of food trucks SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Information technology; Taste for variety; Consumption benefits of cities ID MARKETS; INTERNET; CITIES AB Using the food truck industry as the setting, we provide direct evidence for how information technology can complement consumption variety in cities by reducing spatial information frictions associated with locally produced goods. We document the following facts: (1) food trucks use technology to overcome a spatial information friction; (2) proliferation of technology is related to growth in food trucks; (3) food trucks use their mobility to respond to consumer taste-for-variety; and (4) growth in food trucks is positively correlated with growth in food expenditures away from home. Taken together, our results illustrate how information technology can provide a meaningful increase in variety for urban consumers. Published by Elsevier Inc. C1 [Anenberg, Elliot] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Kung, Edward] Univ Calif Los Angeles, Los Angeles, CA 90095 USA. RP Anenberg, E (reprint author), Fed Reserve Syst, Board Governors, 20th St & C St NW, Washington, DC 20551 USA. EM elliot.anenberg@frb.gov; ekung@econ.ucla.edu NR 27 TC 0 Z9 0 U1 8 U2 20 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 EI 1095-9068 J9 J URBAN ECON JI J. Urban Econ. PD NOV PY 2015 VL 90 BP 60 EP 78 DI 10.1016/j.jue.2015.09.006 PG 19 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA CZ6LK UT WOS:000367212600005 ER PT J AU Adrian, T Crump, RK Moench, E AF Adrian, Tobias Crump, Richard K. Moench, Emanuel TI Regression-based estimation of dynamic asset pricing models SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Dynamic asset pricing; Fama-MacBeth regressions; Time-varying betas; Generalized method of moments; Minimum distance estimation; Reduced rank regression ID CROSS-SECTIONAL REGRESSION; MEAN-VARIANCE EFFICIENCY; STOCK RETURNS; TERM STRUCTURE; RISK PREMIA; MULTIVARIATE TESTS; CONDITIONAL CAPM; EXPECTED RETURNS; AFFINE MODELS; VARIABLES AB We propose regression-based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross-sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The estimators explicitly allow for time-varying prices of risk, time-varying betas, and serially dependent pricing factors. Our approach nests the Fama-MacBeth two-pass estimator as a special case. We provide asymptotic multistage standard errors necessary to conduct inference for asset pricing tests. We illustrate our new estimators in an application to the joint pricing of stocks and bonds. The application features strongly time-varying, highly significant prices of risk that are found to be quantitatively more important than time-varying betas in reducing pricing errors. (C) 2015 Elsevier B.V. All rights reserved. C1 [Adrian, Tobias; Crump, Richard K.; Moench, Emanuel] Fed Reserve Bank New York, New York, NY 10045 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM tobias.adrian@ny.frb.org; richard.crump@ny.frb.org; emanuel.moench@ny.frb.org NR 81 TC 0 Z9 0 U1 9 U2 20 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD NOV PY 2015 VL 118 IS 2 BP 211 EP 244 DI 10.1016/j.jfineco.2015.07.004 PG 34 WC Business, Finance; Economics SC Business & Economics GA CV9JX UT WOS:000364604600001 ER PT J AU Armantier, O Ghysels, E Sarkar, A Shrader, J AF Armantier, Olivier Ghysels, Eric Sarkar, Asani Shrader, Jeffrey TI Discount window stigma during the 2007-2008 financial crisis SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Discount window; Term auction facility; Stigma; Crisis; Monetary policy ID MARKET AB We provide empirical evidence for the existence, magnitude, and economic cost of stigma associated with banks borrowing from the Federal Reserve's Discount Window (DW) during the 2007-2008 financial crisis. We find that banks were willing to pay a premium of around 44 basis points (bps) across funding sources (126 bps after the bankruptcy of Lehman Brothers) to avoid borrowing from the DW. DW stigma is economically relevant as it increased some banks' borrowing cost by 32 bps of their pre-tax return on assets (ROA) during the crisis. The implications of our results for the provision of liquidity by central banks are discussed. Published by Elsevier B.V. C1 [Armantier, Olivier; Sarkar, Asani] Fed Reserve Bank New York, New York, NY 10045 USA. [Ghysels, Eric] Univ N Carolina, Dept Finance, Kenan Flagler Business Sch, Chapel Hill, NC 27599 USA. [Ghysels, Eric] Univ N Carolina, Dept Econ, Chapel Hill, NC 27599 USA. [Shrader, Jeffrey] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA. RP Sarkar, A (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM asani.sarkar@ny.frb.org FU BoE; Federal Reserve Bank of New York through its Resident Scholar program FX The views in this paper belong to the authors and do not necessarily reflect those of the Federal Reserve Bank of New York or the Federal Reserve System. The paper received the Pearson Award for the Best Paper on Financial Institutions and Markets at the 2011 Western Finance Association Meeting, Santa Fe. The second author gratefully acknowledges the support of the Federal Reserve Bank of New York through its Resident Scholar program. We thank Viral Acharya, Gara Afonso, Adam Copeland, Doug Diamond, Craig Furfine, Jamie McAndrews, Lasse Pedersen, Joao Santos, Tano Santos, Xavier Vives and Jonathan Wright as well as participants at the WFA Conference 2011, NBER Risks of Financial Institutions Workshop and seminars at the 2011 Federal Reserve Day Ahead Conference, Deutsche Bundesbank, De Nederlandsche Bank, Norges Bank, Banque de France and the Federal Reserve Bank of New York for helpful comments. We thank Samuel Antill, Adam Biesenbach and David Hou for excellent research assistance. Finally, we thank the referee, Mark Flannery, for helpful comments and suggestions.; For instance, the financial press reported on August 20, 2007 that Deutsche Bank had accessed the DW on the previous business day (see "Fed fails to calm money markets,"The Financial Times, August 20, 2007). Similarly, Barclays' use of the BoE OW in August 2007 was immediately reported in the press (see "Barclays admits borrowing hundreds of millions at Bank's emergency rate,"The Guardian, August 30, 2007). Finally, a recent BoE report concludes that a BBC leak that Northern Rock had received funds from the BoE was instrumental in the bank's demise (see Treasury, 2008). NR 32 TC 3 Z9 3 U1 3 U2 12 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD NOV PY 2015 VL 118 IS 2 BP 317 EP 335 DI 10.1016/j.jfineco.2015.08.006 PG 19 WC Business, Finance; Economics SC Business & Economics GA CV9JX UT WOS:000364604600006 ER PT J AU Campbell, JY Ramadorai, T Ranish, B AF Campbell, John Y. Ramadorai, Tarun Ranish, Benjamin TI The Impact of Regulation on Mortgage Risk: Evidence from India SO AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY LA English DT Article ID NATURAL EXPERIMENT; SECURITIZATION; MARKET; DEFAULT; CRISIS AB We employ loan-level data on over a million loans disbursed in India between 1995 and 2010 to understand how fast-changing regulation impacted mortgage lending and risk. Our paper uses changes in regulatory treatment discontinuities associated with loan size and leverage to detect regulation-induced loan delinquencies. We also find that an acceleration in the classification of assets as nonperforming resulted in substantially lower delinquency probabilities and losses given delinquency. C1 [Campbell, John Y.] Harvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02138 USA. [Campbell, John Y.] NBER, Cambridge, MA 02138 USA. [Ramadorai, Tarun] Univ Oxford, Oxford Man Inst Quantitat Finance, Said Business Sch, Oxford OX1 1HP, England. [Ramadorai, Tarun] CEPR, London, England. [Ranish, Benjamin] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Campbell, JY (reprint author), Harvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02138 USA. EM john_campbell@harvard.edu; tarun.ramadorai@sbs.ox.ac.uk; ben.ranish@frb.gov FU International Growth Centre; Sloan Foundation FX Campbell: Department of Economics, Littauer Center, Harvard University, Cambridge, MA 02138, and National Bureau of Economic Research (NBER). (e-mail: john_campbell@harvard.edu); Ramadorai: Said Business School, Oxford-Man Institute of Quantitative Finance, University of Oxford, Park End Street, Oxford OX1 1HP, UK, and the Center for Economic Policy and Research (CEPR); (e-mail: tarun.ramadorai@sbs.ox.ac.uk); Ranish: Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington, DC 20551; (e-mail: ben. ranish@frb.gov). We gratefully acknowledge an Indian mortgage provider for providing us with the data, and many employees of the Indian mortgage provider, Santosh Anagol, Amit Bubna, Jishnu Das, Jennifer Huang, Ajay Shah, S. Sridhar, Usha Thorat, R. V. Verma, Vikrant Vig, and two anonymous referees for useful comments and discussions. We thank seminar participants at the Econometric Society/European Economics Association Malaga Conference, the NBER Household Finance Summer Institute, Indian Institute of Management (IIM) Bangalore, the World Bank, the Oxford-Man Institute of Quantitative Finance, Said Business School, the Hong Kong University of Science and Technology (HKUST) Household Finance Symposium, the National University of Singapore-Institute of Real Estate Studies (NUS-IRES) Real Estate Symposium, the National Housing Bank-Centre for Advanced Research and Learning (NHB-CAFRAL) Conference, and the National Institute for Public Finance and Policy-Department of Economic Affairs (NIPFP-DEA) Conference on International Capital Flows for comments, the International Growth Centre and the Sloan Foundation for financial support, and Vimal Balasubramaniam, Gaurav Kankanhalli, and Kevin Wang for able research assistance. An earlier version of this paper was circulated under the title "How Do Regulators Influence Mortgage Risks? Evidence from an Emerging Market." The views in this paper are solely the responsibility of the authors and should not be interpreted as those of the Board of Governors of the Federal Reserve System, or of other members of their staff. NR 40 TC 1 Z9 1 U1 1 U2 1 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 EI 1945-774X J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD NOV PY 2015 VL 7 IS 4 BP 71 EP 102 DI 10.1257/pol.20130220 PG 32 WC Economics SC Business & Economics GA CX3YO UT WOS:000365635600003 ER PT J AU Aguiar, M Amador, M Farhi, E Gopinath, G AF Aguiar, Mark Amador, Manuel Farhi, Emmanuel Gopinath, Gita TI COORDINATION AND CRISIS IN MONETARY UNIONS SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID FISCAL-POLICY INTERACTIONS; CURRENCY UNIONS; COMMITMENT; DISCRETION; RULES; MODEL AB We study fiscal and monetary policy in a monetary union with the potential for rollover crises in sovereign debt markets. Member-country fiscal authorities lack commitment to repay their debt and choose fiscal policy independently. A common monetary authority chooses inflation for the union, also without commitment. We first describe the existence of a fiscal externality that arises in the presence of limited commitment and leads countries to overborrow; this externality rationalizes the imposition of debt ceilings in a monetary union. We then investigate the impact of the composition of debt in a monetary union, that is the fraction of high-debt versus low-debt members, on the occurrence of self-fulfilling debt crises. We demonstrate that a high-debt country may be less vulnerable to crises and have higher welfare when it belongs to a union with an intermediate mix of high-and low-debt members, than one where all other members are low-debt. This contrasts with the conventional wisdom that all countries should prefer a union with low-debt members, as such a union can credibly deliver low inflation. These findings shed new light on the criteria for an optimal currency area in the presence of rollover crises. C1 [Aguiar, Mark] Princeton Univ, Princeton, NJ 08544 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. Harvard Univ, Cambridge, MA 02138 USA. RP Aguiar, M (reprint author), Princeton Univ, Princeton, NJ 08544 USA. FU NSF [0952816] FX We thank Cristina Arellano, Patrick Kehoe, Enrique Mendoza, Tommaso Monacelli, Helene Rey, and seminar participants at several places for useful comments. We also thank Ben Hebert for excellent research assistance. Manuel Amador acknowledges support from the NSF (award number 0952816). The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis or the Federal Reserve System. NR 27 TC 0 Z9 0 U1 7 U2 11 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0033-5533 EI 1531-4650 J9 Q J ECON JI Q. J. Econ. PD NOV PY 2015 VL 130 IS 4 BP 1727 EP 1779 DI 10.1093/qje/qjv022 PG 53 WC Economics SC Business & Economics GA CX2OB UT WOS:000365535400004 ER PT J AU Fillat, JL Garetto, S AF Fillat, Jose L. Garetto, Stefania TI RISK, RETURNS, AND MULTINATIONAL PRODUCTION SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID FOREIGN DIRECT-INVESTMENT; CONSUMPTION-BASED EXPLANATION; EXPECTED STOCK-RETURNS; HETEROGENEOUS FIRMS; INTERNATIONAL-TRADE; EXPORT DYNAMICS; RARE DISASTERS; CROSS-SECTION; EXCHANGE-RATE; SUNK COSTS AB This article starts by unveiling a strong empirical regularity: multinational corporations exhibit higher stock market returns and earning yields than nonmultinational firms. Within nonmultinationals, exporters exhibit higher earning yields and returns than firms selling only in their domestic market. To explain this pattern, we develop a real option value model where firms are heterogeneous in productivity and have to decide whether and how to sell in a foreign market where demand is risky. Selling abroad is a source of risk exposure to firms: following a negative shock, they are reluctant to exit the foreign market because they would forgo the sunk cost they paid to enter. Multinational firms are the most exposed because of the higher costs they have to pay to invest. The calibrated model is able to match both aggregate U.S. export and foreign direct investment data, and the observed cross-sectional differences in earning yields and returns. C1 [Fillat, Jose L.] Fed Reserve Bank Boston, Boston, MA 02210 USA. Boston Univ, Boston, MA 02215 USA. RP Fillat, JL (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 56 TC 3 Z9 3 U1 4 U2 11 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0033-5533 EI 1531-4650 J9 Q J ECON JI Q. J. Econ. PD NOV PY 2015 VL 130 IS 4 BP 2027 EP 2073 DI 10.1093/qje/qjv031 PG 47 WC Economics SC Business & Economics GA CX2OB UT WOS:000365535400010 ER PT J AU Bassett, WF Lee, SJ Spiller, TP AF Bassett, William F. Lee, Seung Jung Spiller, Thomas Popeck TI Estimating changes in supervisory standards and their economic effects SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Bank supervision and regulation; Financial frictions; CAMELS ratings; Supervisory standards ID BANK SUPERVISION; RATINGS AB The disappointingly slow recovery in the U.S. from the depths of the financial crisis once again focused attention on the relationship between financial frictions and economic growth. Some bankers and borrowers suggested that unnecessarily tight supervisory policies were a constraint on new lending that hindered the recovery. This paper explores one aspect of supervisory policy: whether the standards used to assign commercial bank CAMELS ratings have changed materially over time (1991-2013). Models incorporating time-varying parameters or economy-wide variables suggest that standards used in the assignment of CAMELS ratings over the post-crisis period generally were in line with historical experience. Indeed, each of the models used suggests that the variation in supervisory standards has been relatively small in absolute terms over most of the sample period. However, we show that when this measure of supervisory stringency becomes elevated, it has a noticeable dampening effect on lending activity in subsequent quarters. Published by Elsevier B.V. C1 [Bassett, William F.; Lee, Seung Jung; Spiller, Thomas Popeck] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Lee, SJ (reprint author), Board Governors Fed Reserve Syst, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM william.f.bassett@frb.gov; seung.j.lee@frb.gov; thomas.w.spiller@frb.gov NR 30 TC 0 Z9 0 U1 5 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD NOV PY 2015 VL 60 BP 21 EP 43 DI 10.1016/j.jbankfin.2015.07.010 PG 23 WC Business, Finance; Economics SC Business & Economics GA CW3MM UT WOS:000364896400002 ER PT J AU Elul, R Gottardi, P AF Elul, Ronel Gottardi, Piero TI Bankruptcy: Is It Enough to Forgive or Must We Also Forget? SO AMERICAN ECONOMIC JOURNAL-MICROECONOMICS LA English DT Article ID CREDIT MARKETS; REPUTATION; INFORMATION; COUNTRIES AB In many countries, lenders are restricted in their access to information about borrowers' past defaults. We study this provision in a model of repeated borrowing and lending with moral hazard and adverse selection. We analyze its effects on borrowers' incentives and credit access, and identify conditions under which it is welfare improving. Our model's predictions are consistent with the evidence on the impact of these credit bureau regulations on borrowers' and lenders' behavior as well as on credit provision. We also show that "forgetting" must be the outcome of a regulatory intervention. C1 [Elul, Ronel] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Gottardi, Piero] European Univ Inst, Dept Econ, I-50133 Florence, Italy. [Gottardi, Piero] Univ Ca Foscari Venezia, Dipartimento Sci Econ, Venice, Italy. RP Elul, R (reprint author), Fed Reserve Bank Philadelphia, Ten Independence Mall, Philadelphia, PA 19106 USA. EM ronel.elul@phil.frb.org; piero.gottardi@eui.eu NR 29 TC 1 Z9 1 U1 3 U2 3 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7669 EI 1945-7685 J9 AM ECON J-MICROECON JI Am. Econ. J.-Microecon. PD NOV PY 2015 VL 7 IS 4 BP 294 EP 338 DI 10.1257/mic.20130139 PG 45 WC Economics SC Business & Economics GA CV3IR UT WOS:000364153300010 ER PT J AU Brinkman, J Coen-Pirani, D Sieg, H AF Brinkman, Jeffrey Coen-Pirani, Daniele Sieg, Holger TI FIRM DYNAMICS IN AN URBAN ECONOMY * SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID PANEL-DATA MODELS; GEOGRAPHIC CONCENTRATION; LAND-USE; AGGLOMERATION; EQUILIBRIUM; CITIES; PRODUCTIVITY; COMPETITION; INNOVATION; DENSITY AB We develop a new dynamic general equilibrium model to explain firm entry, exit, and relocation decisions in an urban economy with multiple locations and agglomeration externalities. We characterize the stationary distribution of firms that arises in equilibrium. We estimate the parameters of the model using a method of moments estimator. Using unique panel data collected by Dun and Bradstreet, we find that agglomeration externalities increase the productivity of firms by up to 8%. Economic policies that subsidize firm relocations to the central business district increase agglomeration externalities in that area. They also increase economic welfare in the economy. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA USA. Univ Pittsburgh, Pittsburgh, PA 15260 USA. Univ Penn, Philadelphia, PA 19104 USA. RP Sieg, H (reprint author), Univ Penn, 459 McNeil Bldg,3718 Locust Walk, Philadelphia, PA 19104 USA. EM holgers@econ.upenn.edu FU NSF [SES-0958705] FX We would like to thank the editor of the journal, the anonymous referees, Dan Ackerberg, Patrick Bayer, Steven Berry, Rui Castro, Gilles Duranton, Dennis Epple, Joe Gyourko, Vernon Henderson, Thomas Holmes, Matt Kahn, Ariel Pakes, Theodore Papageorgiu, Diego Puga, Stephen Redding, Steve Ross, Esteban Rossi-Hansberg, Albert Saiz, Kurt Schmidheiny, Frank Wolak, Jipeng Zhang, and seminar participants at numerous conferences and universities. Sieg acknowledges financial support from the NSF (SES-0958705). The views expressed here are those of the authors and do not necessarily represent the views of the Federal Reserve Bank of Philadelphia or the Federal Reserve System. Please address correspondence to: Holger Sieg, 459 McNeil Building, 3718 Locust Walk, University of Pennsylvania, Philadelphia, PA 19104. Phone: 215-898-7194. E-mail: holgers@econ.upenn.edu. NR 50 TC 2 Z9 2 U1 6 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 EI 1468-2354 J9 INT ECON REV JI Int. Econ. Rev. PD NOV PY 2015 VL 56 IS 4 BP 1135 EP 1164 DI 10.1111/iere.12133 PG 30 WC Economics SC Business & Economics GA CU9VG UT WOS:000363893600003 ER PT J AU Ching, AT Hayashi, F Wang, H AF Ching, Andrew T. Hayashi, Fumiko Wang, Hui TI QUANTIFYING THE IMPACTS OF LIMITED SUPPLY: THE CASE OF NURSING HOMES SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID DISCRETE-CHOICE MODELS; QUALITY-OF-CARE; MEDICAID REIMBURSEMENT; EXCESS-DEMAND; PRODUCT AVAILABILITY; COMPETITION; HOSPITALS; PRICE; COST AB This article develops a new estimation method that accounts for excess demand and the unobserved component of product quality. We apply our method to study the Wisconsin nursing home market in 1999 and find that nearly 20% of elderly qualified for Medicaid were rationed out. However, our counterfactual experiment shows that the net welfare gain of fulfilling all nursing home demands may be small, because the welfare gain could be largely offset by the increase in Medicaid expenditures. We also find that a 1% increase in quality would crowd out 3.2% Medicaid patients in binding nursing homes. C1 Univ Toronto, Toronto, ON M5S 2J7, Canada. Fed Reserve Bank Kansas City, Kansas City, KS USA. Peking Univ, Beijing, Peoples R China. RP Ching, AT (reprint author), Univ Toronto, Rotman Sch Management, Toronto, ON M5S 2J7, Canada. EM aching@rotman.utoronto.ca FU Michael Lee-Chin Family Institute for Corporate Citizenship at the Rotman School of Management, University of Toronto FX We are very grateful to Gautam Gowrisankaran and Tom Holmes for their advice in the early stages of the project. We thank Holger Sieg (the editor) and two anonymous referees for providing many constructive comments. We also thank Ig Horstmann, Juanjuan Meng, Kanishka Misra, Matt Mitchell, Judith Mortimer, Ed Norton, John Nyman, Andrew Sweeting, participants at the AEA annual meeting, Annual Health Econometrics Workshop, CKGSB Marketing Conference, Cowles Foundation Structural Microeconomics Conference, International Industrial Organization Conference, SICS, FTC Microeconomics Conference and seminar participants at UCLA, UC-Davis, U of Toronto, John Hopkins University, U of Texas-Dallas, U of Texas-Arlington, U of Guelph, CUHK, NUS, Indiana U, and Carlson School of Management for their helpful comments. The views expressed in this article are those of the authors and do not necessarily reflect those of the Federal Reserve Bank of Kansas City or the Federal Reserve System. We acknowledge the financial support provided by the Michael Lee-Chin Family Institute for Corporate Citizenship at the Rotman School of Management, University of Toronto. Please address correspondence to: Andrew T. Ching, Rotman School of Management and Department of Economics, University of Toronto, Toronto, ON M5S 2J7, Canada. Phone: 1-416-946-0728. Fax: 1-416-978-5433. E-mail: aching@rotman.utoronto.ca. NR 44 TC 2 Z9 2 U1 5 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 EI 1468-2354 J9 INT ECON REV JI Int. Econ. Rev. PD NOV PY 2015 VL 56 IS 4 BP 1291 EP 1322 DI 10.1111/iere.12138 PG 32 WC Economics SC Business & Economics GA CU9VG UT WOS:000363893600008 ER PT J AU Krebs, T Kuhn, M Wright, MLJ AF Krebs, Tom Kuhn, Moritz Wright, Mark L. J. TI Human Capital Risk, Contract Enforcement, and the Macroeconomy SO AMERICAN ECONOMIC REVIEW LA English DT Article ID LIFE-INSURANCE MARKET; CONSUMPTION INEQUALITY; DEBT CONSTRAINTS; COMMITMENT; CREDIT; DYNAMICS; HETEROGENEITY; INFORMATION; BANKRUPTCY; INVESTMENT AB We use microdata to show that young households with children are underinsured against the risk that an adult member of the household dies. This empirical finding can be explained by a macroeconomic model with human capital risk, age-dependent returns to human capital investment, and endogenous borrowing constraints due to limited contract enforcement. When calibrated, the model quantitatively accounts for the observed life-cycle variation in life insurance holdings, financial wealth, earnings, and consumption inequality. The model also predicts that reforms making consumer bankruptcy more costly will substantially increase the volume of both credit and insurance. C1 [Krebs, Tom] Univ Mannheim, Dept Econ, D-68313 Mannheim, Germany. [Kuhn, Moritz] Univ Bonn, Dept Econ, D-53113 Bonn, Germany. [Wright, Mark L. J.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Krebs, T (reprint author), Univ Mannheim, Dept Econ, D-68313 Mannheim, Germany. EM tkrebs@uni-mannheim.de; mokuhn@uni-bonn.de; mwright@frbchi.org FU German Research Foundation [KR3564/2-1] FX Krebs: Department of Economics, University of Mannheim, 68313 Mannheim, Germany (e-mail: tkrebs@uni-mannheim.de); Kuhn: Department of Economics, University of Bonn, 53113 Bonn, Germany (e-mail: mokuhn@uni-bonn.de); Wright: Federal Reserve Bank of Chicago, 230 S. LaSalle Street, Chicago, IL 60604, and NBER (e-mail: mwright@frbchi.org). We thank seminar participants at various institutions and conferences for useful comments. We especially thank the three referees for many suggestions and insightful comments. Tom Krebs thanks the German Research Foundation for support under grant KR3564/2-1. The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Chicago or the Federal Reserve System. NR 59 TC 1 Z9 1 U1 6 U2 29 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD NOV PY 2015 VL 105 IS 11 BP 3223 EP 3272 DI 10.1257/aer.20111681 PG 50 WC Economics SC Business & Economics GA CU9SP UT WOS:000363885700001 ER PT J AU Fernandez-Villaverde, J Guerron-Quintana, P Kuester, K Rubio-Ramirez, J AF Fernandez-Villaverde, Jesus Guerron-Quintana, Pablo Kuester, Keith Rubio-Ramirez, Juan TI Fiscal Volatility Shocks and Economic Activity SO AMERICAN ECONOMIC REVIEW LA English DT Article ID NOMINAL RIGIDITIES; BUSINESS-CYCLE; UNCERTAINTY; MONETARY; POLICIES; MODELS; RISK AB We study how unexpected changes in uncertainty about fiscal policy affect economic activity. First, we estimate tax and spending processes for the United States with time-varying volatility to uncover evidence of time-varying volatility. Second, we estimate a VAR for the US economy using the time-varying volatility found in the previous step. Third, we feed the tax and spending processes into an otherwise standard New Keynesian model. Both in the VAR and in the model, we find that unexpected changes in fiscal volatility shocks can have a sizable adverse effect on economic activity. An endogenous increase in markups is a key mechanism. C1 [Fernandez-Villaverde, Jesus] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. [Guerron-Quintana, Pablo] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Kuester, Keith] Univ Bonn, Dept Econ, Inst Macroecon & Econometr, D-53113 Bonn, Germany. [Rubio-Ramirez, Juan] Emory Univ, Dept Econ, Atlanta, GA 30322 USA. [Rubio-Ramirez, Juan] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Rubio-Ramirez, Juan] BBVA Res, Madrid, Spain. RP Fernandez-Villaverde, J (reprint author), Univ Penn, Dept Econ, 3718 Locust Walk, Philadelphia, PA 19104 USA. EM jesusfv@econ.upenn.edu; pablo.guerron@phil.frb.org; keith.kuester@uni-bonn.de; juan.rubio-ramirez@emory.edu FU Institute for Economic Analysis (IAE); Bank of Spain; Spanish ministry of science and technology [ECO2011-30323-c03-01]; NSF FX Fernandez-Villaverde: Department of Economics, University of Pennsylvania, 3718 Locust Walk, Philadelphia, PA 19104 (e-mail: jesusfv@econ.upenn.edu); Guerron-Quintana: Research Department, Federal Reserve Bank of Philadelphia, Ten Independence Mall, Philadelphia, PA 19106 (e-mail: pablo.guerron@phil.frb.org); Kuester: Department of Economics, University of Bonn, Institute for Macroeconomics and Econometrics, Adenauerallee 24-42, 53113 Bonn, Germany (e-mail: keith.kuester@uni-bonn.de); Rubio-Ramirez: Department of Economics, Emory University, Rich Memorial Building, Room 306, Atlanta, GA 30322; Federal Reserve Bank of Atlanta; and BBVA Research (e-mail: juan.rubio-ramirez@emory.edu). We thank participants in seminars at the Atlanta Fed, Bank of Canada, Bank of Hungary, Bank of Spain, BBVA Research, Bonn University, Board of Governors, Central Bank of Chile, Columbia University, Concordia, CREI, Dallas Fed, Drexel, Georgetown, IMF, Maryland, Northwestern, Princeton, the Philadelphia Fed, and Wayne State, and conference presentations at the EFG, Midwest Macro Meetings, the Society for Computational Economics, NBER Universities Conference, SITE, and New York Fed Monetary Conference for comments and discussions, especially Rudiger Bachmann, Nick Bloom, Eric Leeper, Jim Nason, Giovanni Ricco, and Julia Thomas. Michael Chimowitz and Behzad Kianian provided excellent research assistance. Any views expressed herein are those of the authors and do not necessarily coincide with those of the Federal Reserve Banks of Atlanta and Philadelphia or the Federal Reserve System. Juan F. Rubio-Ramirez also thanks the Institute for Economic Analysis (IAE) and the "Programa de Excelencia en Educacion e Investigacion" of the Bank of Spain, and the Spanish ministry of science and technology (Ref. ECO2011-30323-c03-01) for support. We also thank the NSF for financial support. The authors declare that they have no relevant or material financial interests that relate to the research described in this paper. NR 41 TC 16 Z9 16 U1 5 U2 20 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD NOV PY 2015 VL 105 IS 11 BP 3352 EP 3384 DI 10.1257/aer.20121236 PG 33 WC Economics SC Business & Economics GA CU9SP UT WOS:000363885700004 ER PT J AU Schuetz, J AF Schuetz, Jenny TI Do rail transit stations encourage neighbourhood retail activity? SO URBAN STUDIES LA English DT Article DE economic development; retail location; transit-oriented development ID PROPERTY-VALUES; IMPACT; SYSTEMS; ACCESS AB Over the past 20 years, California has made substantial investments in intra-metropolitan passenger rail infrastructure, expanding existing systems and building new ones. According to advocates of New Urbanism, such investment should encourage the growth of mixed-use transit-oriented development, defined as a high-density mix of residential and commercial uses within walking distance of rail stations. Little research to date has examined whether rail investment stimulates retail activity, which is a key component of mixed-use development. In this paper, I test whether the opening of new rail stations across California's four largest metropolitan areas is associated with changes in retail employment near the stations. Results indicate that new rail stations were located in areas with previously high employment density, somewhat outside the city centres. New station openings are not significantly associated with differences in retail employment in three of the four MSAs, and negatively associated with retail in the Sacramento MSA. There is weak evidence that areas around new suburban stations serving commuter rail lines are more likely to gain retail employment, while centrally located, intra-city rail stations see decreases in retail activity. C1 [Schuetz, Jenny] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Schuetz, J (reprint author), Board Governors Fed Reserve Syst, Consumer & Community Affairs, Mail Stop N-805,20th St & Constitut Ave NW, Washington, DC 20551 USA. EM jenny.schuetz@frb.gov FU METRANS Transportation Center at USC; Lusk Center for Real Estate [11-04] FX Funding for this project was provided by the METRANS Transportation Center at USC and the Lusk Center for Real Estate (grant no. 11-04). NR 34 TC 3 Z9 3 U1 7 U2 18 PU SAGE PUBLICATIONS LTD PI LONDON PA 1 OLIVERS YARD, 55 CITY ROAD, LONDON EC1Y 1SP, ENGLAND SN 0042-0980 EI 1360-063X J9 URBAN STUD JI Urban Stud. PD NOV PY 2015 VL 52 IS 14 BP 2699 EP 2723 DI 10.1177/0042098014549128 PG 25 WC Environmental Studies; Urban Studies SC Environmental Sciences & Ecology; Urban Studies GA CT0YP UT WOS:000362524400012 ER PT J AU Lim, C Kustritz, MR Molgaard, L Lee, D Schulhofer-Wohl, S AF Lim, Christine Kustritz, Margaret Root Molgaard, Laura Lee, David Schulhofer-Wohl, Sam TI A second glance at financial expectations of first-year veterinary students Response SO JAVMA-JOURNAL OF THE AMERICAN VETERINARY MEDICAL ASSOCIATION LA English DT Letter C1 [Lee, David] Univ Minnesota, Ctr Vet Med, Coll Vet Med, St Paul, MN 55108 USA. [Schulhofer-Wohl, Sam] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NR 0 TC 0 Z9 0 U1 1 U2 1 PU AMER VETERINARY MEDICAL ASSOC PI SCHAUMBURG PA 1931 N MEACHAM RD SUITE 100, SCHAUMBURG, IL 60173-4360 USA SN 0003-1488 EI 1943-569X J9 JAVMA-J AM VET MED A JI JAVMA-J. Am. Vet. Med. Assoc. PD OCT 15 PY 2015 VL 247 IS 8 BP 879 EP 880 PG 2 WC Veterinary Sciences SC Veterinary Sciences GA CS6QY UT WOS:000362207300034 PM 26693579 ER PT J AU Begley, J Lambie-Hanson, L AF Begley, Jaclene Lambie-Hanson, Lauren TI The Home Maintenance and Improvement Behaviors of Older Adults in Boston SO HOUSING POLICY DEBATE LA English DT Article DE older adults; seniors; home improvements; home maintenance; housing conditions; reverse mortgages ID HOMEOWNERS AB Prior studies have found that older homeowners spend less money maintaining and improving their homes, which may reduce their quality of life and eventually pose larger, more costly housing problems. Delayed repairs and improvements may also have adverse spillover effects on neighborhoods. We explore the home maintenance expenditures, housing conditions, and credit access of older homeowners in Boston, Massachusetts, where many aging adults have limited incomes and live in older structures but also have substantial home equity that could be used as a financial resource. We find evidence that older homeowners spend less on home maintenance, and many live in low-income areas with high numbers of constituent complaints about housing conditions and less access to cheaper forms of credit. A particular policy intervention, the Boston Senior Home Repair Program, helps by providing home repair assistance to low- and moderate-income older homeowners. C1 [Begley, Jaclene] Ryerson Univ, Sch Urban & Reg Planning, Toronto, ON, Canada. [Lambie-Hanson, Lauren] Fed Reserve Bank Philadelphia, Risk Assessment Data Anal & Res Grp, Philadelphia, PA USA. RP Begley, J (reprint author), Ryerson Univ, Sch Urban & Reg Planning, Toronto, ON, Canada. EM jmbegley@ryerson.ca NR 31 TC 0 Z9 0 U1 0 U2 0 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1051-1482 EI 2152-050X J9 HOUS POLICY DEBATE JI Hous. Policy Debate PD OCT 2 PY 2015 VL 25 IS 4 BP 754 EP 781 DI 10.1080/10511482.2015.1004097 PG 28 WC Planning & Development; Urban Studies SC Public Administration; Urban Studies GA DD2KK UT WOS:000369751000005 ER PT J AU Lansing, KJ AF Lansing, Kevin J. TI Asset Pricing with Concentrated Ownership of Capital and Distribution Shocks SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID EQUITY PREMIUM; UNITED-STATES; LONG-RUN; GROWTH-MODEL; RISK; RETURNS; PRICES; PUZZLE; RATES; VOLATILITY AB This paper develops a production-based asset pricing model with two types of agents and concentrated ownership of physical capital. A temporary but persistent "distribution shock" causes the income share of capital owners to fluctuate in a procyclical manner, consistent with US data. The concentrated ownership model significantly magnifies the equity risk premium relative to a representative-agent model because the capital owners' consumption is more-strongly linked to volatile dividends from equity. With a steady-state risk aversion coefficient around 4, the model delivers an unlevered equity premium of 3.9 percent relative to short-term bonds and a premium of 1.2 percent relative to long-term bonds. C1 [Lansing, Kevin J.] Fed Reserve Bank San Francisco, San Francisco, CA 94120 USA. RP Lansing, KJ (reprint author), Fed Reserve Bank San Francisco, POB 7702, San Francisco, CA 94120 USA. EM kevin.j.lansing@sf.frb.org NR 46 TC 0 Z9 0 U1 1 U2 1 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD OCT PY 2015 VL 7 IS 4 BP 67 EP 103 DI 10.1257/mac.20110130 PG 37 WC Economics SC Business & Economics GA CZ2PC UT WOS:000366946100003 ER PT J AU Connolly, M Yi, KM AF Connolly, Michelle Yi, Kei-Mu TI How Much of South Korea's Growth Miracle Can Be Explained by Trade Policy? SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID WORLD-TRADE; VERTICAL SPECIALIZATION; INTERNATIONAL-TRADE; PRODUCTIVITY; LIBERALIZATION; MODEL; COUNTRIES; GEOGRAPHY; DYNAMICS; RETURNS AB This paper assesses the importance of trade policy reforms in South Korea, as well as the General Agreement on Tariffs and Trade (GATT) tariff reductions, in explaining Korea's growth miracle. We develop a model of neoclassical growth and trade in which lower tariffs lead to increased gross domestic product (GDP) per worker via comparative advantage and specialization, and capital accumulation. We calibrate the model and simulate the tariff reductions that occurred between early 1962 and 1989. The model can explain 17 percent of South Korea's catch-up to the G7 countries in value-added per worker in the manufacturing sector. These gains, as well as most of the welfare gains, are driven by two key transmission channels: multistage production and imported investment goods. C1 [Connolly, Michelle] Duke Univ, Dept Econ, Durham, NC 27708 USA. [Yi, Kei-Mu] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55401 USA. RP Connolly, M (reprint author), Duke Univ, Dept Econ, Box 90097, Durham, NC 27708 USA. EM mconnoll@duke.edu; Kei-Mu.Yi@mpls.frb.org NR 70 TC 1 Z9 1 U1 3 U2 7 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD OCT PY 2015 VL 7 IS 4 BP 188 EP 221 DI 10.1257/mac.20120197 PG 34 WC Economics SC Business & Economics GA CZ2PC UT WOS:000366946100007 ER PT J AU Barnichon, R Figura, A AF Barnichon, Regis Figura, Andrew TI Labor Market Heterogeneity and the Aggregate Matching Function SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID BEVERIDGE CURVE; UNEMPLOYMENT; DURATION; SEARCH; JOB; MISMATCH; SHIFTS AB We estimate an aggregate matching function and find that the regression residual, which captures movements in matching efficiency, displays procyclical fluctuations and a dramatic decline after 2007. Using a matching function framework that explicitly takes into account worker heterogeneity as well as market segmentation, we show that matching efficiency movements can be the result of variations in the degree of heterogeneity in the labor market. Matching efficiency declines substantially when, as in the Great Recession, the average characteristics of the unemployed deteriorate substantially, or when dispersion in labor market conditions-the extent to which some labor markets fare worse than others-increases markedly. C1 [Barnichon, Regis] CREI, Barcelona 08005, Spain. [Barnichon, Regis] Univ Pompeu Fabra, Barcelona, Spain. [Barnichon, Regis] Barcelona GSE, Barcelona, Spain. [Figura, Andrew] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Barnichon, R (reprint author), CREI, Ramon Trias Fargas 25, Barcelona 08005, Spain. EM rbarnichon@crei.cat; andrew.figura@frb.edu RI Barnichon, Regis/B-4650-2013 OI Barnichon, Regis/0000-0003-3967-1453 FU Ministerio de Ciencia e Innovacion [ECO2011-23188]; Agencia de Gestio d'Ajuts Universitaris i de Recerca (AGAUR) through the Beatriu de Pinos fellowship [2011 BP00152] FX We thank Jan Eeckhout, Bruce Fallick, Shigeru Fujita, Jordi Gali, Robert Hall, John Haltiwanger, Bart Hobijn, Philipp Kircher, Rob Valletta, Thijs van Rens, William Wascher, Yanos Zylberberg, two anonymous referees and seminar participants at the 2012 AEA Annual Meetings, the 2012 CEPR European Summer Symposium in International Macroeconomics (ESSIM), the CREI-CEPR Conference "Understanding Jobless Recoveries," the 2014 Essex Search and Matching workshop, the Chicago Fed, the New York Fed, the Norges Bank, and the San Francisco Fed. We thank Peter Chen for excellent research assistance. The views expressed here do not necessarily reflect those of the Federal Reserve Board or the Federal Reserve System. Barnichon acknowledges financial support from the Ministerio de Ciencia e Innovacion (ECO2011-23188) and the Agencia de Gestio d'Ajuts Universitaris i de Recerca (AGAUR) through the Beatriu de Pinos fellowship (2011 BP00152). Any errors are our own. NR 46 TC 5 Z9 5 U1 2 U2 6 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD OCT PY 2015 VL 7 IS 4 BP 222 EP 249 DI 10.1257/mac.20140116 PG 28 WC Economics SC Business & Economics GA CZ2PC UT WOS:000366946100008 ER PT J AU Del Negro, M Primiceri, GE AF Del Negro, Marco Primiceri, Giorgio E. TI Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE Bayesian Methods; Time-varying Volatility ID VOLATILITY; MODELS AB This note shows how to apply the procedure of Kim et al. (1998) to the estimation of VAR, DSGE, factor, and unobserved components models with stochastic volatility. In particular, it revisits the estimation algorithm of the time-varying VAR model of Primiceri (2005). The main difference of the new algorithm is the ordering of the various MCMC steps, with each individual step remaining the same. C1 [Del Negro, Marco] Fed Reserve Bank New York, New York, NY 10045 USA. [Primiceri, Giorgio E.] Northwestern Univ, Dept Econ, CEPR & NBER, Evanston, IL 60208 USA. RP Del Negro, M (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 6 TC 2 Z9 2 U1 4 U2 8 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 EI 1467-937X J9 REV ECON STUD JI Rev. Econ. Stud. PD OCT PY 2015 VL 82 IS 4 BP 1342 EP 1345 DI 10.1093/restud/rdv024 PG 4 WC Economics SC Business & Economics GA CY8DC UT WOS:000366637800004 ER PT J AU Carvalho, C Schwartzman, F AF Carvalho, Carlos Schwartzman, Felipe TI Selection and monetary non-neutrality in time-dependent pricing models SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Time-dependent pricing; Selection effect; Monetary non-neutrality; General hazard function; Heterogeneity ID MENU COSTS; PRICES; MONEY; STATE AB For a given frequency of price adjustment, monetary non-neutrality is smaller if older prices are disproportionately more likely to change. Selection for the age of prices provides a complete characterization of price-setting frictions in time-dependent models. Selection for older prices is weaker and non-neutralities are larger if the hazard function of price adjustment is less strongly increasing. Selection is weaker if there is heterogeneity in price stickiness. Finally, selection is weaker if durations of price spells are more variable. In particular, the Taylor (1979) model exhibits maximal selection for older prices, whereas the Calvo (1983) model exhibits no selection. (C) 2015 Elsevier B.V. All rights reserved. C1 [Carvalho, Carlos] Pontificia Univ Catolica Rio de Janeiro, Rio de Janeiro, Brazil. [Schwartzman, Felipe] Fed Reserve Bank Richmond, Richmond, CA USA. RP Carvalho, C (reprint author), Pontificia Univ Catolica Rio de Janeiro, Rio de Janeiro, Brazil. EM cvianac@econ.puc-rio.br; felipe.schwartzman@rich.frb.org NR 29 TC 1 Z9 1 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2015 VL 76 BP 141 EP 156 DI 10.1016/j.jmoneco.2015.09.002 PG 16 WC Business, Finance; Economics SC Business & Economics GA CY2KM UT WOS:000366237500010 ER PT J AU Hatchondo, JC Martinez, L Sanchez, JM AF Hatchondo, Juan Carlos Martinez, Leonardo Sanchez, Juan M. TI Mortgage defaults SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Mortgage; Default; Recourse; LTV; Housing risk ID CONSUMER BANKRUPTCY; LIFE-CYCLE; RISK; CONSUMPTION; INSURANCE; CHOICE AB A life-cycle model is developed in which households face income and house-price risk and buy houses with mortgages. This model, which accounts for key features in U.S. data, is used as a laboratory for prudential policy. Recourse mortgages increase the cost of default but also lower equity and increase payments. The effect on default is nonmonotonic. Loan-to-value (LTV) limits increase equity and lower the default rate, with negligible effects on housing demand. Combining recourse mortgages and LTV limits reduces the default rate while boosting housing demand. Together, they also prevent spikes in default after large declines in aggregate house prices. (C) 2015 Elsevier B.V. All rights reserved. C1 [Hatchondo, Juan Carlos] Indiana Univ, Dept Econ, Bloomington, IN 47405 USA. [Martinez, Leonardo] Int Monetary Fund, Washington, DC 20431 USA. [Sanchez, Juan M.] Fed Reserve Bank, St Louis, MO 63102 USA. RP Hatchondo, JC (reprint author), Indiana Univ, Dept Econ, 100 South Indiana Ave, Bloomington, IN 47405 USA. EM juanc.hatchondo@gmail.com FU Lilly Endowment, Inc.; Indiana University Pervasive Technology Institute; Indiana METACyt Initiative FX For comments and suggestions, we thank the editor, Urban Jermann, an anonymous referee, and seminar participants at ASU, Georgetown U., Indiana U., McMaster U., SUNY at Stony Brook, U. of Toronto, York U., the FRB of Richmond and St. Louis, the IMF, the 2008 and 2009 Wegmans conference, the 2010 and 2014 SED conference, the 2010 and 2013 HULM Conference, the 2011 North America Summer Meeting of the Econometric Society, the 2011 SAET conference, the 2011 Philadelphia Fed Conference on Consumer Credit, the 2013 NBER Summer Institute, and the 2013 Macro-Finance Workshop at NYU. We thank S. Henly, C. Liborio, J. Tompkins, T. Hursey, and E. Yurdagul for excellent research assistance. We thank Jennifer Paniza Bontas for sharing her data with us. We thank M. Michaux, M. Nakajima, and D. Schlagenhauf for useful discussions. Remaining mistakes are our own. This research was supported in part by Lilly Endowment, Inc., through its support for the Indiana University Pervasive Technology Institute, and in part by the Indiana METACyt Initiative. The Indiana METACyt Initiative at IU is also supported in part by Lilly Endowment, Inc. The views expressed herein are those of the authors and should not be attributed to the IMF, its Executive Board, or its management, the FRB of St. Louis, or the Federal Reserve System. NR 45 TC 2 Z9 2 U1 3 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2015 VL 76 BP 173 EP 190 DI 10.1016/j.jmoneco.2015.09.011 PG 18 WC Business, Finance; Economics SC Business & Economics GA CY2KM UT WOS:000366237500012 ER PT J AU Foerster, AT AF Foerster, Andrew T. TI Financial crises, unconventional monetary policy exit strategies, and agents' expectations SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Unconventional monetary policy; Asset purchases; Exit strategy; Markov switching ID BALANCE-SHEET; MODELS AB A central bank may purchase assets during a financial crisis and then exit from those purchases. Agents have rational expectations about financial crises as rare events, the probability the central bank purchases assets, and the exit strategy. Selling off assets quickly produces a double-dip recession while slowly unwinding generates a smooth recovery. Expectations about the exit strategy influence the initial effectiveness of purchases. Increasing the probability of purchases during crises distorts the pre-crisis economy and depends upon the exit strategy. The welfare benefits of unconventional policy may differ ex-ante versus ex-post, as can the preferred exit strategy. (C) 2015 Elsevier B.V. All rights reserved. C1 [Foerster, Andrew T.] Fed Reserve Bank, Res Dept, Kansas City, MO 64198 USA. RP Foerster, AT (reprint author), Fed Reserve Bank, Res Dept, 1 Mem Dr, Kansas City, MO 64198 USA. EM andrew.foerster@kc.frb.org NR 24 TC 0 Z9 0 U1 5 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2015 VL 76 BP 191 EP 207 DI 10.1016/j.jmoneco.2015.10.001 PG 17 WC Business, Finance; Economics SC Business & Economics GA CY2KM UT WOS:000366237500013 ER PT J AU Carlstrom, CT Fuerst, TS Paustian, M AF Carlstrom, Charles T. Fuerst, Timothy S. Paustian, Matthias TI Inflation and output in New Keynesian models with a transient interest rate peg SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Fixed interest rate; Dynamic New Keynesian model; Forward guidance puzzles ID MONETARY-POLICY AB A familiar result in the canonical Dynamic New Keynesian (DNK) model is that policy-makers constrained by the zero bound can improve outcomes by promising to keep rates low after the zero bound is not binding. We examine a general class of interest rate pegs in a variety of DNK models. Standard versions of the model produce counterintuitive reversals where the effect of the interest rate peg can switch from highly expansionary to highly contractionary for modest changes in the length of the interest rate peg. This unusual behavior does not arise in sticky information models of the Phillips curve. (C) 2015 Elsevier B.V. All rights reserved. C1 [Carlstrom, Charles T.; Fuerst, Timothy S.] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. [Fuerst, Timothy S.] Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. [Paustian, Matthias] Board Governors, Div Res & Stat, Washington, DC USA. RP Fuerst, TS (reprint author), Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. EM tfuerst@nd.edu NR 23 TC 2 Z9 2 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2015 VL 76 BP 230 EP 243 DI 10.1016/j.jmoneco.2015.09.004 PG 14 WC Business, Finance; Economics SC Business & Economics GA CY2KM UT WOS:000366237500015 ER PT J AU Sarte, PD Schwartzman, F Lubik, TA AF Sarte, Pierre-Daniel Schwartzman, Felipe Lubik, Thomas A. TI What inventory behavior tells us about how business cycles have changed SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Business cycles; Inventories; Investment wedge; Financial frictions ID FLUCTUATIONS; INVESTMENT; DYNAMICS; SHOCKS; VOLATILITY; MODELS; CRISES; INPUT; SALES AB Beginning in the mid-1980s, U.S. business cycles changed in important ways, notably via distinctive shifts in the comovement and relative volatilities of labor productivity, hours, output, and inventories. Inventories provide additional information relative to aggregate investment regarding firms' intertemporal decisions, and thus additional insight in explaining business cycles. We show that variations in the discount factor estimated using inventories, which may be interpreted as fluctuations in a generalized investment wedge, play a key role in explaining the shifts in U.S. business cycles observed after the mid-1980s. Moreover, these variations correlate well with independent measures of credit market frictions. (C) 2015 Elsevier B.V. All rights reserved. C1 [Sarte, Pierre-Daniel; Schwartzman, Felipe; Lubik, Thomas A.] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. RP Schwartzman, F (reprint author), Fed Reserve Bank Richmond, Res Dept, POB 27622, Richmond, VA 23261 USA. EM felipe.schwartzman@rich.frb.org NR 57 TC 1 Z9 1 U1 3 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2015 VL 76 BP 264 EP 283 DI 10.1016/j.jmoneco.2015.09.007 PG 20 WC Business, Finance; Economics SC Business & Economics GA CY2KM UT WOS:000366237500017 ER PT J AU Bhutta, N AF Bhutta, Neil TI The ins and outs of mortgage debt during the housing boom and bust SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Mortgage debt; Mortgage default; Deleveraging; First-time homebuyer; Credit supply ID CRISIS AB From 1999 to 2013, U.S. mortgage debt doubled before contracting sharply. I estimate mortgage inflows and outflows that shed light on the sources of volatility. During the boom, inflows from real estate investors tripled, far outpacing other segments such as first-time homebuyers. During the bust, a collapse in inflows keyed the debt decline, while an expansion of outflows due to defaults played a more minor role. Inflow declines partly reflect a dramatic falloff in first-time homebuying, especially for low credit score individuals. Further analysis helps support the notion that the differential decline by credit score reflects markedly tightened credit supply. Published by Elsevier B.V. C1 [Bhutta, Neil] Fed Reserve Board, Washington, DC 20551 USA. RP Bhutta, N (reprint author), Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. EM neil.bhutta@frb.gov NR 31 TC 3 Z9 3 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2015 VL 76 BP 284 EP 298 DI 10.1016/j.jmoneco.2015.02.005 PG 15 WC Business, Finance; Economics SC Business & Economics GA CY2KM UT WOS:000366237500018 ER PT J AU Chien, YL Naknoi, K AF Chien, YiLi Naknoi, Kanda TI The risk premium and long-run global imbalances SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Global imbalances; Current account; Risk premium; Asset pricing; Limited participation ID OPTIMAL INATTENTION; HOUSEHOLD FINANCE; STOCK-MARKET; ASSET; EQUILIBRIUM; MODEL; AVERSION AB This study proposes that heterogeneous household portfolio choices within a country and across countries offer an explanation for global imbalances. We construct a stochastic growth multi-country model in which heterogeneous agents face the following restrictions on asset trade. First, the degree of US equity market participation is higher than that of the rest of the world. Second, a fraction of households in each country maintains a fixed share of equity in its portfolios. In our calibrated model, which matches the US net foreign asset position and the equity premium, the average US household loads up more aggregate risk than the average foreign household by investing in risky assets abroad and issuing risk-free assets. As a result, the US is compensated by a high risk premium and runs trade deficits even as a debtor country. The long-run average trade deficit in our model accounts for 50% of the observed US trade deficit. (C) 2015 Elsevier BV. All rights reserved. C1 [Chien, YiLi] Fed Reserve Bank, Div Res, St Louis, MO 63166 USA. [Naknoi, Kanda] Univ Connecticut, Dept Econ, Storrs, CT 06269 USA. RP Chien, YL (reprint author), Fed Reserve Bank, Div Res, POB 442, St Louis, MO 63166 USA. EM yilichien@gmail.com; kanda.naknoi@uconn.edu RI Chien, Yili/I-5741-2016 OI Chien, Yili/0000-0002-6820-1197 NR 41 TC 0 Z9 0 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2015 VL 76 BP 299 EP 315 DI 10.1016/j.jmoneco.2015.04.001 PG 17 WC Business, Finance; Economics SC Business & Economics GA CY2KM UT WOS:000366237500019 ER PT J AU Bolton, P Mehran, H Shapiro, J AF Bolton, Patrick Mehran, Hamid Shapiro, Joel TI Executive Compensation and Risk Taking SO REVIEW OF FINANCE LA English DT Article ID CREDIT DEFAULT SWAP; MANAGEMENT COMPENSATION; EMPIRICAL-ANALYSIS; CEO COMPENSATION; DEBT; INVESTMENT; RENEGOTIATION; INCENTIVES; LIQUIDITY; BEHAVIOR AB This article studies the connection between risk taking and executive compensation in financial institutions. A model of shareholders, debtholders, depositors, and an executive demonstrates that (i) excess risk taking can be addressed by basing compensation on both stock price and the credit default swaps (CDS) spread, (ii) shareholders may not be able to commit to design such contracts, and (iii) they may not want to due to distortions from deposit insurance or unobservable tail risk. The advantage of using the CDS spread rather than deferred compensation or debt is due to the fact that it is a market price and reduces agency costs. C1 [Bolton, Patrick] Columbia Univ, NBER, New York, NY 10027 USA. [Bolton, Patrick] Columbia Univ, CEPR, New York, NY 10027 USA. [Mehran, Hamid] Fed Reserve Bank New York, New York, NY USA. [Shapiro, Joel] Univ Oxford, Said Business Sch, CEPR, Oxford OX1 2JD, England. RP Bolton, P (reprint author), Columbia Univ, NBER, New York, NY 10027 USA. NR 44 TC 8 Z9 8 U1 1 U2 10 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1572-3097 EI 1573-692X J9 REV FINANC JI Rev. Financ. PD OCT PY 2015 VL 19 IS 6 BP 2139 EP 2181 DI 10.1093/rof/rfu049 PG 43 WC Business, Finance; Economics SC Business & Economics GA CX2OW UT WOS:000365537500002 ER PT J AU Carriero, A Clark, TE Marcellino, M AF Carriero, Andrea Clark, Todd E. Marcellino, Massimiliano TI Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility SO JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY LA English DT Article DE Bayesian methods; Forecasting; Mixed frequency models; Prediction ID VECTOR AUTOREGRESSIONS; DENSITY FORECASTS; MONETARY-POLICY; TIME; GDP; INFERENCE; GROWTH AB The paper develops a method for producing current quarter forecasts of gross domestic product growth with a (possibly large) range of available within-the-quarter monthly observations of economic indicators, such as employment and industrial production, and financial indicators, such as stock prices and interest rates. In light of existing evidence of time variation in the variances of shocks to gross domestic product, we consider versions of the model with both constant variances and stochastic volatility. We use Bayesian methods to estimate the model, to facilitate providing shrinkage on the (possibly large) set of model parameters and conveniently generate predictive densities. We provide results on the accuracy of nowcasts of realtime gross domestic product growth in the USA from 1985 through 2011. In terms of point forecasts, our proposal improves significantly on auto-regressive models and performs comparably with survey forecasts. In addition, it provides reliable density forecasts, for which the stochastic volatility specification is quite useful. C1 [Carriero, Andrea] Univ London, London WC1E 7HU, England. [Clark, Todd E.] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. [Marcellino, Massimiliano] Bocconi Univ, Milan, Italy. [Marcellino, Massimiliano] Innocenzo Gasparini Inst Econ Res, Milan, Italy. [Marcellino, Massimiliano] Ctr Econ Policy Res, London SW1Y 6LA, England. RP Clark, TE (reprint author), Fed Reserve Bank Cleveland, Dept Econ Res, POB 6387, Cleveland, OH 44101 USA. EM todd.clark@clev.frb.org FU Economic and Social Research Council [ES/K010611/1] FX The authors gratefully acknowledge helpful suggestions from the Joint Editor, Associate Editor, two referees, Knut Are Aastveit, Marta Banbura, Domenico Giannone, Brent Meyer, Christian Schumacher, and seminar participants at the Cleveland Federal Reserve Bank, and research assistance from Claudia Foroni and John Lindner. The views expressed herein are solely those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of Cleveland or the Federal Reserve System. Carriero gratefully acknowledges financial support from the Economic and Social Research Council under grant ES/K010611/1. NR 47 TC 2 Z9 2 U1 3 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0964-1998 EI 1467-985X J9 J R STAT SOC A STAT JI J. R. Stat. Soc. Ser. A-Stat. Soc. PD OCT PY 2015 VL 178 IS 4 BP 837 EP 862 DI 10.1111/rssa.12092 PG 26 WC Social Sciences, Mathematical Methods; Statistics & Probability SC Mathematical Methods In Social Sciences; Mathematics GA CX0MO UT WOS:000365391100004 PM 27840562 ER PT J AU Drautzburg, T Uhlig, H AF Drautzburg, Thorsten Uhlig, Harald TI Fiscal stimulus and distortionary taxation SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Fiscal stimulus; New Keynesian model; Liquidity trap; Zero lower bound; Fiscal multiplier ID GOVERNMENT; MULTIPLIERS; POLICY; MODELS AB We quantify the fiscal multipliers in response to the American Recovery and Reinvestment Act (ARRA) of 2009. We extend the benchmark medium-scale New Keynesian model, allowing for credit-constrained households, the zero lower bound, government capital, and distortionary taxation. The posterior yields modestly positive short-run multipliers around 0.53 and modestly negative long-run multipliers around -0.36. We compare and relate recent literature multiplier calculations to ours. We explain the central empirical findings with the help of a simple three equation New Keynesian model with sticky wages and credit-constrained households. (c) 2015 Elsevier Inc. All rights reserved. C1 [Drautzburg, Thorsten] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Uhlig, Harald] Univ Chicago, Chicago, IL 60637 USA. RP Uhlig, H (reprint author), Univ Chicago, Dept Econ, 1126 East 59th St, Chicago, IL 60637 USA. EM tdrautzburg@gmail.com; huhlig@uchicago.edu FU NSF [SES-0922550] FX This research has been supported by the NSF grant SES-0922550. NR 46 TC 4 Z9 4 U1 1 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2015 VL 18 IS 4 BP 894 EP 920 DI 10.1016/j.red.2015.09.003 PG 27 WC Economics SC Business & Economics GA CW5UO UT WOS:000365062300010 ER PT J AU Santacreu, AM AF Santacreu, Ana Maria TI Innovation, diffusion, and trade: Theory and measurement SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Innovation; Technology adoption; Trade in varieties; Economic growth ID INTERNATIONAL TECHNOLOGY DIFFUSION; RESEARCH-AND-DEVELOPMENT; ECONOMIC-GROWTH; INVESTMENT; PRODUCTIVITY; DYNAMICS; ADOPTION; VARIETY; FIRMS; FACTS AB What are the sources of economic growth? This paper presents a multicountry growth model of innovation and the adoption of foreign technologies through trade. The costs of both domestic innovation and adopting foreign innovations are estimated using data on innovation, output and trade. A decomposition of the sources of growth shows that technology adoption accounts for about 65% of "embodied" growth in developing countries. Developed countries grow mainly through domestic innovation, which explains 75% of their "embodied" growth. Counterfactuals show how growth rates and levels of income would change if countries faced the same barriers to adoption and research productivity. (C) 2015 Elsevier B.V. All rights reserved. C1 [Santacreu, Ana Maria] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Santacreu, AM (reprint author), Fed Reserve Bank St Louis, 1 Fed Reserve Bank Plaza, St Louis, MO 63166 USA. EM am.santacreu@gmail.com RI Santacreu, Ana Maria/I-5753-2016 OI Santacreu, Ana Maria/0000-0002-3788-4511 FU CICYT [ECO2008-04669] FX I am very grateful to Jonathan Eaton for his support and guidance. I am also grateful to Diego Comin, Antonio Fatas, Mark Gertler, Denis Gromb, Boyan Jovanovic, Sam Kortum, Demian Pouzo, Kim Ruhl, and Gianluca Violante as well as to seminar participants at NYU, the Federal Reserve Bank, Wharton University of Pennsylvania, Boston College, the IMF, University of Texas, CREI, Universitat Autonoma de Barcelona, Universidad Carlos III, London Business School, University of British Columbia, Toulouse School of Economics, and INSEAD. I am responsible for any errors. Financial support by CICYT Grant ECO2008-04669 is gratefully acknowledged. The views expressed herein are those of the author and do not necessarily represent those of the Federal Reserve System, the Board of Governors, or the Regional Federal Reserve Banks. NR 46 TC 0 Z9 0 U1 3 U2 19 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2015 VL 75 BP 1 EP 20 DI 10.1016/j.jmoneco.2015.06.008 PG 20 WC Business, Finance; Economics SC Business & Economics GA CU8XF UT WOS:000363826700001 ER PT J AU Kehoe, P Midrigan, V AF Kehoe, Patrick Midrigan, Virgiliu TI Prices are sticky after all SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Sales; Sticky prices; Menu costs ID MENU COSTS; SALES; MODELS AB Economists have interpreted the evidence that prices change every four months as implying that sticky prices cannot be important for monetary transmission. Theory implies that this interpretation is correct if most price changes are regular, but not if a large fraction are temporary, as in the data. Since regular prices are much stickier than temporary ones, our models predict that the stickiness of the aggregate price level matches that in a standard Calvo model or a standard menu cost model in which microlevel prices change about once a year. In this sense, prices are sticky after all. (C) 2015 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/). C1 [Kehoe, Patrick] Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Kehoe, Patrick] UCL, London WC1E 6BT, England. [Midrigan, Virgiliu] NYU, New York, NY 10003 USA. RP Kehoe, P (reprint author), Univ Minnesota, Fed Reserve Bank Minneapolis, 90 Hennepin Ave, Minneapolis, MN 55401 USA. EM patrickjameskehoe@gmail.com; virgiliu.midrigan@nyu.edu FU National Science Foundation FX This paper is a greatly revised version of earlier drafts titled "Sales and the Real Effects of Monetary Policy" and "Temporary Price Changes and the Real Effects of Monetary Policy." We thank Kathy Rolfe and Joan Gieseke for excellent editorial assistance. Kehoe thanks the National Science Foundation for financial support. The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis or the Federal Reserve System. NR 25 TC 6 Z9 6 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2015 VL 75 BP 35 EP 53 DI 10.1016/j.jmoneco.2014.12.004 PG 19 WC Business, Finance; Economics SC Business & Economics GA CU8XF UT WOS:000363826700003 ER PT J AU Luo, YL Nie, J Young, ER AF Luo, Yulei Nie, Jun Young, Eric R. TI SLOW INFORMATION DIFFUSION AND THE INERTIAL BEHAVIOR OF DURABLE CONSUMPTION SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article ID PERMANENT-INCOME HYPOTHESIS; RATIONAL INATTENTION; LARGE NUMBERS; LARGE ECONOMIES; PANEL-DATA; ADJUSTMENT; GOODS; LAW; EXPECTATIONS; EXPLANATION AB This paper studies the aggregate dynamics of durable and nondurable consumption under slow information diffusion (SID) due to noisy observations and learning within the permanent income hypothesis framework. We show that SID can significantly improve the model's predictions on the joint behavior of income, durable consumption, and nondurable consumption at the aggregate level. Specifically, we find that SID can significantly improve the model's predictions for: (i) smoothness in durable and nondurable consumption, (ii) autocorrelation of durable consumption, and (iii) contemporaneous correlation between durable and nondurable consumption. C1 [Luo, Yulei] Univ Hong Kong, Hong Kong, Hong Kong, Peoples R China. [Nie, Jun] Fed Reserve Bank Kansas City, Kansas City, MO USA. [Young, Eric R.] Univ Virginia, Charlottesville, VA 22903 USA. RP Luo, YL (reprint author), Univ Hong Kong, Hong Kong, Hong Kong, Peoples R China. EM yulei.luo@gmail.com; jun.nie@kc.frb.org; ey2d@virginia.edu FU General Research Fund (GRF) in Hong Kong [HKU749711, HKU748209]; Bankard Fund for Political Economy at Virginia FX We are grateful for Marios Angeletos (Editor) and three anonymous referees for many constructive suggestions and comments. We also thank Edward Knotek II, Geng Li, Jordan Rappaport, Tom Sargent, Chris Sims, Yi-Chang Tsai, Jonathan Willis, and seminar and conference participants at the Federal Reserve Bank of Kansas City, Federal Reserve Board, The University of Tokyo, The Hong Kong University of Science and Technology, Washington and Lee University, the Midwest Macroeconomics Meetings, and the Shanghai Macroeconomic Workshop for helpful discussions and comments, and Wei Li and Lisa Taylor for valuable research assistance. Luo thanks the General Research Fund (GRF#: HKU749711 and HKU748209) in Hong Kong for financial support. Young thanks the Bankard Fund for Political Economy at Virginia for financial support. The views expressed here are the opinions of the authors only and do not necessarily represent those of the Federal Reserve Bank of Kansas City or the Federal Reserve System. All remaining errors are our responsibility. NR 48 TC 0 Z9 0 U1 3 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1542-4766 EI 1542-4774 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD OCT PY 2015 VL 13 IS 5 BP 805 EP 840 DI 10.1111/jeea.12125 PG 36 WC Economics SC Business & Economics GA CU7PM UT WOS:000363733800003 ER PT J AU Martin, FM AF Martin, Fernando M. TI Debt, inflation and central bank independence SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Government debt; Inflation; Deficit; Central bank independence; Time-consistency; Inflation targeting ID MONETARY-POLICY; FISCAL-POLICIES; POSITIVE THEORY; PUBLIC DEBT; COMMITMENT; DISCRETION; MONEY; CONTRACTS; ECONOMICS; RULES AB Increasing the independence of a central bank from political influence, although ex-ante socially beneficial and initially successful in reducing inflation, would ultimately fail to lower inflation permanently. The smaller anticipated policy distortions implemented by a more independent central bank would induce the fiscal authority to decrease current distortions by increasing the deficit. Over time, inflation would increase to accommodate a higher public debt. By contrast, imposing a strict inflation target would lower inflation permanently and insulate the primary deficit from political distortions. (C) 2015 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Martin, FM (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. EM martinbcra@gmail.com RI Martin, Fernando/I-5747-2016 OI Martin, Fernando/0000-0001-5045-7998 FU SFU/SSHRC Institutional Grants Committee FX I would like to thank the associate editor, two referees and seminar participants at the Chicago Fed Summer Workshop on Money, Banking and Payments, the University of Victoria, the conference on "Old and New Ideas about Fiscal Policy" at LAEF, the Annual Meeting of the Society for Economic Dynamics, the Vienna Macroeconomics Workshop, Stony Brook University, the Federal Reserve Bank of St. Louis, the National Bank of Slovakia, the Bank of England, the University of Oxford, Royal Holloway University of London, the Canadian Macroeconomics Study Group, Reading University and CEMFI. I also thank Brian Bergfeld, Wan-Jung Cheng, Wei Wang and Haitao Xiang for helpful research assistance, and Francisco Ruge-Murcia for a discussion at the 2013 CMSG. I gratefully acknowledge the SFU/SSHRC Institutional Grants Committee for financial support during the initial stage of this project. The views expressed in this paper do not necessarily reflect official positions of the Federal Reserve Bank of St. Louis, the Federal Reserve System, or the Board of Governors. NR 57 TC 2 Z9 2 U1 2 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD OCT PY 2015 VL 79 BP 129 EP 150 DI 10.1016/j.euroecorev.2015.07.009 PG 22 WC Economics SC Business & Economics GA CT8OD UT WOS:000363075000008 ER PT J AU Feigenbaum, J Li, G AF Feigenbaum, James Li, Geng TI Household income uncertainties over three decades SO OXFORD ECONOMIC PAPERS-NEW SERIES LA English DT Article ID CONSUMPTION INEQUALITY; IDIOSYNCRATIC RISK; UNITED-STATES; LIFE-CYCLE; VOLATILITY; HETEROGENEITY; INSURANCE; EARNINGS AB We study the trend in household income uncertainty using a novel approach that measures income uncertainty at each future horizon as the variance of forecast errors without imposing specific parametric restrictions on the underlying income shocks. We document a widespread increase in household income uncertainty since the early 1970s that is both statistically and economically significant. For example, our measure of near-future uncertainty in total family non-capital income rose about 40% between 1971 and 2002. This rising uncertainty is likely due to the increase in variances of both persistent and transitory income shocks. A parsimoniously calibrated Aiyagari model is solved to illustrate how rising income uncertainty should have affected aggregate saving. C1 [Feigenbaum, James] Utah State Univ, Dept Econ & Finance, Logan, UT 84322 USA. [Li, Geng] Fed Reserve Board, Washington, DC 20551 USA. RP Feigenbaum, J (reprint author), Utah State Univ, Dept Econ & Finance, Logan, UT 84322 USA. EM J.Feigen@aggiemail.usu.edu; geng.li@frb.gov NR 29 TC 0 Z9 0 U1 1 U2 3 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0030-7653 EI 1464-3812 J9 OXFORD ECON PAP JI Oxf. Econ. Pap.-New Ser. PD OCT PY 2015 VL 67 IS 4 BP 963 EP 986 DI 10.1093/oep/gpv007 PG 24 WC Economics SC Business & Economics GA CU0EC UT WOS:000363187800007 ER PT J AU Delavande, A Zafar, B AF Delavande, Adeline Zafar, Basit TI Stereotypes and Madrassas: Experimental evidence from Pakistan SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article; Proceedings Paper CT 4th Symposium on Economic Experiments in Developing Countries (SEEDEC) CY DEC, 2013 CL Bergen, NORWAY DE Madrassa; Group identity and behavior; Experiments; Trust ID GROUP MEMBERSHIP; INDIVIDUAL BEHAVIOR; SOCIAL PREFERENCES; NORM ENFORCEMENT; RISK ATTITUDES; TRUST; ECONOMICS; RELIGION; IMPACT; COOPERATION AB Little is known about the behavior of Madrassa (Islamic religious seminaries) students, and how other groups in their communities interact with them. To investigate this, we use data from economic decision-making experiments embedded in a survey that we collected from students pursuing bachelors-equivalent degrees in Madrassas and other educational institutions of distinct religious tendencies and socioeconomic background in Pakistan. First, we do not find that Madrassa students are less trusting of others; in fact, they exhibit the highest level of other-regarding behavior, and expect others to be the most trustworthy. Second, there is a high level of trust among all groups. Third, within each institution group, we fail to find evidence of in-group bias or systematic out-group bias either in trust or tastes. Fourth, we find that students from certain backgrounds under-estimate the trustworthiness of Madrassa students. (C) 2015 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/). C1 [Delavande, Adeline] Univ Essex, Inst Social & Econ Res, Colchester CO4 3SQ, Essex, England. [Delavande, Adeline] Nova Sch Business & Econ, Lisbon, Portugal. [Zafar, Basit] Fed Reserve Bank New York, New York, NY 10045 USA. RP Delavande, A (reprint author), Univ Essex, Inst Social & Econ Res, Wivenhoe Pk, Colchester CO4 3SQ, Essex, England. EM aldela@essex.ac.uk; basit.zafar@ny.frb.org FU RAND Independent Research and Development grant; Economic and Social Research Council Research Centre on Micro-social Change (MISOC) FX We would like to thank Yann Algan, Olivier Armentier, Stephan Meier, Luis Santos Pinto, Ernesto Reuben, Jacob Shapiro, Luis Vasconcelos, and seminar participants at the 2013 Symposium on Economic Experiments in Developing Countries, ASREC 2011 Meetings, Bocconi University, IMEBE 2011 Meetings, NBER 2011 Conference on Economics of Culture and Institutions, North American 2010 ESA Meetings, NY Fed Brown Bag, Rutgers University and University of Essex for helpful comments. Elizabeth Setren and, in particular, Elizabeth Brown and Maricar Mabutas provided outstanding research assistance. We are enormously indebted to Ali Cheema, Hisham Tariq, Noor Aslam, our local field teams and participating institutions for without their assistance this project would not have reached its conclusion. Funding through a RAND Independent Research and Development grant is gratefully acknowledged. Delavande also acknowledges funding from the Economic and Social Research Council Research Centre on Micro-social Change (MISOC). The views expressed in this paper do not necessarily reflect those of the Federal Reserve Bank of New York or the Federal Reserve System as a whole. Any errors that remain are ours. NR 96 TC 2 Z9 2 U1 6 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-2681 EI 1879-1751 J9 J ECON BEHAV ORGAN JI J. Econ. Behav. Organ. PD OCT PY 2015 VL 118 SI SI BP 247 EP 267 DI 10.1016/j.jebo.2015.03.020 PG 21 WC Economics SC Business & Economics GA CT6IM UT WOS:000362916700018 ER PT J AU Martin, FM AF Martin, Fernando M. TI POLICY AND WELFARE EFFECTS OF WITHIN-PERIOD COMMITMENT SO MACROECONOMIC DYNAMICS LA English DT Article DE Fiscal Policy; Time Consistency; Lack of Commitment; Markov-Perfect Equilibrium ID BALANCED-BUDGET RULES; OPTIMAL FISCAL-POLICY; OPTIMAL TAXATION; TAXES; EQUILIBRIUM; INVESTMENT; GROWTH; MODEL AB Consider the problem of a benevolent government that needs to finance the provision of a public good with distortionary taxes and cannot commit to policies beyond the current period. In such a case, public expenditure is inefficiently low. If the government further loses the ability to set tax rates before production in the period takes place, then it will not internalize how its policy choices distort current factor markets. Thus, to counterbalance the costs of future distortions, it increases public good provision. For a calibrated economy, removing within-period commitment implies a welfare gain worth half a percent of yearly consumption. A similar gain can be obtained if instead, capital depreciation is allowed to be fully deducted from taxable income. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Martin, FM (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM fernando.m.martin@stls.frb.org RI Martin, Fernando/I-5747-2016 OI Martin, Fernando/0000-0001-5045-7998 NR 26 TC 0 Z9 0 U1 0 U2 1 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 EI 1469-8056 J9 MACROECON DYN JI Macroecon. Dyn. PD OCT PY 2015 VL 19 IS 7 BP 1401 EP 1426 DI 10.1017/S1365100513000886 PG 26 WC Economics SC Business & Economics GA CT3PL UT WOS:000362719000001 ER PT J AU Lipinska, A AF Lipinska, Anna TI OPTIMAL MONETARY POLICY FOR THE EMU ACCESSION COUNTRIES. A NEW KEYNESIAN APPROACH SO MACROECONOMIC DYNAMICS LA English DT Article DE Optimal Monetary Policy; Maastricht Convergence Criteria; EMU Accession Countries ID SMALL OPEN-ECONOMY; EMERGING MARKET ECONOMIES; REAL EXCHANGE-RATE; BUSINESS-CYCLE; 2-COUNTRY MODEL; CURRENCY UNION; EURO AREA; INFLATION; RULES; RATES AB This paper uses a dynamic stochastic general equilibrium model of a two-sector small open economy to analyze how the Maastricht criteria modify a fully credible optimal monetary policy in the Economic and Monetary Union accession countries. We show that if the country is not constrained by the criteria, optimal policy should stabilize fluctuations in PPI inflation, in the aggregate output gap, and in the domestic and international terms of trade. The optimal policy constrained permanently by the Maastricht criteria is characterized by reduced variability of the nominal exchange rate, CPI inflation, and the nominal interest rate and by lower optimal targets for CPI inflation and nominal interest rate. This policy results in higher variability and nonzero means for both PPI inflation and output gap, thus leading to additional, but small, welfare costs compared with the unconstrained policy. C1 [Lipinska, Anna] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Lipinska, A (reprint author), Board Governors Fed Reserve Syst, Div Monetary Affairs, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM anna.lipinska@frb.gov NR 63 TC 0 Z9 0 U1 2 U2 6 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 EI 1469-8056 J9 MACROECON DYN JI Macroecon. Dyn. PD OCT PY 2015 VL 19 IS 7 BP 1427 EP 1475 DI 10.1017/S1365100513000898 PG 49 WC Economics SC Business & Economics GA CT3PL UT WOS:000362719000002 ER PT J AU Hall, SG Swamy, PAVB Tavlas, GS AF Hall, Stephen G. Swamy, P. A. V. B. Tavlas, George S. TI A NOTE ON GENERALIZING THE CONCEPT OF COINTEGRATION SO MACROECONOMIC DYNAMICS LA English DT Article DE Generalized Cointegration; Time-Varying-Coefficient Model ID FUNCTIONAL FORM MISSPECIFICATION; NONLINEAR COINTEGRATION; REGRESSIONS; MODELS; PRICES; ERROR AB Building on the time-varying-coefficient (TVC) model, we propose a generalization of the concept of cointegration, allowing for the possibility that a set of variables measured with error entails a nonlinear relationship with unknown functional form. Both the dependent and explanatory variables of this relationship may be nonstationary (not necessarily of unit-root type), but there exists a nonlinear combination of all these explanatory variables that completely explains all the variation in the dependent variable. The TVC model allows us to test for the presence of this generalized cointegration in the absence of knowledge of the true nonlinear functional form and the full set of explanatory variables. We present the basic stages of the technique and discuss in detail how the issues of nonstationarity and cointegration affect each stage of the TVC estimation procedure. C1 [Hall, Stephen G.] Univ Leicester, Bank Greece, Leicester LE1 7RH, Leics, England. [Hall, Stephen G.] Univ Pretoria, ZA-0002 Pretoria, South Africa. [Swamy, P. A. V. B.] Fed Reserve Board, Washington, DC USA. [Tavlas, George S.] Bank Greece, Athens 10250, Greece. RP Tavlas, GS (reprint author), Bank Greece, Monetary Policy Council, 21 El Venizelos Ave, Athens 10250, Greece. EM gtavlas@bankofgreece.gr NR 36 TC 0 Z9 0 U1 2 U2 2 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 EI 1469-8056 J9 MACROECON DYN JI Macroecon. Dyn. PD OCT PY 2015 VL 19 IS 7 BP 1633 EP 1646 DI 10.1017/S1365100513000928 PG 14 WC Economics SC Business & Economics GA CT3PL UT WOS:000362719000009 ER PT J AU Conflitti, C De Mol, C Giannone, D AF Conflitti, Cristina De Mol, Christine Giannone, Domenico TI Optimal combination of survey forecasts SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Article DE Forecast combination; Forecast evaluation; Survey of Professional Forecasters; Real-time data; Shrinkage; High-dimensional data ID DENSITY FORECASTS; REGRESSION; SHRINKAGE; ENSEMBLES; TESTS AB We consider the problem of combining individual forecasts of real gross domestic product (GDP) growth and Harmonized Index of Consumer Prices (HICP) inflation from the Survey of Professional Forecasters (SPF) for the Euro area. Contrary to the common practice of using equal combination weights, we compute weights which are optimal in the sense that they minimize the mean square forecast error (MSFE) in the case of point forecasts and maximize a logarithmic score in the case of density forecasts. We show that this is a viable strategy even when the number of forecasts to be combined gets large, provided that we constrain these weights to be positive and to sum to one. Indeed, this enforces a form of shrinkage on the weights which ensures a reasonable out-of-sample performance of the combined forecasts. (C) 2015 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved. C1 [Conflitti, Cristina; De Mol, Christine; Giannone, Domenico] Univ Libre Bruxelles, ECARES, Brussels, Belgium. [Conflitti, Cristina] Bank Italy, Perugia, Italy. [De Mol, Christine] Univ Libre Bruxelles, Dept Math, Brussels, Belgium. [Giannone, Domenico] LUISS Univ Rome, Rome, Italy. [Giannone, Domenico] CEPR, London, England. [Giannone, Domenico] Fed Reserve Bank New York, Res & Stat Grp, New York, NY USA. RP Giannone, D (reprint author), Univ Libre Bruxelles, ECARES, Brussels, Belgium. EM cristina.conflitti@bancaditalia.it; demol@ulb.ac.be; Domenico.Giannone@ny.frb.org OI Giannone, Domenico/0000-0003-3850-2586 FU IAP [P7/06 StUDys]; [ARC-AUWB/2010-15/ULB-11]; [GOA-VUB-062] FX This work was supported by the research contracts ARC-AUWB/2010-15/ULB-11 and IAP P7/06 StUDys (CDM and DG), as well as by the contract GOA-VUB-062 (CDM). Useful discussions with Mike Clements, Catherine Dehon, Dick van Dijk, Geoff Kenny, Kajal Lahiri, James Mitchell, Ingmar Nolte, Francesco Ravazzolo and Shaun Vahey are gratefully acknowledged. We also thank the Editor, Graham Elliott, as well as the anonymous Associate Editor and referees, for their constructive remarks, which helped to improve the manuscript. NR 38 TC 1 Z9 1 U1 5 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 EI 1872-8200 J9 INT J FORECASTING JI Int. J. Forecast. PD OCT-DEC PY 2015 VL 31 IS 4 BP 1096 EP 1103 DI 10.1016/j.ijforecast.2015.03.009 PG 8 WC Economics; Management SC Business & Economics GA CS4PL UT WOS:000362058000006 ER PT J AU Hollmayr, J Matthes, C AF Hollmayr, Josef Matthes, Christian TI Learning about fiscal policy and the effects of policy uncertainty SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE DSGE; Fiscal policy; Learning ID MONETARY-POLICY; BUSINESS CYCLES; EXPECTATIONS; SHOCKS; DEBT AB In this paper we ask how uncertainty about fiscal policy affects the impact of fiscal policy changes on the economy when the government tries to counteract a deep recession. The agents in our model are uncertain about the conduct of fiscal policy and act as econometricians by estimating fiscal policy rules that might change over time. We find that assuming that agents are not instantaneously aware of the new fiscal policy regime in place leads to substantially more volatility in the short run and persistent differences in average outcomes. We highlight issues that can arise when a policymaker wants to announce a policy change. From a methodological perspective, we introduce a novel way to model learning in the face of discrete policy changes. (C) 2015 Elsevier B.V. All rights reserved. C1 [Hollmayr, Josef] Deutsch Bundesbank, Frankfurt, Germany. [Matthes, Christian] Fed Reserve Bank Richmond, Richmond, VA 23219 USA. RP Matthes, C (reprint author), Fed Reserve Bank Richmond, Richmond, VA 23219 USA. EM josef.hollmayr@bundesbank.de; christian.matthes@rich.frb.org NR 30 TC 2 Z9 2 U1 2 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD OCT PY 2015 VL 59 BP 142 EP 162 DI 10.1016/j.jedc.2015.08.002 PG 21 WC Economics SC Business & Economics GA CS5RM UT WOS:000362135700008 ER PT J AU Lim, C Schulhofer-Wohl, S Kustritz, MR Molgaard, L Lee, D AF Lim, Christine Schulhofer-Wohl, Sam Kustritz, Margaret Root Molgaard, Laura Lee, David TI Financial expectations of first-year veterinary students Response SO JAVMA-JOURNAL OF THE AMERICAN VETERINARY MEDICAL ASSOCIATION LA English DT Letter C1 [Lim, Christine; Kustritz, Margaret Root] Univ Minnesota, Coll Vet Med, Dept Vet Clin Sci, St Paul, MN 55108 USA. [Schulhofer-Wohl, Sam] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. [Molgaard, Laura] Univ Minnesota, Coll Vet Med, Off Acad & Student Affairs, St Paul, MN 55108 USA. [Lee, David] Univ Minnesota, Coll Vet Med, Ctr Vet Med, St Paul, MN 55108 USA. RP Lim, C (reprint author), Univ Minnesota, Coll Vet Med, Dept Vet Clin Sci, St Paul, MN 55108 USA. NR 0 TC 1 Z9 1 U1 0 U2 0 PU AMER VETERINARY MEDICAL ASSOC PI SCHAUMBURG PA 1931 N MEACHAM RD SUITE 100, SCHAUMBURG, IL 60173-4360 USA SN 0003-1488 EI 1943-569X J9 JAVMA-J AM VET MED A JI JAVMA-J. Am. Vet. Med. Assoc. PD OCT 1 PY 2015 VL 247 IS 7 BP 735 EP 736 PG 2 WC Veterinary Sciences SC Veterinary Sciences GA CR7IS UT WOS:000361523400004 PM 26638227 ER PT J AU Cowan, K Drexler, A Yanez, A AF Cowan, Kevin Drexler, Alejandro Yanez, Alvaro TI The effect of credit guarantees on credit availability and delinquency rates SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Banking; Financial intermediation; Guarantees; Credit constraints ID ASYMMETRIC INFORMATION; IMPERFECT INFORMATION; FINANCIAL CONSTRAINTS; MARKET; INTERVENTION; INCENTIVES; EQUILIBRIA; COUNTRIES; ACCESS; NUMBER AB We use new data to examine whether credit guarantees affect economic incentives and whether they affect the credit available to small- and medium-size enterprises (SMEs). We find that firms that have both guaranteed and non-guaranteed loans are 1.67% more likely to miss payments on their guaranteed loans, but are not more likely to default on these loans. These findings suggest that guarantees affect firms' incentives to repay loans but not their long-term performance. We also find that firms selected into the guarantee programs are 1.17% more likely to default on their loans compared with similar firms that borrow without guarantees. Since we find evidence that long-term performance is not affected by guarantees, the higher default rates among firms selected into the guarantee programs must be the consequence of adverse selection. We also find that credit guarantees increase the aggregated amount of credit; in particular, one additional dollar of guarantees increases the total credit for SMEs by US$ 0.65. (C) 2015 Elsevier B.V. All rights reserved. C1 [Cowan, Kevin] Interamer Dev Bank, Washington, DC USA. [Drexler, Alejandro] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Yanez, Alvaro] Superintendencia Bancos & Instituc Financieras Ch, Santiago 1123, Chile. RP Drexler, A (reprint author), Fed Reserve Bank Chicago, 230 South Lasalle St, Chicago, IL 60604 USA. EM alejandro.h.drexler@chi.frb.org NR 43 TC 1 Z9 1 U1 2 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD OCT PY 2015 VL 59 BP 98 EP 110 DI 10.1016/j.jbankfin.2015.04.024 PG 13 WC Business, Finance; Economics SC Business & Economics GA CR8EA UT WOS:000361582700007 ER PT J AU Bowman, D Cai, F Davies, S Kamin, S AF Bowman, David Cai, Fang Davies, Sally Kamin, Steven TI Quantitative easing and bank lending: Evidence from Japan SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Quantitative easing; Japan; Bank lending; Unconventional monetary policy; Central bank; Credit ID MONETARY-POLICY; PANEL-DATA; TRANSMISSION; ESTIMATORS; MODELS AB Prior to the recent global financial crisis, one of the most prominent examples of unconventional monetary stimulus was Japan's "quantitative easing policy" (QEP). Most analysts agree that the QEP did not succeed in stimulating aggregate demand sufficiently to overcome persistent deflation. However, it remains unclear whether the QEP simply provided little stimulus, or whether its positive effects were overwhelmed by the contractionary forces in Japan's post-bubble economy. In the spirit of Kashyap and Stein (2000) and Hosono (2006), this paper uses bank-level data from 2000 to 2009 to examine the effectiveness in promoting bank lending of a key element of the QEP, the Bank of Japan's injections of liquidity into the interbank market. We identify a robust, positive, and statistically significant effect of bank liquidity positions on lending, especially for weaker banks, suggesting that the expansion of reserves associated with the QEP boosted the flow of credit. However, the overall size of that boost was probably quite small. First, the estimated response of lending to liquidity positions in our regressions is small. Second, although the BOJ's reserve injections boosted bank liquidity significantly, much of the effect was offset as banks reduced their lending to each other. Finally, the effect of liquidity on lending appears to have held only during the initial years of the QEP, when the banking system was at its weakest; by 2005, even before the QEP was abandoned, the relationship between liquidity and lending had evaporated. Published by Elsevier Ltd. C1 [Bowman, David; Cai, Fang; Davies, Sally; Kamin, Steven] Fed Reserve Syst, Div Int Finance, Washington, DC 20551 USA. RP Cai, F (reprint author), Fed Reserve Syst, Div Int Finance, Washington, DC 20551 USA. EM fang.cai@frb.gov NR 17 TC 1 Z9 1 U1 3 U2 17 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 EI 1873-0639 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD OCT PY 2015 VL 57 BP 15 EP 30 DI 10.1016/j.jimonfin.2015.05.002 PG 16 WC Business, Finance SC Business & Economics GA CR2KB UT WOS:000361157100002 ER PT J AU Chudik, A Pesaran, MH AF Chudik, Alexander Pesaran, M. Hashem TI Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors SO JOURNAL OF ECONOMETRICS LA English DT Article DE Large panels; Lagged dependent variable; Cross section dependence; Coefficient heterogeneity; Estimation and inference; Common correlated effects; Unobserved common factors ID RECURSIVE MEAN ADJUSTMENT; UNIT-ROOT TESTS; MULTIFACTOR ERROR STRUCTURE; CROSS-SECTION DEPENDENCE; BIAS; TIME; INFERENCE AB This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data models with lagged dependent variables and/or weakly exogenous regressors. We show that the CCE mean group estimator continues to be valid but the following two conditions must be satisfied to deal with the dynamics: a sufficient number of lags of cross section averages must be included in individual equations of the panel, and the number of cross section averages must be at least as large as the number of unobserved common factors. We establish consistency rates, derive the asymptotic distribution, suggest using covariates to deal with the effects of multiple unobserved common factors, and consider jackknife and recursive de-meaning bias correction procedures to mitigate the small sample time series bias. Theoretical findings are accompanied by extensive Monte Carlo experiments, which show that the proposed estimators perform well so long as the time series dimension of the panel is sufficiently large. (C) 2015 Elsevier B.V. All rights reserved. C1 [Chudik, Alexander] Fed Reserve Bank Dallas, CAFE, Dallas, TX 75201 USA. [Pesaran, M. Hashem] Univ So Calif, INET, Los Angeles, CA 90089 USA. [Pesaran, M. Hashem] Trinity Coll, Cambridge, England. RP Chudik, A (reprint author), Fed Reserve Bank Dallas, CAFE, 2200 N Pearl St, Dallas, TX 75201 USA. EM alexander.chudik@dal.frb.org; pesaran@usc.edu FU ESRC [ES/I031626/1] FX We are grateful to two anonymous referees, Ron Smith, Vanessa Smith, Dongguy Sul, Takashi Yamagata and Qiankun Zhou for helpful comments. In writing of this paper, Chudik benefited from the visit to the Center for Applied Financial Economics (CAFE). Pesaran acknowledges financial support from ESRC grant no. ES/I031626/1. NR 60 TC 13 Z9 13 U1 2 U2 12 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 EI 1872-6895 J9 J ECONOMETRICS JI J. Econom. PD OCT PY 2015 VL 188 IS 2 BP 393 EP 420 DI 10.1016/j.jeconom.2015.03.007 PG 28 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA CQ2GF UT WOS:000360417300007 ER PT J AU Cai, WB Ravikumar, B Riezman, RG AF Cai, Wenbiao Ravikumar, B. Riezman, Raymond G. TI THE QUANTITATIVE IMPORTANCE OF OPENNESS IN DEVELOPMENT SO ECONOMIC INQUIRY LA English DT Article ID RELATIVE PRICES; GROWTH; POLICY AB This paper deals with a classic development question: how can the process of economic developmenttransition from stagnation in a traditional technology to industrialization and prosperity with a modern technologybe accelerated? Lewis (1954) and Rostow (1956) argue that the pace of industrialization is limited by the rate of capital formation which in turn is limited by the savings rate of workers close to subsistence. We argue that access to capital goods in the world market can be quantitatively important in speeding up the transition. We develop a parsimonious open-economy model where traditional and modern technologies coexist (a dual economy in the sense of Lewis 1954). We show that a decline in the world price of capital goods in an open economy increases the rate of capital formation and speeds up the pace of industrialization relative to a closed economy that lacks access to cheaper capital goods. In the long run, the investment rate in the open economy is twice as high as in the closed economy and the per capita income is 23% higher. (JEL O11, F43, O14) C1 [Cai, Wenbiao] Univ Winnipeg, Dept Econ, Winnipeg, MB R3B 2E9, Canada. [Ravikumar, B.] Fed Reserve Bank, Div Res, St Louis, MO 63166 USA. [Riezman, Raymond G.] Univ Iowa, Dept Econ, Iowa City, IA 52242 USA. RP Cai, WB (reprint author), Univ Winnipeg, Dept Econ, Winnipeg, MB R3B 2E9, Canada. EM we.cai@uwinnipeg.ca; b.ravikumar@wustl.edu; raymond-riezman@uiowa.edu NR 24 TC 0 Z9 0 U1 0 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 EI 1465-7295 J9 ECON INQ JI Econ. Inq. PD OCT PY 2015 VL 53 IS 4 BP 1839 EP 1849 DI 10.1111/ecin.12216 PG 11 WC Economics SC Business & Economics GA CP7VP UT WOS:000360097500010 ER PT J AU Edwards, C AF Edwards, Craig TI The instantaneous return and volatility of a covered call position SO APPLIED ECONOMICS LETTERS LA English DT Article DE equity options; instantaneous risk; covered call; investment management; G12; G11 AB This article derives and examines the instantaneous return and volatility of a covered call position under standard Black-Scholes dynamics and compares it with that of a long position in the underlying asset. It is demonstrated that the instantaneous volatility and instantaneous expected return of the covered call position are always less than or equal those of being long the underlying asset, while the instantaneous Sharpe Ratios of these two positions are equal. C1 Fed Reserve Bank Richmond, Charlotte, NC 28230 USA. RP Edwards, C (reprint author), Fed Reserve Bank Richmond, Charlotte, NC 28230 USA. EM craig.edwards@rich.frb.org NR 7 TC 0 Z9 0 U1 0 U2 1 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1350-4851 EI 1466-4291 J9 APPL ECON LETT JI Appl. Econ. Lett. PD SEP 2 PY 2015 VL 22 IS 13 BP 1059 EP 1063 DI 10.1080/13504851.2014.1000514 PG 5 WC Economics SC Business & Economics GA CJ9AJ UT WOS:000355794400010 ER PT J AU Boldin, M Wright, JH AF Boldin, Michael Wright, Jonathan H. TI Weather-Adjusting Economic Data SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article ID SHOCKS AB This paper proposes and implements a statistical methodology for adjusting employment data for the effects of deviations in weather from seasonal norms. This is distinct from seasonal adjustment, which controls only for the normal variation in weather across the year. We simultaneously control for both of these effects by integrating a weather adjustment step in the seasonal adjustment process. We use several indicators of weather, including temperature and snowfall. We find that weather effects can be important, shifting the monthly payroll change number by more than 100,000 in either direction. The effects are largest in the winter and early spring months and in the construction sector. A similar methodology is constructed and applied to data in the national income and product accounts (NIPA), although the manner in which NIPA data are reported makes it impossible to integrate weather and seasonal adjustments fully. C1 [Boldin, Michael] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Wright, Jonathan H.] Johns Hopkins Univ, Baltimore, MD 21218 USA. RP Boldin, M (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. NR 20 TC 0 Z9 0 U1 0 U2 0 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA SN 0007-2303 EI 1533-4465 J9 BROOKINGS PAP ECO AC JI Brook. Pap. Econ. Act. PD FAL PY 2015 BP 227 EP 260 PG 34 WC Economics SC Business & Economics GA DK8IL UT WOS:000375170300014 ER PT J AU Veltri, SC Cavanagh, G AF Veltri, Stephen C. Cavanagh, Greg TI Payments SO BUSINESS LAWYER LA English DT Editorial Material C1 [Veltri, Stephen C.] Ohio No Univ, Claude W Pettit Coll Law, Law, Ada, OH 45810 USA. [Cavanagh, Greg] Fed Reserve Bank New York, New York, NY 10045 USA. RP Veltri, SC (reprint author), Ohio No Univ, Claude W Pettit Coll Law, Law, Ada, OH 45810 USA. NR 32 TC 1 Z9 1 U1 0 U2 0 PU AMER BAR ASSOC, ADMINISTRATIVE LAW & REGULATORY PRACTICE SECTION PI CHICAGO PA 321 N CLARK ST, CHICAGO, IL 60610 USA SN 0007-6899 EI 2164-1838 J9 BUS LAWYER JI Bus. Lawyer PD FAL PY 2015 VL 70 IS 4 BP 1197 EP 1217 PG 21 WC Law SC Government & Law GA DD2TI UT WOS:000369774700011 ER PT J AU Boldrin, M De Nardi, M Jones, LE AF Boldrin, Michele De Nardi, Mariacristina Jones, Larry E. TI FERTILITY AND SOCIAL SECURITY SO JOURNAL OF DEMOGRAPHIC ECONOMICS LA English DT Article DE Fertility; Growth; Social Security ID AS-YOU-GO; ENDOGENOUS FERTILITY; ECONOMIC-GROWTH; PUBLIC PENSIONS; MODEL; BEHAVIOR; MORTALITY AB The data show that an increase in government provided old-age pensions is strongly correlated with a reduction in fertility. What type of model is consistent with this finding? We explore this question using two models of fertility, the one by Barro and Becker (1989), and the one inspired by Caldwell and developed by Boldrin and Jones (2002). In the Barro and Becker model parents have children because they perceive their children's lives as a continuation of their own. In the Boldrin and Jones' framework parents procreate because the children care about their old parents' utility, and thus provide them with old age transfers. The effect of increases in government provided pensions on fertility in the Barro and Becker model is very small, and inconsistent with the empirical findings. The effect on fertility in the Boldrin and Jones model is sizeable and accounts for between 55 and 65% of the observed Europe-US fertility differences both across countries and across time and over 80% of the observed variation seen in a broad cross section of countries. Another key factor affecting fertility the Boldrin and Jones model is the access to capital markets, which can account for the other half of the observed change in fertility in developed countries over the last 70 years. C1 [Boldrin, Michele] Washington Univ, St Louis, MO USA. [Boldrin, Michele] Fed Reserve Bank St Louis, St Louis, MO USA. [De Nardi, Mariacristina] UCL, London, England. [De Nardi, Mariacristina] Fed Reserve Bank Chicago, Chicago, IL USA. [De Nardi, Mariacristina] IFS, London, England. [De Nardi, Mariacristina] CfM, London, England. [De Nardi, Mariacristina; Jones, Larry E.] NBER, Cambridge, MA 02138 USA. [Jones, Larry E.] Univ Minnesota, Minneapolis, MN 55455 USA. [Jones, Larry E.] Fed Reserve Bank Minnesota, Minneapolis, MN USA. RP Jones, LE (reprint author), Univ Minnesota, Dept Econ, 4-101 Hanson Hall,1925 4th St S, Minneapolis, MN 55455 USA. EM lej@umn.edu FU National Science Foundation FX The authors thank Robert Barro for his comments on an earlier draft, seminar participants at CERGE (Prague), Columbia University, the Minneapolis Fed, New York University Stern School of Business, Northwestern University, and Stanford University, for many helpful discussions, Alice Schoonbroodt for excellent research assistantship and the National Science Foundation for financial support. NR 41 TC 1 Z9 1 U1 2 U2 2 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA EDINBURGH BLDG, SHAFTESBURY RD, CB2 8RU CAMBRIDGE, ENGLAND SN 2054-0892 EI 2054-0906 J9 J DEMOGR ECON JI J.Demogr. Econ. PD SEP PY 2015 VL 81 IS 3 BP 261 EP 299 DI 10.1017/dem.2014.14 PG 39 WC Demography; Economics SC Demography; Business & Economics GA DA1QF UT WOS:000367569700002 ER PT J AU Greenwood, J Seshadri, A Vandenbroucke, G AF Greenwood, Jeremy Seshadri, Ananth Vandenbroucke, Guillaume TI MEASUREMENT WITHOUT THEORY, ONCE AGAIN SO JOURNAL OF DEMOGRAPHIC ECONOMICS LA English DT Article ID BABY BOOM; TIME AB Bailey and Collins (2011) argue that Greenwood, Seshadri, and Vandenbroucke's (2005) hypothesis that the baby boom was partly due to a burst of productivity in the household sector is not supported by evidence. This conclusion is based on regression results showing that appliance ownership is negatively correlated with fertility. They also argue that the Amish, who limit the use of modern technology, had a baby boom. First, it is demonstrated that a negative correlation between appliance ownership and fertility can arise naturally in Greenwood, Seshadri, and Vandenbroucke's model. Second, evidence is presented casting doubt on the presumed technology phobia of the Amish. C1 [Greenwood, Jeremy] Univ Penn, Philadelphia, PA 19104 USA. [Seshadri, Ananth] Univ Wisconsin, Madison, WI 53706 USA. [Vandenbroucke, Guillaume] Fed Reserve Bank St Louis, St Louis, MO USA. RP Greenwood, J (reprint author), Univ Penn, Philadelphia, PA 19104 USA. RI Vandenbroucke, Guillaume/I-5754-2016 OI Vandenbroucke, Guillaume/0000-0003-4056-3177 NR 22 TC 0 Z9 0 U1 0 U2 1 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA EDINBURGH BLDG, SHAFTESBURY RD, CB2 8RU CAMBRIDGE, ENGLAND SN 2054-0892 EI 2054-0906 J9 J DEMOGR ECON JI J.Demogr. Econ. PD SEP PY 2015 VL 81 IS 3 BP 317 EP 329 DI 10.1017/dem.2015.9 PG 13 WC Demography; Economics SC Demography; Business & Economics GA DA1QF UT WOS:000367569700004 ER PT J AU Oet, MV Dooley, JM Janosko, AC Gramlich, D Ong, SJ AF Oet, Mikhail V. Dooley, John M. Janosko, Amanda C. Gramlich, Dieter Ong, Stephen J. TI Supervising System Stress in Multiple Markets SO RISKS LA English DT Article DE financial stress; supervision; financial system stability; systemic risk ID CRISES AB This paper develops an extended financial stress measure that considers the supervisory objective of identifying risks to the stability of the financial system. The measure provides a continuous and bounded signal of financial stress using daily public market data. Broad coverage of material financial system markets over time is achieved by leveraging dynamic credit weights. We consider how this measure can be used to monitor, analyze, and alert financial system stress. C1 [Oet, Mikhail V.; Dooley, John M.; Janosko, Amanda C.; Ong, Stephen J.] Fed Reserve Bank Cleveland, Supervis & Regulat, Cleveland, OH 44114 USA. [Oet, Mikhail V.] Case Western Reserve Univ, Cleveland, OH 44106 USA. [Gramlich, Dieter] Baden Wuerttemberg Cooperat State Univ, Banking, D-89518 Heidenheim, Germany. RP Oet, MV (reprint author), Fed Reserve Bank Cleveland, Supervis & Regulat, 1455 E 6th St, Cleveland, OH 44114 USA. EM mikhail.v.oet@clev.frb.org; john.m.dooley@clev.frb.org; amanda.c.janosko@clev.frb.org; gramlich@dhbw-heidenheim.de; stephen.j.ong@clev.frb.org NR 45 TC 1 Z9 1 U1 0 U2 0 PU MDPI AG PI BASEL PA POSTFACH, CH-4005 BASEL, SWITZERLAND SN 2227-9091 J9 RISKS JI Risks PD SEP PY 2015 VL 3 IS 3 BP 365 EP 389 DI 10.3390/risks3030365 PG 25 WC Business, Finance SC Business & Economics GA CU0MS UT WOS:000363211800007 ER PT J AU Oet, MV Dooley, JM Ong, SJ AF Oet, Mikhail V. Dooley, John M. Ong, Stephen J. TI The Financial Stress Index: Identification of Systemic Risk Conditions SO RISKS LA English DT Article DE financial stress; systemic conditions; crisis identification; financial system stability; systemic risk; early warning system ID BANKING CRISES; MODELS AB This paper develops a financial stress measure for the United States, the Cleveland Financial Stress Index (CFSI). The index is based on publicly available data describing a six-market partition of the financial system comprising credit, funding, real estate, securitization, foreign exchange, and equity markets. This paper improves upon existing stress measures by objectively selecting between several index weighting methodologies across a variety of monitoring frequencies through comparison against a volatility-based benchmark series. The resulting measure facilitates the decomposition of stress to identify disruptions in specific markets and provides insight into historical stress regimes. C1 [Oet, Mikhail V.; Dooley, John M.; Ong, Stephen J.] Fed Reserve Bank Cleveland, Supervis & Regulat, Cleveland, OH 44114 USA. [Oet, Mikhail V.] Case Western Reserve Univ, Cleveland, OH 44106 USA. RP Oet, MV (reprint author), Fed Reserve Bank Cleveland, Supervis & Regulat, 1455 E 6th St, Cleveland, OH 44114 USA. EM mikhail.v.oet@clev.frb.org; john.m.dooley@clev.frb.org; stephen.j.ong@clev.frb.org NR 69 TC 1 Z9 1 U1 6 U2 10 PU MDPI AG PI BASEL PA POSTFACH, CH-4005 BASEL, SWITZERLAND SN 2227-9091 J9 RISKS JI Risks PD SEP PY 2015 VL 3 IS 3 BP 420 EP 444 DI 10.3390/risks3030420 PG 25 WC Business, Finance SC Business & Economics GA CU0MS UT WOS:000363211800009 ER PT J AU Garnier, C Mertens, E Nelson, E AF Garnier, Christine Mertens, Elmar Nelson, Edward TI Trend Inflation in Advanced Economies SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID US INFLATION; OUTPUT-GAP; PERSISTENCE; DECOMPOSITION; DYNAMICS; TARGET; TIME; COST AB We derive estimates of trend inflation for fourteen advanced economies from a framework in which trend shocks exhibit stochastic volatility. The estimated specification allows for time variation in the degree to which longer-term inflation expectations are well anchored in each economy. Our results bring out the effect of changes in monetary regime (such as the adoption of inflation targeting in several countries) on the behavior of trend inflation. Our estimates represent an expansion of those in the previous literature along several dimensions. For each country, we employ a multivariate approach that pools different inflation series in order to identify their common trend. In addition, our estimates of the inflation gap (that is, the difference between trend and observed inflation) are allowed to exhibit considerable persistence-a treatment that affects the trend estimates to some extent. A forecast evaluation based on quasi-real-time estimates registers sizable improvements in inflation forecasts at different horizons for almost all countries considered. It remains the case, however, that simple random-walk forecasts of inflation are difficult to outperform by a statistically significant amount. C1 [Garnier, Christine] Tufts Univ, Medford, MA USA. [Mertens, Elmar] Fed Reserve Board, Washington, DC 20551 USA. [Nelson, Edward] Univ Sydney, Sydney, NSW 2006, Australia. RP Mertens, E (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM elmar.mertens@frb.gov NR 45 TC 3 Z9 3 U1 0 U2 0 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD SEP PY 2015 VL 11 IS 4 BP 65 EP 136 PG 72 WC Business, Finance SC Business & Economics GA CY3ZW UT WOS:000366349400003 ER PT J AU Wolman, AL AF Wolman, Alexander L. TI Discussion of "Inflation Targeting: A Victim of Its Own Success" SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Editorial Material C1 [Wolman, Alexander L.] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. RP Wolman, AL (reprint author), Fed Reserve Bank Richmond, Res Dept, 701 E Byrd St, Richmond, VA 23219 USA. EM alexander.wolman@rich.frb.org NR 1 TC 0 Z9 0 U1 0 U2 0 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD SEP PY 2015 VL 11 IS 4 BP 289 EP 293 PG 5 WC Business, Finance SC Business & Economics GA CY3ZW UT WOS:000366349400010 ER PT J AU Davig, T Gurkaynak, RS AF Davig, Troy Gurkaynak, Refet S. TI Is Optimal Monetary Policy Always Optimal? SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID FINANCIAL STABILITY; FISCAL-POLICIES; FRAMEWORK; COMMITMENT; DISCRETION; INFLATION; DEBT AB In a world with multiple inefficiencies, the single policy tool the central bank has control over will not undo all inefficiencies; this is well established. We argue that the world is better characterized by multiple inefficiencies and multiple policymakers with various objectives. Asking the policy question only in terms of optimal monetary policy effectively turns the central bank into the residual claimant of all policy and gives the other policymakers a free hand in pursuing their own goals. This further worsens the trade-offs faced by the central bank. The optimal monetary policy literature and the optimal simple rules often labeled flexible inflation targeting assign all of the cyclical policymaking duties to central banks. This distorts the policy discussion and narrows the policy choices to a sub-optimal set. We highlight this issue and call for a broader thinking of optimal policies. C1 [Davig, Troy] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. [Gurkaynak, Refet S.] Bilkent Univ, Dept Econ, TR-06800 Ankara, Turkey. [Gurkaynak, Refet S.] CEPR, Washington, DC USA. [Gurkaynak, Refet S.] CFS, Washington, DC USA. [Gurkaynak, Refet S.] CESifo, Munich, Germany. RP Davig, T (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. EM troy.davig@kc.frb.org; refet@bilkent.edu.tr NR 22 TC 0 Z9 0 U1 0 U2 0 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD SEP PY 2015 VL 11 IS 4 BP 353 EP 384 PG 32 WC Business, Finance SC Business & Economics GA CY3ZW UT WOS:000366349400012 ER PT J AU Ihrig, JE Meade, EE Weinbach, GC AF Ihrig, Jane E. Meade, Ellen E. Weinbach, Gretchen C. TI Rewriting Monetary Policy 101: What's the Fed's Preferred Post-Crisis Approach to Raising Interest Rates? SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article C1 [Ihrig, Jane E.; Meade, Ellen E.; Weinbach, Gretchen C.] Board Governors Fed Reserve Syst, Div Monetary Affairs, Washington, DC 20551 USA. RP Ihrig, JE (reprint author), Board Governors Fed Reserve Syst, Div Monetary Affairs, Washington, DC 20551 USA. EM jane.e.ihrig@frb.gov; ellen.meade@frb.gov; gweinbach@frb.gov NR 11 TC 1 Z9 1 U1 1 U2 2 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 EI 1944-7965 J9 J ECON PERSPECT JI J. Econ. Perspect. PD FAL PY 2015 VL 29 IS 4 BP 177 EP 198 DI 10.1257/jep.29.4.177 PG 22 WC Economics SC Business & Economics GA CW2FZ UT WOS:000364807800009 ER PT J AU Houle, JN Collins, JM Schmeiser, MD AF Houle, Jason N. Collins, J. Michael Schmeiser, Maximilian D. TI Flu and Finances: Influenza Outbreaks and Loan Defaults in US Cities, 2004-2012 SO AMERICAN JOURNAL OF PUBLIC HEALTH LA English DT Article ID SEASONAL INFLUENZA; UNITED-STATES; HEALTH; IMPACT; FORECLOSURE; ACCESS; SICK; DEBT AB Objectives. We examined the association between influenza outbreaks in 83 metropolitan areas and credit card and mortgage defaults, as measured in quarterly zip code-level credit data over the period of 2004 to 2012. Methods. We used ordinary least squares, fixed effects, and 2-stage least squares instrumental variables regression strategies to examine the relationship between influenza-related Google searches and 30-, 60-, and 90-day credit card and mortgage delinquency rates. Results. We found that a proxy for influenza outbreaks is associated with a small but statistically significant increase in credit card and mortgage default rates, net of other factors. These effects are largest for 90-day defaults, suggesting that influenza outbreaks have a disproportionate impact on vulnerable borrowers who are already behind on their payments. Conclusions. Overall, it appears there is a relationship between exogenous health shocks (such as influenza) and credit default. The results suggest that consumer finances could benefit from policies that aim to reduce the financial shocks of illness, particularly for vulnerable borrowers. C1 [Houle, Jason N.] Dartmouth Coll, Dept Sociol, Hanover, NH 03755 USA. [Collins, J. Michael] Univ Wisconsin, Sch Human Ecol, Madison, WI 53706 USA. [Collins, J. Michael] Univ Wisconsin, LaFollette Sch Publ Affairs, Madison, WI 53706 USA. [Schmeiser, Maximilian D.] Fed Reserve Board, Microecon Surveys Sect, Washington, DC USA. RP Houle, JN (reprint author), Dartmouth Coll, 6104 Silsby Hall,Room 104, Hanover, NH 03755 USA. EM jason.houle@dartmouth.edu FU Robert Wood Johnson Foundation Health and Society Scholars Program; Rockefeller Center for Public Policy at Dartmouth College; John D. and Catherine T. MacArthur Foundation [10-96308-000-USP] FX The authors thank the Robert Wood Johnson Foundation Health and Society Scholars Program, the Rockefeller Center for Public Policy at Dartmouth College, and The John D. and Catherine T. MacArthur Foundation (10-96308-000-USP) for its generous financial support. NR 36 TC 0 Z9 0 U1 1 U2 3 PU AMER PUBLIC HEALTH ASSOC INC PI WASHINGTON PA 800 I STREET, NW, WASHINGTON, DC 20001-3710 USA SN 0090-0036 EI 1541-0048 J9 AM J PUBLIC HEALTH JI Am. J. Public Health PD SEP PY 2015 VL 105 IS 9 BP E75 EP E80 DI 10.2105/AJPH.2015.302671 PG 6 WC Public, Environmental & Occupational Health SC Public, Environmental & Occupational Health GA CV5PG UT WOS:000364322600018 PM 26180971 ER PT J AU Farber, HS Valletta, RG AF Farber, Henry S. Valletta, Robert G. TI Do Extended Unemployment Benefits Lengthen Unemployment Spells? Evidence from Recent Cycles in the US Labor Market SO JOURNAL OF HUMAN RESOURCES LA English DT Article ID GREAT RECESSION; INSURANCE; DURATION; ERRORS; JOB AB In response to the recession of 2007-2009, the maximum duration of U.S unemployment insurance (UI) benefits was extended to an unprecedented 99 weeks. We exploit variation in the timing and size of the UI benefit extensions across states to estimate their overall impact on unemployment exits, comparing the most recent and prior extension episodes. We find a small but statistically significant increase in labor force attachment due to extended UI in both periods with little or no impact on job finding. Despite these small estimates, extended benefits can account for a substantial share of the increase in long-term unemployment. C1 [Farber, Henry S.] Princeton Univ, Econ, Princeton, NJ 08544 USA. [Valletta, Robert G.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Farber, HS (reprint author), Princeton Univ, Econ, Princeton, NJ 08544 USA. EM rob.valletta@sf.frb.org NR 29 TC 3 Z9 3 U1 3 U2 7 PU UNIV WISCONSIN PRESS PI MADISON PA JOURNAL DIVISION, 1930 MONROE ST, 3RD FL, MADISON, WI 53711 USA SN 0022-166X EI 1548-8004 J9 J HUM RESOUR JI J. Hum. Resour. PD FAL PY 2015 VL 50 IS 4 BP 873 EP 909 PG 37 WC Economics; Industrial Relations & Labor SC Business & Economics GA CV7FF UT WOS:000364437100002 ER PT J AU Dimitrova-Grajzl, V Grajzl, P Guse, AJ Todd, RM AF Dimitrova-Grajzl, Valentina Grajzl, Peter Guse, A. Joseph Todd, Richard M. TI Consumer credit on American Indian reservations SO ECONOMIC SYSTEMS LA English DT Article DE American Indian reservations; Consumer credit; Credit conditions; Credit usage ID ECONOMIC-DEVELOPMENT; GROWTH AB This paper provides the first encompassing quantitative picture of consumer credit in Indian Country. Drawing on a unique large-scale consumer credit database, we find that Equifax Risk Scores and the use of certain forms of credit, especially mortgages, are low on reservations. However, usage of other forms of credit on reservations is not always low. Moreover, the gaps in credit usage on versus off reservations differ significantly across states and can change notably over time. Among predictors of consumer credit outcomes, the percentage of American Indian residents is robustly negatively associated with favorable credit outcomes. Furthermore, once controlling for racial composition, the effect of an area's location vis-a-vis a reservation often becomes statistically insignificant. Other socio-economic variables are generally poor predictors of credit outcomes on reservations. State jurisdiction over legal matters is, at least on average, associated with favorable credit outcomes on reservations. (C) 2015 Elsevier B.V. All rights reserved. C1 [Dimitrova-Grajzl, Valentina] Virginia Mil Inst, Dept Econ & Business, Lexington, VA 24450 USA. [Dimitrova-Grajzl, Valentina; Grajzl, Peter; Guse, A. Joseph] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Grajzl, Peter; Guse, A. Joseph] Washington & Lee Univ, Dept Econ, Williams Sch Commerce Econ & Polit, Lexington, VA 24450 USA. [Todd, Richard M.] Fed Reserve Bank Minneapolis, Community Dev Dept, Minneapolis, MN USA. RP Grajzl, P (reprint author), Washington & Lee Univ, Dept Econ, Williams Sch Commerce Econ & Polit, Lexington, VA 24450 USA. EM dimitrova-grajzlvp@vmi.edu; grajzlp@wlu.edu; gusej@wlu.edu; dick.todd@mpls.frb.org NR 43 TC 1 Z9 1 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0939-3625 EI 1878-5433 J9 ECON SYST JI Econ. Syst. PD SEP PY 2015 VL 39 IS 3 BP 518 EP 540 DI 10.1016/j.ecosys.2015.01.005 PG 23 WC Economics SC Business & Economics GA CV4OO UT WOS:000364246600011 ER PT J AU Francesconi, M Rainer, H van der Klaauw, W AF Francesconi, Marco Rainer, Helmut van der Klaauw, Wilbert TI Unintended consequences of welfare reform for children with single parents: a theoretical analysis SO REVIEW OF ECONOMICS OF THE HOUSEHOLD LA English DT Article DE Divorced parents; Tax-benefit policy; Child care; Child support ID WORK BENEFIT REFORM; INCOME-TAX CREDIT; LABOR-MARKET; SUPPORT; CARE; COUPLES; ADJUSTMENT; TRANSFERS AB This paper formulates a model to examine the effects of changes in tax-benefit policy on the behavior of divorced parents and the well-being of children in single-parent households. Noncustodial parents choose the level of a child support payment to transfer to custodians. These, in turn, decide over child good expenditures and the allocation of time between market work and parenting. Our main finding shows that welfare policies that subsidize childcare expenditures or reduce withdrawal rates, which are most certainly intended to improve the conditions of working single parents and their children, could actually have the reverse effect. C1 [Francesconi, Marco] Univ Essex, Inst Fiscal Studies, Colchester CO4 3SQ, Essex, England. [Rainer, Helmut] Univ Munich, Ifo Inst Econ Res, CESifo, Munich, Germany. [van der Klaauw, Wilbert] Fed Reserve Bank New York, New York, NY 10045 USA. RP van der Klaauw, W (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM mfranc@essex.ac.uk; rainer@ifo.de; wilbert.vanderklaauw@ny.frb.org NR 39 TC 0 Z9 0 U1 4 U2 11 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 1569-5239 EI 1573-7152 J9 REV ECON HOUSEHOLD JI Rev. Econ. Househ. PD SEP PY 2015 VL 13 IS 3 BP 709 EP 733 DI 10.1007/s11150-013-9226-5 PG 25 WC Economics SC Business & Economics GA CU7NQ UT WOS:000363728000010 ER PT J AU Durham, JB AF Durham, J. Benson TI Can Long-Only Investors Use Momentum to Beat the US Treasury Market? SO FINANCIAL ANALYSTS JOURNAL LA English DT Article ID TERM STRUCTURE; RETURNS; STOCK; UNDERREACTION; STRATEGIES; EFFICIENCY; SELECTION; ANOMALIES; SHARPE; MODEL AB The literature on momentum is vast. No previous study, however, has examined trading rules along government bond term structures. Under index-duration-neutral and long-only constraints and with low trading costs, an equally weighted average strategy across 20 look-back windows produces an information ratio of 0.46, given US Treasury total return data from March 1985 through December 2013. Unlike momentum in other asset classes, excess relative returns for this asset class are positively skewed and load favorably on risk metrics. Returns correlate with term premium estimates and yield curve factors, but substantial variance remains unexplained and the alphas are meaningfully positive. C1 Fed Reserve Bank New York, Markets Grp, New York, NY 10045 USA. RP Durham, JB (reprint author), Fed Reserve Bank New York, Markets Grp, New York, NY 10045 USA. NR 48 TC 1 Z9 1 U1 1 U2 2 PU CFA INST PI CHARLOTTESVILLE PA 915 EAST HIGH ST, CHARLOTTESVILLE, VA 22902 USA SN 0015-198X EI 1938-3312 J9 FINANC ANAL J JI Financ. Anal. J. PD SEP-OCT PY 2015 VL 71 IS 5 BP 57 EP 74 PG 18 WC Business, Finance SC Business & Economics GA CT3HP UT WOS:000362698100008 ER PT J AU Nam, D Wang, J AF Nam, Deokwoo Wang, Jian TI The effects of surprise and anticipated technology changes on international relative prices and trade SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE International transmission of TFP shocks; News shocks; Real exchange rate; Trade balance; Backus-Smith puzzle; Impulse response function matching estimation ID MONETARY-POLICY RULES; REAL EXCHANGE-RATE; BUSINESS CYCLES; OPEN-ECONOMY; NOMINAL RIGIDITIES; EMPIRICAL-EVIDENCE; DYNAMIC-BEHAVIOR; INTEREST-RATES; DEMAND SHOCKS; MODELS AB This paper argues that it is important to distinguish surprise and anticipated components of total factor productivity (TFP) when we study the international transmission of TFP shocks. We document that surprise and anticipated shocks to US TFP induce distinct dynamics for international relative prices (the real exchange rate and the terms of trade) and international trade (real exports, real imports, and the trade balance). Our empirical findings can reconcile some conflicting empirical results in the literature and hence lead to a better understanding of the international transmission of TFP shocks. In addition, we evaluate a standard international macroeconomic model and discuss the mechanisms that may help to replicate our empirical findings. (C) 2015 Elsevier B.V. All rights reserved. C1 [Nam, Deokwoo] Hanyang Univ, Dept Econ & Finance, Seoul 133791, South Korea. [Wang, Jian] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Nam, D (reprint author), Hanyang Univ, Dept Econ & Finance, 222 Wangsimni Ro, Seoul 133791, South Korea. EM deokwnam@hanyang.ac.kr; jian.wang@dal.frb.org FU Hanyang University [HY-2014-G] FX This is a substantially revised version of the paper that was previously circulated under the title, "The Effects of News About Future Productivity on International Relative Prices: An Empirical Investigation." We thank the editor and three anonymous referees for many insightful comments. We would also like to thank Paul Beaudry, Anton Cheremukhin, Mario Crucini, Mick Devereux, Charles Engel, Kevin Huang, Ryo Jinnai, Enrique Martinez-Garcia, John Rogers, Rob Vigfusson, Kenneth West, Carlos Zarazaga, and seminar participants at various seminars and conferences for helpful discussions. Janet Koech and Payton Odom provided excellent research assistance. All views are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of Dallas or the Federal Reserve System. Deokwoo acknowledges support for this work from Hanyang University through a general research fund (HY-2014-G). NR 55 TC 0 Z9 0 U1 6 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD SEP PY 2015 VL 97 IS 1 BP 162 EP 177 DI 10.1016/j.jinteco.2015.04.009 PG 16 WC Economics SC Business & Economics GA CS5ZM UT WOS:000362156800012 ER PT J AU Lippi, F Ragni, S Trachter, N AF Lippi, Francesco Ragni, Stefania Trachter, Nicholas TI Optimal monetary policy with heterogeneous money holdings SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Heterogeneous agents; Redistributive monetary policy; Pure currency; Precautionary savings; Friedman rule ID LIQUIDITY; ECONOMY AB We study the optimal anticipated policy in a pure-currency economy with flexible prices and a non-degenerate distribution of money holdings. The economy features a business cycle and lump-sum monetary injections have distributional effects that depend on the state of the cycle. We parsimoniously characterize the dynamics of the economy and study the optimal regulation of the money supply as a function of the state under commitment. The optimal policy prescribes monetary expansions in recessions, when insurance is most needed by the cash-poor unproductive agents. Conversely, the optimal policy prescribes monetary contractions during booms, so that the inflationary effect of the occasional expansions is undone. (C) 2015 Elsevier Inc. All rights reserved. C1 [Lippi, Francesco] EIEF, Rome, Italy. [Ragni, Stefania] Univ Sassari, I-07100 Sassari, Italy. [Trachter, Nicholas] Fed Reserve Bank Richmond, Richmond, VA USA. RP Lippi, F (reprint author), EIEF, Rome, Italy. EM flippi@uniss.it FU ERC [324008] FX We thank Fernando Alvarez, Philip Barrett, Aleks Berentsen, Francisco Buera, Ricardo de O. Cavalcanti, Isabel Correia, Piero Gottardi, Christian Hellwig, Hugo Hopenhayn, Patrick Kehoe, Ricardo Lagos, David Levine, Fabrizio Mattesini, Guido Menzio, John Moore, Ezra Oberfield, Nicola Pavoni, Facundo Piguillem, B. Ravikumar, Tom Sargent, Rob Shimer, Alp Simsek, Balasz Szentes, Aleh Tsyvinski, Harald Uhlig, Neil Wallace, Randall Wright, and Bill Zame for useful discussions. We are grateful to several seminar participants. The views expressed in this article are those of the authors and do not necessarily represent the views of the Federal Reserve Bank of Richmond or the Federal Reserve System. Previous version of the paper was circulated under the title "State dependent monetary policy". Part of the research for this paper was sponsored by the ERC advanced grant 324008. NR 30 TC 0 Z9 0 U1 2 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 EI 1095-7235 J9 J ECON THEORY JI J. Econ. Theory PD SEP PY 2015 VL 159 BP 339 EP 368 DI 10.1016/j.jet.2015.07.005 PN A PG 30 WC Economics SC Business & Economics GA CS1VP UT WOS:000361856900017 ER PT J AU Schuetz, J AF Schuetz, Jenny TI Why are Walmart and Target Next-Door neighbors? SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE Retail location; Spatial competition; Agglomeration; Big Box stores ID SUPERMARKET INDUSTRY; SPATIAL COMPETITION; RETAIL CHAINS; UNITED-STATES; WAL-MART; MARKET; AGGLOMERATION; GROWTH; STORE; GOODS AB One of the most notable changes in the U.S. retail market over the past twenty years has been the rise of Big Box stores, retail chains characterized by physically large stores selling a wide range of consumer goods at discount prices. A growing literature has examined the impacts of Big Box stores on other retailers and consumers, but relatively little is known about how Big Box stores choose locations. Because Big Box stores offer highly standardized products and compete primarily on price, it is likely that they will seek to establish spatial monopolies, far from competitor stores. In this paper, I examine where new Big Box stores locate with respect to three types of existing establishments: own-firm stores, other retailers in the same product space (competitors), and retailers in other product spaces (complements). Results indicate that new Big Box stores tend to avoid existing own-firm stores and locate near complementary Big Box stores. However, there is little evidence that new Big Boxes seek to avoid competitors. Firms in the same product space may not be perfect substitutes, or firms may prefer to share consumers in a desirable location rather than cede the entire market to competitor firms. Published by Elsevier B.V. C1 Board Governors, Fed Reserve Syst, Washington, DC USA. RP Schuetz, J (reprint author), Board Governors, Fed Reserve Syst, Washington, DC USA. EM jenny.schuetz@frb.gov NR 54 TC 0 Z9 0 U1 3 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 EI 1879-2308 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD SEP PY 2015 VL 54 BP 38 EP 48 DI 10.1016/j.regsciurbeco.2015.07.002 PG 11 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA CR8DD UT WOS:000361580400004 ER PT J AU Martinez-Garcia, E AF Martinez-Garcia, Enrique TI On the sustainability of exchange rate target zones with central parity realignments SO ECONOMICS LETTERS LA English DT Article DE Nominal exchange rate; Target zones; Discrete intervention; Central parity realignment; Imperfect credibility ID MONETARY-POLICY; RATE DYNAMICS; SHOCKS; RULES AB I show that parity realignments alone do not suffice to ensure the long-run sustainability of an exchange rate target zone with imperfect credibility due to the gambler's ruin problem. However, low credibility and frequent realignments can destabilize the exchange rate. (C) 2015 Elsevier B.V. All rights reserved. C1 [Martinez-Garcia, Enrique] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Martinez-Garcia, Enrique] So Methodist Univ, Dallas, TX 75275 USA. RP Martinez-Garcia, E (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM enrique.martinez-garcia@dal.frb.org OI Martinez-Garcia, Enrique/0000-0001-5736-361X NR 18 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 EI 1873-7374 J9 ECON LETT JI Econ. Lett. PD SEP PY 2015 VL 134 BP 86 EP 89 DI 10.1016/j.econlet.2015.06.018 PG 4 WC Economics SC Business & Economics GA CR3UA UT WOS:000361257400022 ER PT J AU La, V AF La, Vincent TI Capitalization of school quality into housing prices: Evidence from Boston Public School district walk zones SO ECONOMICS LETTERS LA English DT Article DE Housing demand; School quality; Capitalization AB Using Boston Public School District's unique walk zone feature to better account for unobservables, I estimate a significant positive effect of school quality on house sale prices. This effect increases for homes more likely to be bought by families with children and diminishes in areas with already oversubscribed schools. Published by Elsevier B.V. C1 Fed Reserve Board, Washington, DC 20551 USA. RP La, V (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM Vincent.La@frb.gov NR 9 TC 0 Z9 0 U1 3 U2 14 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 EI 1873-7374 J9 ECON LETT JI Econ. Lett. PD SEP PY 2015 VL 134 BP 102 EP 106 DI 10.1016/j.econlet.2015.07.001 PG 5 WC Economics SC Business & Economics GA CR3UA UT WOS:000361257400026 ER PT J AU Elsby, MWL Michaels, R Ratner, D AF Elsby, Michael W. L. Michaels, Ryan Ratner, David TI The Beveridge Curve: A Survey SO JOURNAL OF ECONOMIC LITERATURE LA English DT Article ID LABOR-MARKET DYNAMICS; BUSINESS-CYCLE; GREAT RECESSION; CYCLICAL UNEMPLOYMENT; REAL WAGES; JOB SEARCH; EQUILIBRIUM UNEMPLOYMENT; EMPLOYMENT FLUCTUATIONS; STRUCTURAL UNEMPLOYMENT; EUROPEAN UNEMPLOYMENT AB Important progress has been made in economists' understanding of the Beveridge curve, from its measurement to its expression in canonical labor market models. Yet enduring puzzles remain. Chief among these are the empirical role of vacancies in the recruitment process; the amplitude, comovement, and persistence of cyclical unemployment-vacancy dynamics; and the sources of lateral shifts in the Beveridge curve. The synthesis of these themes identifies several priorities for ongoing research, including the role of entry costs into vacancy creation in shaping Beveridge dynamics; the cyclicality of search intensity, both off and on the job, and its relation to participation and job-to-job transitions; the theory and measurement of mismatch; and the sources of hysteresis in unemployment flows. C1 [Elsby, Michael W. L.] Univ Edinburgh, Edinburgh EH8 9YL, Midlothian, Scotland. [Michaels, Ryan] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Ratner, David] Fed Reserve Board, Washington, DC USA. RP Elsby, MWL (reprint author), Univ Edinburgh, Edinburgh EH8 9YL, Midlothian, Scotland. FU Philip Leverhulme Prize - the Leverhulme Trust FX Elsby: University of Edinburgh. Michaels: Federal Reserve Bank of Philadelphia. Ratner: Federal Reserve Board. We thank Tomaz Cajner, Steve Davis, Bruce Fallick, Andrew Figura, Bart Hobijn, Philipp Kircher, Toshihiko Mukoyama, Paul Muller, Chris Nekarda, Aysegul, Sahin, Edouard Schaal, Gary Solon, Gianluca Violante, Ludo Visschers, John Wohlford, seminar participants at the OECD, and anonymous referees for valuable comments. Elsby gratefully acknowledges funding from the Philip Leverhulme Prize granted by the Leverhulme Trust. The views expressed in this paper solely reflect those of the authors and not necessarily those of the Federal Reserve Bank of Philadelphia, the Federal Reserve Board, or the Federal Reserve System as a whole. NR 174 TC 4 Z9 4 U1 2 U2 14 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 EI 2328-8175 J9 J ECON LIT JI J. Econ. Lit. PD SEP PY 2015 VL 53 IS 3 BP 571 EP 630 DI 10.1257/jel.53.3.571 PG 60 WC Economics SC Business & Economics GA CR2PR UT WOS:000361173200002 ER PT J AU Hu, LJ Schlosser, A AF Hu, Luojia Schlosser, Analia TI Prenatal Sex Selection and Girls' Well-Being: Evidence from India SO ECONOMIC JOURNAL LA English DT Article ID RURAL INDIA; FEMALE MORTALITY; CHILD-MORTALITY; GENDER-DIFFERENCES; MISSING WOMEN; ABORTION; HEALTH; BIRTH; RATIO; DISCRIMINATION AB We study the impacts of prenatal sex selection on girls' well-being in India. We show that high sex ratios at birth reflect the practice of prenatal sex selection and apply a triple difference strategy to examine whether changes in health outcomes of girls relative to boys within states and over time are systematically associated with changes in sex-ratios at birth. We find that an increase in prenatal sex selection leads to a reduction in girls' malnutrition, in particular, underweight and wasting. We further explore various underlying channels linking between prenatal sex selection and girls' outcomes. C1 Fed Reserve Bank Chicago, Chicago, IL USA. Eitan Berglas Sch Econ, Tel Aviv, Israel. RP Schlosser, A (reprint author), Tel Aviv Univ, Eitan Berglas Sch Econ, IL-69978 Tel Aviv, Israel. EM analias@post.tau.ac.il FU Pinhas Sapir Center FX We thank Angus Deaton, Prashant Bharadwaj, Seema Jayachandran, Elaine Liu, Nancy Qian, Steven Pischke, two anonymous referees and seminar participants at the Federal Reserve Bank of Chicago, Princeton labor lunch, University of Lausanne, University of Zurich, Ben Gurion University, Bar Ilan University, Wellesley College, UIUC, 2011 SOLE meetings, CESifo Venice Workshop, CEMFI, Norwegian School of Economics and NBER Summer Institute for helpful comments. We also thank Yotam Shem Tov for excellent research assistance. The opinions expressed here are those of the authors and not necessarily those of the Federal Reserve Bank of Chicago or the Federal Reserve System. Schlosser thanks the Pinhas Sapir Center for research support. NR 68 TC 3 Z9 3 U1 3 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0133 EI 1468-0297 J9 ECON J JI Econ. J. PD SEP PY 2015 VL 125 IS 587 BP 1227 EP 1261 DI 10.1111/ecoj.12259 PG 35 WC Economics SC Business & Economics GA CR0KT UT WOS:000361008100002 ER PT J AU Haughwout, A AF Haughwout, Andrew TI Urban Economics and Urban Policy: Challenging Conventional Policy Wisdom SO JOURNAL OF REGIONAL SCIENCE LA English DT Book Review C1 [Haughwout, Andrew] Fed Reserve Bank New York, New York, NY 10045 USA. RP Haughwout, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 2 TC 0 Z9 0 U1 1 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-4146 EI 1467-9787 J9 J REGIONAL SCI JI J. Reg. Sci. PD SEP PY 2015 VL 55 IS 4 BP 671 EP 672 DI 10.1111/jors.12210 PG 2 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA CR0IA UT WOS:000361000700008 ER PT J AU Shy, O AF Shy, Oz TI Do Tips Increase Workers' Income? SO MANAGEMENT SCIENCE LA English DT Article DE tipping; hourly wage; tip-inclusive hourly income; tipping as a social norm ID MINIMUM-WAGES; SOCIAL NORMS; EMPLOYEES; STRATEGY; SERVICE AB This paper constructs a model of service providers who compete in service and labor markets simultaneously to analyze the effects of tipping on hourly wages and total tip-inclusive hourly worker compensation. An increase in the tipping rate reduces hourly wages. Total worker compensation increases at different rates depending on the market structure, market coverage, and employment level, with the exception of price-taking (competitive) service providers, where the tip-inclusive hourly income declines with the tipping rate. The paper develops an index of "effective tipping" that measures the net percentage change in total hourly worker compensation associated with each tipping rate. C1 Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Shy, O (reprint author), Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. EM ozshy@ozshy.com NR 15 TC 0 Z9 0 U1 1 U2 16 PU INFORMS PI CATONSVILLE PA 5521 RESEARCH PARK DR, SUITE 200, CATONSVILLE, MD 21228 USA SN 0025-1909 EI 1526-5501 J9 MANAGE SCI JI Manage. Sci. PD SEP PY 2015 VL 61 IS 9 BP 2041 EP 2051 DI 10.1287/mnsc.2014.1976 PG 11 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA CR2JJ UT WOS:000361154900003 ER PT J AU Weber, JG Wall, C Brown, J Hertz, T AF Weber, Jeremy G. Wall, Conor Brown, Jason Hertz, Tom TI Crop Prices, Agricultural Revenues, and the Rural Economy SO APPLIED ECONOMIC PERSPECTIVES AND POLICY LA English DT Article DE Agriculture; Crop Prices; Rural Economy ID FARM; PATTERNS; SECTORS AB Policy makers in the United States often justify agricultural subsidies by stressing that agriculture is the engine of the rural economy. We use the increase in crop prices in the late 2000s to estimate the marginal effect of increased agricultural revenues on local economies in the U.S. Heartland. We find that $1 more in crop revenue generated 64 is not an element of in personal income, with most going to farm proprietors and workers (59%) or nonfarmers who own farm assets (36%). The evidence suggests a weak link between revenues and nonfarm income or employment, or on population. Cuts to agricultural subsidies are therefore likely to have little effect on the broader rural economy in regions like the Heartland. C1 [Weber, Jeremy G.] Univ Pittsburgh, Grad Sch Publ & Int Affairs, Pittsburgh, PA 15260 USA. [Wall, Conor] Oregon Judicial Dept, Salem, OR USA. [Brown, Jason] Fed Reserve Bank Kansas City, Kansas City, MO USA. [Hertz, Tom] Econ Res Serv, USDA, Washington, DC USA. RP Weber, JG (reprint author), Univ Pittsburgh, Grad Sch Publ & Int Affairs, Pittsburgh, PA 15260 USA. EM jgw99@pitt.edu NR 30 TC 0 Z9 0 U1 2 U2 9 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 2040-5790 EI 2040-5804 J9 APPL ECON PERSPECT P JI Appl. Econ. Perspect. Policy PD SEP PY 2015 VL 37 IS 3 BP 459 EP 476 DI 10.1093/aepp/ppu040 PG 18 WC Agricultural Economics & Policy; Economics SC Agriculture; Business & Economics GA CP9GN UT WOS:000360202000006 ER PT J AU Chang, C Liu, Z Spiegel, MM AF Chang, Chun Liu, Zheng Spiegel, Mark M. TI Capital controls and optimal Chinese monetary policy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE China; Sterilization; Capital controls; Renminbi exchange rates; Optimal policy ID BUSINESS-CYCLE; RIGIDITIES; PRICES; TRADE AB China's external policies, including capital controls, managed exchange rates, and sterilized interventions, constrain its monetary policy options for maintaining macroeconomic stability following external shocks. We study optimal monetary policy in a dynamic stochastic general equilibrium (DSGE) model that incorporates these "Chinese characteristics". The model highlights a monetary policy tradeoff between domestic price stability and costly sterilization. The same DSGE framework allows us to evaluate the welfare implications of alternative liberalization policies. Capital account and exchange rate liberalization would have allowed the Chinese central bank to better stabilize the external shocks experienced during the global financial crisis. Published by Elsevier B.V. C1 [Chang, Chun] Shanghai Jiao Tong Univ, SAIF, Shanghai 200030, Peoples R China. [Liu, Zheng; Spiegel, Mark M.] Fed Reserve Bank, San Francisco, CA 94105 USA. RP Spiegel, MM (reprint author), Fed Reserve Bank, 101 Market St, San Francisco, CA 94105 USA. EM mark.spiegel@sf.frb.org FU National Natural Science Foundation of China [71172127] FX We are grateful to an anonymous referee for helpful comments and constructive suggestions. We also thank Paul Bergin, Javier Bianchi, Mick Devereux, Charles Engel, Urban Jerrmann, Ding Jianping, David Li, Ying Li, Fernanda Nechio, Glenn Rudebusch, Rob Shimer, Carl Walsh, Jian Wang, Shangjin Wei, Jenny Xu, and seminar participants at the City University of Hong Kong-Bank of Finland Institute Conference on the Renminbi, Claremont McKenna College, the Federal Reserve Bank of San Francisco Center for Pacific Basin Studies Research Conference, the Hong Kong Institute of Monetary Research Conference, the IMF, Shanghai University of Finance and Economics, the Shanghai Advanced Institute of Finance (SAIF), Tsinghua University, UC Davis, and the University of Wisconsin for helpful comments. Chun Chang thank the financial support from National Natural Science Foundation of China (Grant #71172127). NR 40 TC 3 Z9 4 U1 5 U2 28 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2015 VL 74 BP 1 EP 15 DI 10.1016/j.jmoneco.2015.04.003 PG 15 WC Business, Finance; Economics SC Business & Economics GA CQ3PU UT WOS:000360515800001 ER PT J AU Monnet, C Sanches, DR AF Monnet, Cyril Sanches, Daniel R. TI Private Money and Banking Regulation SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE private money; banking structure; regulation ID FINANCIAL-INTERMEDIARIES; LIQUIDITY CREATION; SEARCH MODEL; EQUILIBRIUM; COMPETITION; EFFICIENCY; SYSTEM; POLICY AB We show that a competitive banking system is inconsistent with an optimum quantity of private money. Because bankers cannot commit to their promises and the composition of their assets is not publicly observable, a positive franchise value is required to induce the full convertibility of bank liabilities. Under perfect competition, a positive franchise value can be obtained only if the return on bank liabilities is sufficiently low, which imposes a cost on those who hold these liabilities for transaction purposes. If the banking system is monopolistic, then an efficient allocation is incentive feasible. In this case, the members of the banking system obtain a higher return on assets, making it feasible to pay a sufficiently high return on bank liabilities. Finally, we argue that the regulation of the banking system is required to obtain efficiency. C1 [Monnet, Cyril] Univ Bern, CH-3012 Bern, Switzerland. [Monnet, Cyril] Study Ctr Gerzensee, Gerzensee, Switzerland. [Sanches, Daniel R.] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Monnet, C (reprint author), Univ Bern, CH-3012 Bern, Switzerland. EM cyril.monnet@gmail.com; daniel.sanches@phil.frb.org NR 39 TC 1 Z9 1 U1 7 U2 13 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2015 VL 47 IS 6 BP 1031 EP 1062 DI 10.1111/jmcb.12236 PG 32 WC Business, Finance; Economics SC Business & Economics GA CP7WI UT WOS:000360099400001 ER PT J AU Quinn, S Roberds, W AF Quinn, Stephen Roberds, William TI Responding to a Shadow Banking Crisis: The Lessons of 1763 SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE shadow banks; central banks; liquidity ID LIQUIDITY AB In August 1763, northern Europe experienced a financial crisis with numerous parallels to the 2008 Lehman episode. The crisis affected merchant banks that were funded by short-term credit instead of deposits. We use archival data to show that these shadow banks suffered a sudden loss of funding after the failure of a major bank. The central bank at the hub of the crisis, the Bank of Amsterdam, responded by broadening the range of collateral it accepted. The data also show how this emergency liquidity helped to contain the crisis, by preventing the collapse of at least two other major banks. C1 [Quinn, Stephen] Texas Christian Univ, Dept Econ, Ft Worth, TX 76129 USA. [Roberds, William] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. RP Quinn, S (reprint author), Texas Christian Univ, Dept Econ, Ft Worth, TX 76129 USA. EM s.quinn@tcu.edu; william.roberds@atl.frb.org NR 46 TC 2 Z9 2 U1 0 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2015 VL 47 IS 6 BP 1149 EP 1176 DI 10.1111/jmcb.12240 PG 28 WC Business, Finance; Economics SC Business & Economics GA CP7WI UT WOS:000360099400005 ER PT J AU Liu, Z Spiegel, MM AF Liu, Zheng Spiegel, Mark M. TI Optimal Monetary Policy and Capital Account Restrictions in a Small Open Economy SO IMF ECONOMIC REVIEW LA English DT Article ID EXCHANGE-RATES; BUSINESS-CYCLE; STICKY PRICES; MODELS AB Declines in interest rates in advanced economies during the global financial crisis resulted in surges in capital flows to emerging market economies and triggered advocacy of capital control policies. The paper evaluates the effectiveness for macroeconomic stabilization and the welfare implications of the use of capital account policies in a monetary DSGE model of a small open economy. The model features incomplete markets, imperfect asset substitutability, and nominal rigidities. In this environment, policymakers can respond to fluctuations in capital flows through capital account policies such as sterilized interventions and taxing capital inflows, in addition to conventional monetary policy. The welfare analysis suggests that optimal sterilization and capital controls are complementary policies. C1 [Liu, Zheng; Spiegel, Mark M.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Liu, Z (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. NR 46 TC 0 Z9 0 U1 3 U2 11 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PD SEP PY 2015 VL 63 IS 2 BP 298 EP 324 DI 10.1057/imfer.2015.8 PG 27 WC Business, Finance; Economics SC Business & Economics GA CP8FW UT WOS:000360128900002 ER PT J AU Bordo, MD Humpage, OF Schwartz, AJ AF Bordo, Michael D. Humpage, Owen F. Schwartz, Anna J. TI The Evolution of the Federal Reserve Swap Lines since 1962 SO IMF ECONOMIC REVIEW LA English DT Article AB This paper describes the evolution of the Federal Reserve's swap lines from their inception in 1962 as a mechanism to forestall claims on U.S gold reserves under Bretton Woods to a means of extending emergency dollar liquidity during the Great Recession. It describes the Federal Reserve's successes and failures and argues that swaps calm crisis situations by both supplementing foreign countries' dollar reserves and by signaling central-bank cooperation. The paper shows how swaps exposed the Federal Reserve to conditionality and raised fears that they bypassed the Congressional appropriations process. C1 [Bordo, Michael D.] Rutgers State Univ, Econ, Piscataway, NJ 08855 USA. [Bordo, Michael D.] Rutgers State Univ, Ctr Monetary & Financial Hist, Piscataway, NJ 08855 USA. [Bordo, Michael D.] Stanford Univ, Hoover Inst, Stanford, CA 94305 USA. [Bordo, Michael D.; Schwartz, Anna J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Humpage, Owen F.] Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Bordo, MD (reprint author), Rutgers State Univ, Econ, Piscataway, NJ 08855 USA. NR 36 TC 0 Z9 0 U1 3 U2 3 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PD SEP PY 2015 VL 63 IS 2 BP 353 EP 372 DI 10.1057/imfer.2015.11 PG 20 WC Business, Finance; Economics SC Business & Economics GA CP8FW UT WOS:000360128900004 ER PT J AU Avery, RB Grodzicki, DJ Moore, KB AF Avery, Robert B. Grodzicki, Daniel J. Moore, Kevin B. TI DEATH AND TAXES: AN EVALUATION OF THE IMPACT OF PROSPECTIVE POLICIES FOR TAXING WEALTH AT THE TIME OF DEATH SO NATIONAL TAX JOURNAL LA English DT Article DE estate taxation; tax revenue; incidence AB We study the efficacy of a capital gains tax relative to the current estate tax. Using wealth data on US. households, we forecast changes in household wealth and calculate the importance of untaxed wealth in bequeathed estates. We then compare the aggregate and distributional burden of the current estate tax to policies in which only unrealized capital gains are subject to tax. We estimate that, in the coming decade, unrealized capital gains will comprise nearly half of the gross estate for estates worth over $50 million. Policies taxing capital gains can potentially raise more revenue than the current estate tax, but not without a substantial increase in the fraction of households facing a tax. Due to the high concentration of unrealized gains among the wealthy, we find that, although a modest capital gains allowance substantially reduces tax revenue, it sharply focuses the tax burden on the wealthiest households. C1 [Avery, Robert B.] Fed Housing Finance Agcy, Washington, DC USA. [Grodzicki, Daniel J.] Penn State Univ, Dept Econ, University Pk, PA 16802 USA. [Moore, Kevin B.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Avery, RB (reprint author), Fed Housing Finance Agcy, Washington, DC USA. EM robert.avery@fhfa.gov; djg39@psu.edu; kevin.b.moore@frb.gov NR 22 TC 1 Z9 1 U1 0 U2 1 PU NATL TAX ASSOC PI WASHINGTON PA 725 15TH ST, N W #600, WASHINGTON, DC 20005-2109 USA SN 0028-0283 EI 1944-7477 J9 NATL TAX J JI Natl. Tax J. PD SEP PY 2015 VL 68 IS 3 BP 601 EP 632 PG 32 WC Business, Finance; Economics SC Business & Economics GA CP6WA UT WOS:000360027700005 ER PT J AU Berge, TJ AF Berge, Travis J. TI Predicting Recessions with Leading Indicators: Model Averaging and Selection over the Business Cycle SO JOURNAL OF FORECASTING LA English DT Article DE business cycle turning points; variable selection; boosting; Bayesian model averaging; probabilistic forecasts ID YIELD CURVE; US RECESSIONS; FORECASTING RECESSIONS; CLASSIFICATION; COMBINATION; VARIABLES; INDEXES; GROWTH AB Four methods of model selectionequally weighted forecasts, Bayesian model-averaged forecasts, and two models produced by the machine-learning algorithm boostingare applied to the problem of predicting business cycle turning points with a set of common macroeconomic variables. The methods address a fundamental problem faced by forecasters: the most useful model is simple but makes use of all relevant indicators. The results indicate that successful models of recession condition on different economic indicators at different forecast horizons. Predictors that describe real economic activity provide the clearest signal of recession at very short horizons. In contrast, signals from housing and financial markets produce the best forecasts at longer forecast horizons. A real-time forecast experiment explores the predictability of the 2001 and 2007 recessions. Copyright (c) 2015 John Wiley & Sons, Ltd. C1 Fed Reserve Syst, Board Governors, Washington, DC 20431 USA. RP Berge, TJ (reprint author), Fed Reserve Syst, Board Governors, 20th St & C St NW, Washington, DC 20431 USA. EM travis.j.berge@frb.gov NR 50 TC 3 Z9 3 U1 1 U2 12 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0277-6693 EI 1099-131X J9 J FORECASTING JI J. Forecast. PD SEP PY 2015 VL 34 IS 6 BP 455 EP 471 DI 10.1002/for.2345 PG 17 WC Economics; Management SC Business & Economics GA CP4LO UT WOS:000359853500003 ER PT J AU Kovner, A Lerner, J AF Kovner, Anna Lerner, Josh TI Doing Well by Doing Good? Community Development Venture Capital SO JOURNAL OF ECONOMICS & MANAGEMENT STRATEGY LA English DT Article ID RESEARCH-AND-DEVELOPMENT; PROGRAM; GOVERNMENT; INNOVATION; FIRMS AB This paper examines the investments and performance of community development venture capital (CDVC). We find substantial differences between CDVCs and traditional VCs: CDVC investments are far more likely to be in nonmetropolitan regions and in regions with little prior venture activity. CDVC investments are likely to be in earlier stage investments and in industries outside the venture capital mainstream that have lower probabilities of successful exit. Even after controlling for this unattractive transaction mixture, the probability of a CDVC investment being successfully exited is lower. One benefit of CDVCs may be their effect in bringing traditional VCs to underserved regionscontrolling for the presence of traditional VC investments, each additional CDVC investment results in an additional 0.06 new traditional VC firms in a region. C1 [Kovner, Anna] Fed Reserve Bank New York, New York, NY 10045 USA. [Lerner, Josh] Harvard Univ, Grad Sch Business Adm, Boston, MA 02163 USA. RP Kovner, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM anna.kovner@ny.frb.org; josh@hbs.edu FU John D. and Catherine T. MacArthur Foundation; Harvard Business School's Division of Research FX We thank the John D. and Catherine T. MacArthur Foundation and Harvard Business School's Division of Research for support of this project. We are grateful to Julia Sass Rubin and participants at the Kauffman Foundation Conference on Early Stage Investing for helpful comments. We thank Greg Bischak, Jim Greer, and Kristle Kilijanczyk for help with the CDFI Fund data and Dafna Avraham and Zachary Mozenter for research assistance. All errors and omissions are our own. The views expressed in this paper are those of the authors and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System. NR 25 TC 1 Z9 1 U1 0 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1058-6407 EI 1530-9134 J9 J ECON MANAGE STRAT JI J. Econ. Manage. Strategy PD FAL PY 2015 VL 24 IS 3 BP 643 EP 663 DI 10.1111/jems.12100 PG 21 WC Economics; Management SC Business & Economics GA CN8MH UT WOS:000358694500009 ER PT J AU Bandyopadhyay, S Lahiri, S Younas, J AF Bandyopadhyay, Subhayu Lahiri, Sajal Younas, Javed TI Financing growth through foreign aid and private foreign loans: Nonlinearities and complementarities SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Foreign aid; Offshore bank loans; Interaction between aid and loans; Economic growth ID PANEL-DATA; ALLIANCES; POLITICS; MODELS; TRADE AB Are the growth consequences of foreign aid and foreign private loans different for the recipient nations? In this study, we analyze in a unified way, how these two instruments affect economic, growth of 131 developing nations over the period 1996-2010. We find that there are diminishing returns to foreign aid, while there are increasing returns to foreign loans. Using these estimated nonlinearities, we find a critical level of international financial transfer, where the marginal effect of foreign aid is larger than that of loans if and only if the transfer (loans or foreign aid) is below this critical level. In addition, we analyze the interaction between these two types of transfers, and find evidence of complementarity. Disaggregation of aid into grants and concessional loans suggests that it is in fact the former that exhibits concave relationship with growth. (C) 2015 Elsevier Ltd. All rights reserved. C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Bandyopadhyay, Subhayu] IZA, Bonn, Germany. [Lahiri, Sajal] So Illinois Univ, Dept Econ, Carbondale, IL 62901 USA. [Younas, Javed] Amer Univ Sharjah, Dept Econ, Sharjah, U Arab Emirates. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM Subhayu.Bandyopadhyay@stls.frb.org; lahiri@siu.edu; jyounas@aus.edu RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 48 TC 0 Z9 0 U1 0 U2 7 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 EI 1873-0639 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD SEP PY 2015 VL 56 BP 75 EP 96 DI 10.1016/j.jimonfin.2015.04.005 PG 22 WC Business, Finance SC Business & Economics GA CL8QP UT WOS:000357239500005 ER PT J AU Guzman, MG Haslag, JH Orrenius, PM AF Guzman, Mark G. Haslag, Joseph H. Orrenius, Pia M. TI Government policy under price uncertainty: A source of volatility in illegal immigration SO CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE LA English DT Article ID BORDER ENFORCEMENT; SUNSPOT EQUILIBRIA; MONEY TAXES; MIGRATION; AMNESTIES; ECONOMY; MATTER; CYCLES AB This paper provides an alternative explanation for why illegal immigration can exhibit substantial volatility. We develop a model economy where migrants make decisions in the face of uncertain border enforcement and transfers from the host country. The uncertainty is extrinsic, a sunspot, and arises due to ambiguity regarding government policy; the sunspot manifests itself as uncertainty in the commodity price of money. Immigration volatility stems from both the trade-off between the marginal benefits and costs (transfers and enforcement) to migrating and the existence of a sunspot. Finally, we examine the impact of changes in government policies on migration levels. C1 [Guzman, Mark G.] Univ Reading, Dept Econ, Reading RG6 2AH, Berks, England. [Haslag, Joseph H.] Univ Missouri, Dept Econ, Columbia, MO 65211 USA. Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. RP Guzman, MG (reprint author), Univ Reading, Dept Econ, Reading RG6 2AH, Berks, England. EM m.g.guzman@reading.ac.uk NR 31 TC 0 Z9 0 U1 2 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0008-4085 EI 1540-5982 J9 CAN J ECON JI Can. J. Econ.-Rev. Can. Econ. PD AUG PY 2015 VL 48 IS 3 BP 940 EP 962 DI 10.1111/caje.12164 PG 23 WC Economics SC Business & Economics GA DH8VV UT WOS:000373075900006 ER PT J AU Sheehan-Connor, D Bergstrom, TC Garratt, RJ AF Sheehan-Connor, Damien Bergstrom, Theodore C. Garratt, Rodney J. TI Saving lives with stem cell transplants SO JOURNAL OF RISK AND UNCERTAINTY LA English DT Article DE Benefit-cost analysis; Transplantation; Matching; Donations; Stem cells ID STATISTICAL LIFE; UNRELATED DONOR; CORD BLOOD; HAPLOTYPE FREQUENCIES; NATIONAL REGISTRY; GRAFT SOURCE; HLA MATCH; RECIPIENTS; VALUATION; PROGRAM AB Blood stem cell transplants can be life-saving for some patients, but the chances of finding a matching donor are small unless a large number of potential donors are evaluated. Many nations maintain large registries of potential donors who have offered to donate stem cells if they are the best available match for a patient needing a transplant. An alternative source of stem cells, umbilical cord blood, is stored in banks. Everyone faces a small probability of needing a transplant which will increase their likelihood of survival. The registries and cord blood banks are thus an interesting example of a pure public good with widely dispersed benefits. This paper explores the gains in survival probability that arise from increased registry and bank sizes and uses value of statistical life methods to estimate benefits and compare them to costs. Our results suggest that for the United States and for the world as a whole, the sum of marginal benefits of an increase in either the adult registry or the cord blood bank exceeds marginal costs. However, marginal benefit-cost ratios for the adult registry are much greater than those for the cord blood banks, which suggests that to the extent that these two sources of life saving compete for public funds it may be preferable to prioritize expansion of the adult registry over cord blood banks. C1 [Sheehan-Connor, Damien] Wesleyan Univ, Dept Econ, Middletown, CT 06459 USA. [Bergstrom, Theodore C.; Garratt, Rodney J.] Univ Calif Santa Barbara, Dept Econ, Santa Barbara, CA 93106 USA. [Garratt, Rodney J.] Fed Reserve Bank New York, Santa Barbara, CA 93106 USA. RP Sheehan-Connor, D (reprint author), Wesleyan Univ, Dept Econ, Middletown, CT 06459 USA. EM dsheehanconn@wesleyan.edu; tedb@econ.ucsb.edu; rodgarratt@gmail.com FU NSF [SES-0851357, CNS-0619508] FX The authors acknowledge support under NSF grant SES-0851357. In addition, we thank Wesleyan University for computer time supported by the NSF under grant number CNS-0619508. We also thank Martin Maiers of the National Marrow Donor Program for several useful discussions about this work. Chelsea Swete provided valuable research assistance. The views expressed in this paper are those of the authors and do not necessarily reflect those of the Federal Reserve Bank of New York or the Federal Reserve System. NR 45 TC 0 Z9 0 U1 2 U2 2 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5646 EI 1573-0476 J9 J RISK UNCERTAINTY JI J. Risk Uncertain. PD AUG PY 2015 VL 51 IS 1 SI SI BP 23 EP 51 DI 10.1007/s11166-015-9222-7 PG 29 WC Business, Finance; Economics SC Business & Economics GA CZ0TA UT WOS:000366817700002 ER PT J AU Candelaria, C Daly, M Hale, G AF Candelaria, Christopher Daly, Mary Hale, Galina TI Persistence of Regional Wage Differences in China SO PACIFIC ECONOMIC REVIEW LA English DT Article ID HUKOU SYSTEM; INCOME INEQUALITY; RURAL-URBAN; 2000 CENSUS; MIGRATION; GLOBALIZATION; GROWTH AB Regional wage differences in China appear to be persistent and even to have grown over the past two decades. We study potential explanations for this phenomenon. After adjusting for the difference in the cost of living across provinces, we find that some of the cross-province differences in real wages could be related to the quality of labour, industry composition and geographic location of provinces. These factors, taken together, explain approximately half of the cross-province real wage variation. Interestingly, we find that interprovincial government transfers have not offset regional wage differences during the time period we consider. We also demonstrate that interprovincial migration, while driven in part by levels and changes in wage differences across provinces, did not help offset these differences. These results are consistent with findings in the literature that cross-province labour mobility in China is still limited. C1 [Candelaria, Christopher] Stanford Univ, Stanford, CA 94305 USA. [Daly, Mary; Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Hale, G (reprint author), Fed Reserve Bank San Francisco, 101 Market St,MS1130, San Francisco, CA 94105 USA. EM galina.b.hale@sf.frb.org NR 28 TC 1 Z9 1 U1 3 U2 13 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1361-374X EI 1468-0106 J9 PAC ECON REV JI Pac. Econ. Rev. PD AUG PY 2015 VL 20 IS 3 BP 365 EP 387 DI 10.1111/1468-0106.12113 PG 23 WC Economics SC Business & Economics GA CP7CA UT WOS:000360043600001 ER PT J AU Sander, W Testa, W AF Sander, William Testa, William TI Parents' education, school-age children and household location in American cities SO PAPERS IN REGIONAL SCIENCE LA English DT Article DE Cities; children; United States ID RACIAL SEGREGATION; DEMAND; INCOME; RICH AB The location of households within metropolitan areas has been a topic of interest for many decades. It has been receiving more attention by researchers recently because of the increasing attractiveness of many cities in the United States to certain types of households and to certain types of jobs. This study considers whether 15 large cities and the boroughs of New York City are attractive to families with school-age children, especially those with college-educated parents. It is shown that overall more affluent and educated families with school-age children are less likely to live in many large central cities with a few important exceptions. C1 [Sander, William] Depaul Univ, Chicago, IL 60604 USA. [Testa, William] Fed Reserve Bank Chicago, Reg Programs, Chicago, IL 60604 USA. RP Sander, W (reprint author), Depaul Univ, 1 East Jackson Blvd, Chicago, IL 60604 USA. EM wsander@depaul.edu; William.Testa@chi.frb.org NR 39 TC 0 Z9 0 U1 2 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1056-8190 EI 1435-5957 J9 PAP REG SCI JI Pap. Reg. Sci. PD AUG PY 2015 VL 94 IS 3 BP 573 EP 595 DI 10.1111/pirs.12087 PG 24 WC Economics; Environmental Studies; Geography SC Business & Economics; Environmental Sciences & Ecology; Geography GA CP4SF UT WOS:000359872200006 ER PT J AU Armantier, O Boly, A AF Armantier, Olivier Boly, Amadou TI FRAMING OF INCENTIVES AND EFFORT PROVISION SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID REFERENCE-DEPENDENT PREFERENCES; YORK-CITY CABDRIVERS; FIELD EXPERIMENTS; PROSPECT-THEORY; LABOR; CARROT; STICK; WORK; COOPERATION; CORRUPTION AB A prospect theory model combining loss aversion and diminishing sensitivity predicts that the link between incentives framing and effort is ambiguous: small penalties yield higher effort, but isomorphic contracts with large penalties decrease effort. We conduct two experiments (a framed field and a conventional lab experiment) in which economically equivalent contracts are framed as menus of either (i) bonuses, (ii) penalties, or (iii) bonuses and penalties. The experimental results confirm the main intuition of the model as subjects performed best when bonuses and penalties are combined. A follow-up lottery experiment confirms that both loss aversion and diminishing sensitivity influenced the performance. C1 [Boly, Amadou] Fed Reserve Bank New York, New York, NY 10045 USA. CIRANO, Vienna, Austria. CIREQ, Vienna, Austria. United Nations Ind Dev Org, Vienna, Austria. RP Armantier, O (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM olivier.armantier@ny.frb.org FU CRSH FX We would like to thank Andreas Fuster, David Gill, Botond Koszegi, Nicolas Treich, and Jeroen van de Ven, as well as seminar participants at the University of Virginia, Paris School of Economics, the Tinbergen Institute/ZEW Workshop in Rotterdam, the Lab2 Conference in Capua, the Behavioral and Experimental Economics Workshop in Florence, and the ESA Conference in Tucson. We also would like to thank two anonymous referees for useful comments and suggestions. Finally, we thank the recruiting firm Opty-RH for its help with recruiting subjects in Burkina Faso. The authors gratefully acknowledge financing from the CRSH. The views expressed here do not necessarily reflect those of the Federal Reserve Bank of New York, the Federal Reserve System, or the United Nations Industrial Development Organization. Please address correspondence to: Olivier Armantier, Federal Reserve Bank of New York, 33 Liberty Street, New York, NY 10045. E-mail: olivier.armantier@ny.frb.org. NR 47 TC 2 Z9 2 U1 2 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 EI 1468-2354 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2015 VL 56 IS 3 BP 917 EP 938 DI 10.1111/iere.12126 PG 22 WC Economics SC Business & Economics GA CN9SY UT WOS:000358790600008 ER PT J AU Frydman, C Hilt, E Zhou, LY AF Frydman, Carola Hilt, Eric Zhou, Lily Y. TI Economic Effects of Runs on Early "Shadow Banks": Trust Companies and the Impact of the Panic of 1907 SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID LIQUIDITY SHOCKS EVIDENCE; GROSS-NATIONAL-PRODUCT; FIRM-LEVEL EVIDENCE; GREAT-DEPRESSION; FINANCIAL CRISIS; EMERGING MARKET; MONETARY-POLICY; CONSEQUENCES; TRANSMISSION; BORROWERS AB We study the effects of a contraction in financial intermediation on nonfinancial firms. The Panic of 1907 originated in the shadow banks of the time, New York's trust companies. The runs were caused by a shock unrelated to the trust companies' nonfinancial corporate clients. In the years following the panic, corporations affiliated with the worst-affected trusts made fewer capital investments, paid lower dividends, and suffered lower profitability and higher borrowing costs relative to firms without such connections. The shock to New York's trust companies accounted for at least 18.4 percent of the decline in corporate investment in the United States in 1908. C1 [Frydman, Carola] Boston Univ, Boston, MA 02215 USA. [Frydman, Carola; Hilt, Eric] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Zhou, Lily Y.] Fed Reserve Bank New York, New York, NY USA. RP Frydman, C (reprint author), Boston Univ, Boston, MA 02215 USA. NR 62 TC 1 Z9 1 U1 4 U2 22 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 EI 1537-534X J9 J POLIT ECON JI J. Polit. Econ. PD AUG PY 2015 VL 123 IS 4 BP 902 EP 940 DI 10.1086/681575 PG 39 WC Economics SC Business & Economics GA CO4VQ UT WOS:000359159300006 ER PT J AU Braun, RA Joines, DH AF Braun, R. Anton Joines, Douglas H. TI The implications of a graying Japan for government policy SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Fiscal policy; Demographics; Aging; Japan ID COST AB Japan is in the midst of a demographic transition that is both rapid and large by international standards. As recently as 1990 Japan had the youngest population among the Group of 6 large, developed countries. However, the combined effects of aging of the baby-boomer generation and low fertility rates have produced very rapid aging. Japan now finds itself with the oldest population among the Group of 6 and its population will continue to age at a rapid pace in future years. Aging is already placing a burden on government finances and Japan's ability to confront the negative fiscal implications of future aging is constrained by its very high debt-GDP ratio. We find that Japan faces a severe fiscal crisis if remedial action is not undertaken soon and analyze alternative strategies for correcting Japan's fiscal imbalances. (C) 2015 Elsevier B.V. All rights reserved. C1 [Braun, R. Anton] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Joines, Douglas H.] Univ So Calif, Marshall Sch Business, Los Angeles, CA 90089 USA. RP Braun, RA (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM r.anton.braun@gmail.com; joines@marshall.usc.edu FU Japan Foundation; Social Science Research Council under Abe Fellowship FX We wish to thank Alan Auerbach, Gary Hansen, and seminar participants from the Canon Institute for Global Studies, GRIPS, Hitotsubashi University, the MRRC workshop, the Federal Reserve Banks of Atlanta and San Francisco and the University of Tokyo and for their helpful comments. Joines acknowledges financial support from the Japan Foundation and the Social Science Research Council under an Abe Fellowship. NR 20 TC 3 Z9 3 U1 3 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD AUG PY 2015 VL 57 BP 1 EP 23 DI 10.1016/j.jedc.2015.05.005 PG 23 WC Economics SC Business & Economics GA CN7RG UT WOS:000358631100001 ER PT J AU Fernandez-Villaverde, J Gordon, G Guerron-Quintana, P Rubio-Ramirez, JF AF Fernandez-Villaverde, Jesus Gordon, Grey Guerron-Quintana, Pablo Rubio-Ramirez, Juan F. TI Nonlinear adventures at the zero lower bound SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Zero lower bound; New Keynesian models; Nonlinear solution methods ID OPTIMAL MONETARY-POLICY; NOMINAL INTEREST-RATES; MODELS AB In this paper, we argue for the importance of explicitly considering nonlinearities in analyzing the behavior of the New Keynesian Model with a zero lower bound (ZLB) of the nominal interest rate. To show this, we report how the decision rules and the equilibrium dynamics of the model are substantially affected by the nonlinear features brought about by the ZLB. We also illustrate a tension between the length of a spell at the ZLB and the drop in consumption there. (C) 2015 Elsevier B.V. All rights reserved. C1 [Fernandez-Villaverde, Jesus] Univ Penn, NBER, Philadelphia, PA 19104 USA. [Fernandez-Villaverde, Jesus] CEPR, Santa Cruz, CA USA. [Gordon, Grey] Indiana Univ, Bloomington, IN 47405 USA. [Guerron-Quintana, Pablo] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Rubio-Ramirez, Juan F.] Emory Univ, Fed Reserve Bank Atlanta, Atlanta, GA 30322 USA. [Rubio-Ramirez, Juan F.] FEDEA, New York, NY USA. RP Fernandez-Villaverde, J (reprint author), Univ Penn, NBER, Philadelphia, PA 19104 USA. EM jesusfv@econ.upenn.edu; greygordon@gmail.com; pablo.guerron@phil.frb.org; juan.rubio-ramirez@emory.edu FU NSF FX We thank Klaus Adam, Larry Christian, Ricardo Reis, Michael Woodford, Keith Kuester, Chris Otrok, and two referees for useful comments. Any views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Atlanta, the Federal Reserve Bank of Philadelphia, or the Federal Reserve System. Finally, we also thank the NSF for financial support. NR 23 TC 6 Z9 6 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD AUG PY 2015 VL 57 BP 182 EP 204 DI 10.1016/j.jedc.2015.05.014 PG 23 WC Economics SC Business & Economics GA CN7RG UT WOS:000358631100012 ER PT J AU Owyang, MT Piger, J Wall, HJ AF Owyang, Michael T. Piger, Jeremy Wall, Howard J. TI Forecasting National Recessions Using State-Level Data SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE turning points; probit; Bayesian model averaging; nowcasting ID PREDICTING US RECESSIONS; MODELS; BINARY; CLASSIFICATION; VARIABLES AB We investigate whether there is information useful for identifying U.S. business cycle phases contained in subnational measures of economic activity. Using a probit model to forecast the National Bureau of Economic Research expansion and recession classification, we assess the incremental information content of state-level employment growth over a commonly used set of national-level predictors. As state-level data adds a large number of predictors to the model, we employ a Bayesian model averaging procedure to construct forecasts. Based on a variety of forecast evaluation metrics, we find that including state-level employment growth substantially improves nowcasts and very short-horizon forecasts of the business cycle phase. The gains in forecast accuracy are concentrated during months of national recession. C1 [Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. [Piger, Jeremy] Univ Oregon, Eugene, OR 97403 USA. [Wall, Howard J.] Lindenwood Univ, St Charles, MO 63301 USA. RP Owyang, MT (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. EM Michael.T.Owyang@stls.frb.org; jpiger@uoregon.edu; hwall@lindenwood.edu RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 28 TC 1 Z9 1 U1 1 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2015 VL 47 IS 5 BP 847 EP 866 DI 10.1111/jmcb.12228 PG 20 WC Business, Finance; Economics SC Business & Economics GA CN8JV UT WOS:000358687400003 ER PT J AU Madeira, C Zafar, B AF Madeira, Carlos Zafar, Basit TI Heterogeneous Inflation Expectations and Learning SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE inflation expectations; imperfect information; heterogeneous expectations; learning; sticky information ID STICKY INFORMATION; CONVERGENCE; CONSUMPTION; HOUSEHOLDS; FORECAST; MODELS AB Using the panel component of the Michigan Survey of Consumers, we estimate a learning model of inflation expectations, allowing for heterogeneous use of private information and lifetime inflation experience. Life experience inflation has a significant impact on individual expectations, but only for 1-year-ahead inflation. Public information is substantially more relevant for longer horizon expectations. Even controlling for life experience inflation and public information, idiosyncratic information explains a nontrivial proportion of the inflation forecasts of agents. Women, ethnic minorities, and less educated agents have a higher degree of heterogeneity in their idiosyncratic information, and give less importance to recent movements in inflation. C1 [Madeira, Carlos] Cent Bank Chile, Santiago, Chile. [Zafar, Basit] Fed Reserve Bank New York, New York, NY 10045 USA. RP Madeira, C (reprint author), Cent Bank Chile, Santiago, Chile. EM carlosmadeira2009@u.northwestern.edu; Basit.Zafar@ny.frb.org NR 36 TC 2 Z9 2 U1 4 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2015 VL 47 IS 5 BP 867 EP 896 DI 10.1111/jmcb.12230 PG 30 WC Business, Finance; Economics SC Business & Economics GA CN8JV UT WOS:000358687400004 ER PT J AU Bhattacharya, S Goodhart, CAE Tsomocos, DP Vardoulakis, AP AF Bhattacharya, Sudipto Goodhart, Charles A. E. Tsomocos, Dimitrios P. Vardoulakis, Alexandros P. TI A Reconsideration of Minsky's Financial Instability Hypothesis SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE financial instability; Minsky; risk taking; leverage; optimism; procyclicality ID DEBT-DEFLATION THEORY; SUDDEN STOPS; RISK; MARKETS; EQUILIBRIUM; LIQUIDITY; MODEL; INSURANCE; LEVERAGE; RETURNS AB The worst and longest depressions have tended to occur after periods of prolonged, and reasonably stable, prosperity. This results in part from agents rationally updating their expectations during good times and hence becoming more optimistic about future economic prospects. Investors then increase their leverage and shift their portfolios toward projects that would previously have been considered too risky. So, when a downturn does eventually occur, the financial crisis and the extent of default become more severe. Whereas a general appreciation of this syndrome dates back to Minsky (1992) and even beyond, to Irving Fisher (), we model it formally. In addition, endogenous default introduces a pecuniary externality since investors do not factor in the impact of their decision to take risk and default on the borrowing cost. We explore the relative advantages of alternative regulations in reducing financial fragility and suggest a novel criterion for improvement of aggregate welfare. C1 [Bhattacharya, Sudipto; Goodhart, Charles A. E.] London Sch Econ, London WC2A 2AE, England. [Tsomocos, Dimitrios P.] Univ Oxford, Said Business Sch, Management, Oxford OX1 2JD, England. [Vardoulakis, Alexandros P.] Fed Reserve Syst, Board Governors, Off Financial Stabil Policy & Res, Washington, DC 20551 USA. RP Bhattacharya, S (reprint author), London Sch Econ, London WC2A 2AE, England. EM c.a.goodhart@lse.ac.uk; dimitrios.tsomocos@sbs.ox.ac.uk; alexandros.vardoulakis@frb.gov NR 44 TC 2 Z9 2 U1 7 U2 12 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2015 VL 47 IS 5 BP 931 EP 973 DI 10.1111/jmcb.12229 PG 43 WC Business, Finance; Economics SC Business & Economics GA CN8JV UT WOS:000358687400006 ER PT J AU Brorsen, BW Doye, D Neal, KB AF Brorsen, B. Wade Doye, Damona Neal, Kalyn B. TI Agricultural Land and the Small Parcel Size Premium Puzzle SO LAND ECONOMICS LA English DT Article ID URBAN FRINGE; FRAGMENTATION; VALUES; PRICES; COST AB Per acre prices of agricultural land increase as parcel sizes decrease. The puzzle is why all agricultural land is not sold in small parcels. Small parcels tend to be close to residential areas and close to quality roads. The small parcel premium lessens as parcels are more distant from urban areas. This suggests that much of the small parcel premium is due to parcels being purchased based on nonagricultural use values. Thus, an explanation of the small parcel premium puzzle is that land with low nonagricultural use values may not have a small parcel premium. (JEL Q15, R14) C1 [Brorsen, B. Wade] Oklahoma State Univ, Dept Agr Econ, Stillwater, OK 74078 USA. Oklahoma State Univ, Dept Agr Econ, Agr Finance, Stillwater, OK 74078 USA. Fed Reserve Bank Kansas City, Oklahoma City, OK USA. RP Brorsen, BW (reprint author), Oklahoma State Univ, Dept Agr Econ, Stillwater, OK 74078 USA. FU Oklahoma Agricultural Experiment Station FX The research was funded by the Oklahoma Agricultural Experiment Station. NR 42 TC 2 Z9 2 U1 0 U2 6 PU UNIV WISCONSIN PRESS PI MADISON PA JOURNAL DIVISION, 1930 MONROE ST, 3RD FL, MADISON, WI 53711 USA SN 0023-7639 EI 1543-8325 J9 LAND ECON JI Land Econ. PD AUG PY 2015 VL 91 IS 3 BP 572 EP 585 PG 14 WC Economics; Environmental Studies SC Business & Economics; Environmental Sciences & Ecology GA CM7WY UT WOS:000357908400009 ER PT J AU An, XD Deng, YH Nichols, JB Sanders, AB AF An, Xudong Deng, Yongheng Nichols, Joseph B. Sanders, Anthony B. TI What is Subordination About? Credit Risk and Subordination Levels in Commercial Mortgage-backed Securities (CMBS) SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article; Proceedings Paper CT Maastricht-NUS-MIT (MNM) International Real Estate Finance and Economics Symposium CY OCT 25-26, 2013 CL MIT, Cambridge, MA HO MIT DE Commercial mortgage-backed securities (CMBS); Subordination; Credit risk; Credit rating agency (CRA) ID RATINGS; DEFAULT; DESIGN; MARKET; MODEL AB Subordination is designed to provide credit risk protection for senior CMBS tranches by allocating the initial credit losses to the more junior tranches. Subordination level should in theory reflect the underlying credit risk of the CMBS pool. In this paper, we test the hypothesis that subordination is purely about credit risk as intended. We find a very weak relation between subordination levels and both the ex post and ex ante measures of credit risk, rejecting our null-hypothesis. Alternatively, we find that subordination levels were driven by non-credit risk factors, including supply and demand factors, deal complexity, issuer incentive and a general time trend. We conclude that contrary to the traditional view, the subordination level is not just a function of credit risk. Instead it also reflects the market need of a certain deal structure and is influenced by the balance of power among issuers, CRAs and investors. C1 [An, Xudong] San Diego State Univ, Dept Finance, San Diego, CA 92182 USA. [Deng, Yongheng] Natl Univ Singapore, Inst Real Estate Studies, Singapore 119613, Singapore. [Nichols, Joseph B.] Board Governors Fed Reserve, Washington, DC USA. [Sanders, Anthony B.] George Mason Univ, Sch Management, Fairfax, VA 22030 USA. RP An, XD (reprint author), San Diego State Univ, Dept Finance, San Diego, CA 92182 USA. EM xan@mail.sdsu.edu; ydeng@nus.edu.sg; joseph.b.nichols@frb.gov; asander7@gmu.edu RI Deng, Yongheng/A-4272-2010 OI Deng, Yongheng/0000-0002-4438-5171 FU Real Estate Research Institute (RERI) FX We are grateful to Peter DeMarzo, Michael Dewally, Mark Flannery, Sally Gordon, Dwight Jaffee, Tim Riddiough, Amit Seru, Walt Torous, Sean Wilkoff and participants at the 2007 RERI Research Conference, 2013 AREUEA Annual Meetings, the 2013 MFA Conference and the 2013 AREUEA International Conference for helpful comments. Special thanks are due to the Real Estate Research Institute (RERI) for its financial support. All remaining errors as well as the opinions expressed in this paper are our own responsibility. They do not represent the opinions of the Board of Governors of the Federal Reserve System or its staff. NR 26 TC 0 Z9 0 U1 2 U2 7 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5638 EI 1573-045X J9 J REAL ESTATE FINANC JI J. Real Estate Financ. Econ. PD AUG PY 2015 VL 51 IS 2 BP 231 EP 253 DI 10.1007/s11146-014-9480-1 PG 23 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA CL0EA UT WOS:000356610800006 ER PT J AU Lim, CC Schulhofer-Wohl, S Kustritz, MVR Molgaard, LK Lee, D AF Lim, Christine C. Schulhofer-Wohl, Sam Kustritz, Margaret V. Root Molgaard, Laura K. Lee, David TI Financial expectations of first-year veterinary students SO JAVMA-JOURNAL OF THE AMERICAN VETERINARY MEDICAL ASSOCIATION LA English DT Article ID EDUCATIONAL INDEBTEDNESS; STARTING SALARIES; MEDICAL-COLLEGES; PHYSICIANS; INCOMES; RETURN; PROFESSIONALS; EMPLOYMENT; COSTS AB Objective-To assess student awareness of the financial costs of pursuing a veterinary education, to determine student expectations for financial returns of a veterinary career, and to identify associations between student debt and factors such as future career plans or personality type. Design-Survey. Sample-First-year veterinary students at the University of Minnesota College of Veterinary Medicine. Procedures-In 2013, prior to the first day of class, all incoming first-year students received an email invitation to complete an online survey. The survey contained questions about demographics, current financial situation, current debt, expected debt at graduation, expected annual income following graduation, intent to pursue specialty training, and Myers-Briggs personality type. Results-72 of 102 (71%) students completed the survey; 65 respondents answered all relevant questions and provided usable data. Student responses for expected debt at graduation were comparable to national averages for veterinary college graduates; responses for expected annual income following graduation were lower than averages for University of Minnesota veterinary college graduates and national averages. However, students predicted even lower annual income if they did not attend veterinary college. Expected debt and expected annual income were not correlated with factors such as personality type or future career plans. Conclusions and Clinical Relevance-Results indicated that first-year veterinary students were aware of the financial costs of their veterinary education and had realistic expectations for future salaries. For typical veterinary students, attending veterinary college appeared to be financially worthwhile, given lower expected earnings otherwise. C1 [Lim, Christine C.; Kustritz, Margaret V. Root] Univ Minnesota, Coll Vet Med, Dept Vet Clin Sci, St Paul, MN 55108 USA. [Molgaard, Laura K.] Univ Minnesota, Coll Vet Med, Off Acad & Student Affairs, St Paul, MN 55108 USA. [Lee, David] Univ Minnesota, Coll Vet Med, Ctr Vet Med, St Paul, MN 55108 USA. [Schulhofer-Wohl, Sam] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. RP Lim, CC (reprint author), Univ Minnesota, Coll Vet Med, Dept Vet Clin Sci, St Paul, MN 55108 USA. EM cclim@umn.edu OI Root Kustritz, Margaret/0000-0003-3380-6257 NR 21 TC 3 Z9 3 U1 1 U2 19 PU AMER VETERINARY MEDICAL ASSOC PI SCHAUMBURG PA 1931 N MEACHAM RD SUITE 100, SCHAUMBURG, IL 60173-4360 USA SN 0003-1488 EI 1943-569X J9 JAVMA-J AM VET MED A JI JAVMA-J. Am. Vet. Med. Assoc. PD JUL 15 PY 2015 VL 247 IS 2 BP 196 EP 203 PG 8 WC Veterinary Sciences SC Veterinary Sciences GA CP4KV UT WOS:000359851400027 PM 26133220 ER PT J AU Gospodinov, N Ng, S AF Gospodinov, Nikolay Ng, Serena TI Minimum Distance Estimation of Possibly Noninvertible Moving Average Models SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Simulation-based estimation; GMM; Generalized lambda distribution; Noninvertibility; Identification; Non-Gaussian errors ID MAXIMUM-LIKELIHOOD-ESTIMATION; GENERAL EQUILIBRIUM-MODELS; HIGHER-ORDER STATISTICS; TIME-SERIES MODELS; SIMULATION ESTIMATORS; INDIRECT INFERENCE; IDENTIFICATION; PHASE; SYSTEMS; IDENTIFIABILITY AB This article considers estimation of moving average (MA) models with non-Gaussian errors. Information in higher order cumulants allows identification of the parameters without imposing invertibility. By allowing for an unbounded parameter space, the generalized method of moments estimator of the MA(1) model is classical root-T consistent and asymptotically normal when the MA root is inside, outside, and on the unit circle. For more general models where the dependence of the cumulants on the model parameters is analytically intractable, we consider simulation-based estimators with two features. First, in addition to an autoregressive model, new auxiliary regressions that exploit information from the second and higher order moments of the data are considered. Second, the errors used to simulate the model are drawn from a flexible functional form to accommodate a large class of distributions with non-Gaussian features. The proposed simulation estimators are also asymptotically normally distributed without imposing the assumption of invertibility. In the application considered, there is overwhelming evidence of noninvertibility in the Fama-French portfolio returns. C1 [Gospodinov, Nikolay] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Ng, Serena] Columbia Univ, Dept Econ, New York, NY 10027 USA. RP Gospodinov, N (reprint author), Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. EM nikolay.gospodinov@atl.frb.org; sn2294@columbia.edu FU National Science Foundation [SES-0962431] FX The authors thank the Editor, an Associate Editor, two anonymous referees, Prosper Dovonon, Anders Bredahl Kock, Ivana Komunjer, and the participants at the CESG meeting at Queen's University for useful comments and suggestions. The second author acknowledges financial support from the National Science Foundation (SES-0962431). The views expressed here are the authors' and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System. NR 45 TC 0 Z9 0 U1 1 U2 2 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 EI 1537-2707 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JUL 3 PY 2015 VL 33 IS 3 BP 403 EP 417 DI 10.1080/07350015.2014.955175 PG 15 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA CN4QQ UT WOS:000358415500008 ER PT J AU Carapella, F Williamson, S AF Carapella, Francesca Williamson, Stephen TI Credit Markets, Limited Commitment, and Government Debt SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE Government Debt; Credit; Limited Commitment; Ricardian equivalence ID SIGNALING GAMES; MONEY; LIQUIDITY; PRIVATE; POLICY AB Adynamic model with credit under limited commitment is constructed, in which limited memory can weaken the effects of punishment for default. This creates an endogenous role for government debt in credit markets, and the economy can be non-Ricardian. Default can occur in equilibrium, and government debt essentially plays a role as collateral and thus improves borrowers' incentives. The provision of government debt acts to discourage default, whether default occurs in equilibrium or not. C1 [Carapella, Francesca] Fed Reserve Syst, Board Governors, Washington, DC USA. [Williamson, Stephen] Washington Univ, St Louis, MO 63130 USA. [Williamson, Stephen] Fed Reseve Bank St Louis, St Louis, MO USA. RP Carapella, F (reprint author), Fed Reserve Syst, Board Governors, Washington, DC USA. RI Williamson, Stephen/I-5759-2016 OI Williamson, Stephen/0000-0001-8490-1719 NR 24 TC 1 Z9 1 U1 3 U2 7 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 EI 1467-937X J9 REV ECON STUD JI Rev. Econ. Stud. PD JUL PY 2015 VL 82 IS 3 BP 963 EP 990 DI 10.1093/restud/rdv006 PG 28 WC Economics SC Business & Economics GA CQ2AA UT WOS:000360400500004 ER PT J AU Holmes, TJ McGrattan, ER Prescott, EC AF Holmes, Thomas J. McGrattan, Ellen R. Prescott, Edward C. TI Quid Pro Quo: Technology Capital Transfers for Market Access in China SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE Quid Pro Quo; China; FDI ID INTELLECTUAL PROPERTY-RIGHTS; FOREIGN DIRECT-INVESTMENT; DEVELOPING-COUNTRIES; MULTINATIONAL PRODUCTION; QUALITY LADDERS; TRADE; PRODUCTIVITY; SPILLOVERS; INNOVATION; OPENNESS AB By the 1970s, quid pro quo policy, which requires multinational firms to transfer technology in return for market access, had become a common practice in many developing countries. While many countries have subsequently liberalized quid pro quo requirements, China continues to follow the policy. In this article, we incorporate quid pro quo policy into a multicountry dynamic general equilibrium model, using microevidence from Chinese patents to motivate key assumptions about the terms of the technology transfer deals and macroevidence on China's inward foreign direct investment (FDI) to estimate key model parameters. We then use the model to quantify the impact of China's quid pro quo policy and show that it has had a significant impact on global innovation and welfare. C1 [Holmes, Thomas J.] Univ Minnesota, Minneapolis, MN 55455 USA. [Holmes, Thomas J.; McGrattan, Ellen R.; Prescott, Edward C.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [McGrattan, Ellen R.] Univ Minnesota, Minneapolis, MN 55455 USA. [Prescott, Edward C.] Arizona State Univ, Tempe, AZ 85287 USA. RP Holmes, TJ (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 73 TC 0 Z9 0 U1 7 U2 28 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 EI 1467-937X J9 REV ECON STUD JI Rev. Econ. Stud. PD JUL PY 2015 VL 82 IS 3 BP 1154 EP 1193 DI 10.1093/restud/rdv008 PG 40 WC Economics SC Business & Economics GA CQ2AA UT WOS:000360400500009 ER PT J AU Del Negro, M Sims, CA AF Del Negro, Marco Sims, Christopher A. TI When does a central bank's balance sheet require fiscal support? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Central bank's balance sheet; Solvency; Monetary policy ID DEMAND AB Using a simple, general equilibrium model, we argue that it would be appropriate for a central bank with a large balance sheet composed of long-duration nominal assets to have access to, and be willing to ask for, support for its balance sheet by the fiscal authority. Otherwise its ability to control inflation may be at risk. This need for balance sheet support - a within-government transaction - is distinct from the need for fiscal backing of inflation policy that arises even in models where the central bank's balance sheet is merged with that of the rest of the government. (C) 2015 Published by Elsevier B.V. C1 [Del Negro, Marco] Fed Reserve Bank New York, New York, NY USA. [Sims, Christopher A.] Princeton Univ, Princeton, NJ 08544 USA. RP Sims, CA (reprint author), Princeton Univ, Princeton, NJ 08544 USA. EM marco.delnegro@ny.frb.org; sims@princeton.edu NR 28 TC 6 Z9 6 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2015 VL 73 BP 1 EP 19 DI 10.1016/j.jmoneco.2015.05.001 PG 19 WC Business, Finance; Economics SC Business & Economics GA CP4TR UT WOS:000359876000002 ER PT J AU Christensen, JHE Lopez, JA Rudebusch, GD AF Christensen, Jens H. E. Lopez, Jose A. Rudebusch, Glenn D. TI A probability-based stress test of Federal Reserve assets and income SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Term structure modeling; Zero lower bound; Monetary policy; Quantitative easing ID TERM STRUCTURE MODELS; INTEREST-RATES; CENTRAL BANK; PURCHASES AB To support the economic recovery, the Federal Reserve amassed a large portfolio of long-term bonds. We assess the Fed's associated interest rate risk-including potential losses to its Treasury and mortgage-backed securities holdings and declines in the Fed's remittances to the Treasury. In assessing this interest rate risk, we use probabilities of alternative interest rate scenarios that are obtained from a dynamic term structure model that respects the zero lower bound on yields. The resulting probability-based stress tests indicate that large portfolio losses or a cessation of remittances to the Treasury are unlikely to occur over the next few years. Published by Elsevier B.V. C1 [Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D.] Fed Reserve Bank, San Francisco, CA 94105 USA. RP Christensen, JHE (reprint author), Fed Reserve Bank, 101 Mkt St,Mailstop 1130, San Francisco, CA 94105 USA. EM jens.christensen@sf.frb.org NR 48 TC 1 Z9 1 U1 5 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2015 VL 73 BP 26 EP 43 DI 10.1016/j.jmoneco.2015.03.007 PG 18 WC Business, Finance; Economics SC Business & Economics GA CP4TR UT WOS:000359876000004 ER PT J AU Lucas, RE Nicolini, JP AF Lucas, Robert E., Jr. Pablo Nicolini, Juan TI On the stability of money demand SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Money Demand; Monetary Base ID TRANSACTIONS DEMAND; CASH; INFLATION; WELFARE; MODEL AB We show that regulatory changes that occurred in the banking sector in the early 1980s, that considerably weakened Regulation Q can explain the apparent instability of money demand starting in the same period. We evaluate the effects of the regulatory changes using a model that goes beyond aggregates as M1 and treats currency and different deposit types as alternative means of payments. We use the model to construct a new monetary aggregate that performs remarkably well for all the period 1915-2012. (C) 2015 Elsevier B.V. All rights reserved. C1 [Lucas, Robert E., Jr.] Univ Chicago, Chicago, IL 60637 USA. [Pablo Nicolini, Juan] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Pablo Nicolini, Juan] Univ Tella, Caba, Argentina. RP Lucas, RE (reprint author), Univ Chicago, Chicago, IL 60637 USA. NR 20 TC 5 Z9 5 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2015 VL 73 BP 48 EP 65 DI 10.1016/j.jmoneco.2015.03.005 PG 18 WC Business, Finance; Economics SC Business & Economics GA CP4TR UT WOS:000359876000006 ER PT J AU Andolfatto, D Williamson, S AF Andolfatto, David Williamson, Stephen TI Scarcity of safe assets, inflation, and the policy trap SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Safe assets; Collateral; Policy trap; Monetary policy ID MONETARY; LIQUIDITY; MONEY AB A goal of this paper is to make sense of the seemingly puzzling behavior of interest rates and inflation - and the role of central banks in that behavior - during and after the Great Recession, particularly in the United States. To this end, we construct a model in which government debt plays a key role in exchange, and can bear a liquidity premium. If asset market constraints bind, then there need not be deflation under an indefinite zero interest rate policy (ZIRP). Further, ZIRP may not be optimal under these circumstances. A Taylor-rule central banker could be subject to a ZIRP trap and persistently undershoot target inflation. As well, a liquidity premium on government debt creates additional Taylor rule perils, because of a persistently low real interest rate. We make a case that this is the key policy predicament currently faced by many central banks in the world. (C) 2015 Elsevier B.V. All rights reserved. C1 [Andolfatto, David; Williamson, Stephen] Fed Reserve Bank, St Louis, MO 63166 USA. [Andolfatto, David] Simon Fraser Univ, Burnaby, BC V5A 1S6, Canada. [Williamson, Stephen] Washington Univ, St Louis, MO USA. RP Williamson, S (reprint author), Fed Reserve Bank, POB 442, St Louis, MO 63166 USA. EM swilliamecon@gmail.com RI Williamson, Stephen/I-5759-2016; Andolfatto, David/I-5738-2016 OI Williamson, Stephen/0000-0001-8490-1719; Andolfatto, David/0000-0003-0703-3967 NR 22 TC 4 Z9 4 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2015 VL 73 BP 70 EP 92 DI 10.1016/j.jmoneco.2015.03.008 PG 23 WC Business, Finance; Economics SC Business & Economics GA CP4TR UT WOS:000359876000008 ER PT J AU Ennis, HM AF Ennis, Huberto M. TI Comment on: "Scarcity of safe assets, inflation, and the policy trap" by Andolfatto and Williamson SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material DE Monetary policy; Taylor rules; Inflation; Cash-in-advance ID MONETARY-POLICY; EQUITY PREMIUM; TAYLOR RULES; EQUILIBRIA C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. RP Ennis, HM (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. EM huberto.ennis@rich.frb.org NR 15 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2015 VL 73 BP 93 EP 98 DI 10.1016/j.jmoneco.2015.04.002 PG 6 WC Business, Finance; Economics SC Business & Economics GA CP4TR UT WOS:000359876000009 ER PT J AU Bassetto, M Phelan, C AF Bassetto, Marco Phelan, Christopher TI Speculative runs on interest rate pegs SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Quantitative easing; Interest rate rule; Run; Inflation ID MONETARY-POLICY; TAYLOR RULES; MONEY; MODEL; EQUILIBRIA AB We analyze a new class of equilibria that emerges when a central bank conducts monetary policy by setting an interest rate (as an arbitrary function of its available information) and letting the private sector set the quantity traded. These equilibria involve a run on the central bank's interest target, whereby money grows fast, private agents borrow as much as possible against the central bank, and the shadow interest rate is different from the policy target. We argue that these equilibria represent a particular danger when banks hold large excess reserves, such as is the case following periods of quantitative easing. Our analysis suggests that successfully managing the exit strategy requires additional tools beyond setting interest-rate targets and paying interest on reserves; in particular, freezing excess reserves or fiscal-policy intervention may be needed to fend off adverse expectations. (C) 2015 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/). C1 [Bassetto, Marco] UCL, Dept Econ, London WC1H 0AX, England. [Bassetto, Marco] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Bassetto, Marco] Inst Fiscal Studies, London WC1E 7AE, England. [Phelan, Christopher] Univ Minnesota, Minneapolis, MN 55455 USA. [Phelan, Christopher] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Phelan, Christopher] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Bassetto, M (reprint author), UCL, Dept Econ, 30 Gordon St, London WC1H 0AX, England. EM bassetto@nber.org; cphelan@umn.edu FU ESRC through Centre for Macroeconomics [ES/L500343/1] FX For valuable suggestions, we thank the editor (Marvin Goodfriend), Fernando Alvarez, Gadi Barlevy, Robert Barsky, Mariacristina De Nardi, Timothy S. Fuerst, Robert E. Lucas, Jr., Thomas J. Sargent, and an anonymous referee. Marco Bassetto acknowledges financial support from the ESRC Grant ES/L500343/1 through the Centre for Macroeconomics. This paper was presented at the November 2014 Carnegie-Rochester-NYU Conference on Public Policy. The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Banks of Chicago or Minneapolis or the Federal Reserve System. NR 28 TC 0 Z9 0 U1 3 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2015 VL 73 BP 99 EP 114 DI 10.1016/j.jmoneco.2015.03.002 PG 16 WC Business, Finance; Economics SC Business & Economics GA CP4TR UT WOS:000359876000010 ER PT J AU Fuerst, TS AF Fuerst, Timothy S. TI Comment on: "Speculative runs on interest rate pegs" by Marco Bassetto and Christopher Phelan SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material C1 [Fuerst, Timothy S.] Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. [Fuerst, Timothy S.] Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Fuerst, TS (reprint author), Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. EM tfuerst@nd.edu NR 3 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2015 VL 73 BP 115 EP 118 DI 10.1016/j.jmoneco.2015.03.003 PG 4 WC Business, Finance; Economics SC Business & Economics GA CP4TR UT WOS:000359876000011 ER PT J AU Chen, KJ Irarrazabal, A AF Chen, Kaiji Irarrazabal, Alfonso TI The role of allocative efficiency in a decade of recovery SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Allocative efficiency; TFP; Banking reform; Preferential credit policy; Chile ID AGGREGATE PRODUCTIVITY; MISALLOCATION; DISTORTIONS; SELECTION; CHILE; INDIA AB The Chilean economy experienced a decade of sustained growth in aggregate output and productivity after the 1982 financial crisis. This paper analyzes the role of allocative efficiency on total factor productivity (TFP) in the manufacturing sector by applying the methodology of Hsieh and Klenow (2009) to establishment data from the Chilean manufacturing census. We find that a reduction in resource misallocation accounts for about 40 percent of the growth in manufacturing TFP between 1983 and 1996. In particular, a reduction in the least productive plants' implicit output subsidies is the primary reason for the reduction in resource misallocation during this period. Moreover, these plants enjoyed above industry-average growth in physical productivity, contributing to the overall improvement in efficient TFP after the financial crisis. Our evidence suggests that Chile's banking reform during the early and mid-1980s is likely to have played an important role in the observed improvement in allocative efficiency. (C) 2014 Elsevier Inc. All rights reserved. C1 [Chen, Kaiji] Emory Univ, Dept Econ, Atlanta, GA 30322 USA. [Chen, Kaiji] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Irarrazabal, Alfonso] BI Norwegian Business Sch, Oslo, Norway. RP Chen, KJ (reprint author), Emory Univ, Dept Econ, Atlanta, GA 30322 USA. EM kaiji.chen@emory.edu; alfonso.irarrazabal@norges-bank.no NR 42 TC 2 Z9 2 U1 2 U2 5 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2015 VL 18 IS 3 BP 523 EP 550 DI 10.1016/j.red.2014.09.008 PG 28 WC Economics SC Business & Economics GA CO9NE UT WOS:000359501700005 ER PT J AU Mustre-del-Rio, J AF Mustre-del-Rio, Jose TI Wealth and labor supply heterogeneity SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Indivisible labor; Frisch elasticity; Incomplete markets; Structural estimation ID IDIOSYNCRATIC RISK; INDIVISIBLE LABOR; BUSINESS-CYCLE; SELF-INSURANCE; LIFE-CYCLE; EQUILIBRIUM; MODEL; FLUCTUATIONS; MACROECONOMY; EMPLOYMENT AB This paper examines the importance of ex-ante heterogeneity for understanding the relationship between wealth and labor supply when markets are incomplete. An infinite horizon model is estimated where labor supply is indivisible and households are ex-ante heterogeneous in their labor disutility and market skills. The model replicates key features of the distribution of employment, wages, and wealth observed in the data. Importantly, it reverses the prediction that employment falls with wealth, a pervasive feature of models without ex-ante heterogeneity. A by product of the model's empirical performance is that it implies labor supply responses to unanticipated wage changes (e.g., Frisch elasticities) that are a half to two-thirds of those recovered from models with only ex-post heterogeneity. (C) 2014 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank, Kansas City, MO 64109 USA. RP Mustre-del-Rio, J (reprint author), Fed Reserve Bank, 1 Mem Dr, Kansas City, MO 64109 USA. EM jose.mustre-del-rio@kc.frb.org NR 38 TC 0 Z9 0 U1 2 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2015 VL 18 IS 3 BP 619 EP 634 DI 10.1016/j.red.2014.09.002 PG 16 WC Economics SC Business & Economics GA CO9NE UT WOS:000359501700009 ER PT J AU Silos, P Smith, E AF Silos, Pedro Smith, Eric TI Human capital portfolios SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Human capital; Occupational choice; Income inequality ID COLLEGE MAJOR; LIFE-CYCLE; YOUNG MEN; SELF-SELECTION; LABOR-MARKET; JOB MOBILITY; SEARCH; INEQUALITY; EDUCATION; EARNINGS AB This paper assesses the trade-off between acquiring specialized skills targeted for a particular occupation and acquiring a package of skills that diversifies risk across occupations. Individual-level data on college credits across subjects and labor market dynamics reveal that diversification generates higher income for individuals who switch occupations whereas specialization benefits those who stick with one type of job. A human capital portfolio choice problem featuring skills, abilities, and uncertain labor outcomes replicates this general pattern and generates a sizable amount of inequality. Policy experiments illustrate that mandatory specialization generates lower average income growth, lower turnover and marginally lower inequality. (C) 2014 Elsevier Inc. All rights reserved. C1 [Silos, Pedro; Smith, Eric] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Smith, Eric] Univ Essex, Dept Econ, Colchester CO4 3SQ, Essex, England. RP Smith, E (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM pedro.silos@atl.frb.org; esmith@essex.ac.uk NR 41 TC 1 Z9 1 U1 2 U2 7 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2015 VL 18 IS 3 BP 635 EP 652 DI 10.1016/j.red.2014.09.001 PG 18 WC Economics SC Business & Economics GA CO9NE UT WOS:000359501700010 ER PT J AU Gavin, WT Keen, BD Kydland, FE AF Gavin, William T. Keen, Benjamin D. Kydland, Finn E. TI Monetary policy, the tax code, and the real effects of energy shocks SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Inflation; Realized capital gains; Tax code; Energy shocks ID MACROECONOMIC TIME-SERIES; OIL-PRICE SHOCKS; ECONOMIC-ACTIVITY; BUSINESS-CYCLE; INFLATION; COMPETITION; INCREASES; TAXATION; MARKET; MODEL AB This paper develops a monetary model with taxes to account for the time-varying effects of energy shocks on output and hours worked in post-World War II U.S. data. In our model, the real effects of an energy shock are amplified when the monetary authority responds to that shock by changing its inflation objective. Specifically, higher inflation raises households' nominal capital gains taxes since those taxes are not indexed to inflation. The increase in taxes behaves as a negative wealth effect and generates an immediate decline in output, investment, and hours worked. The large drop in investment then causes a gradual but very persistent decline in the capital stock. That protracted decline in the capital stock is associated with an extended period of low labor productivity and high inflation. The real effects from the increase in nominal capital gains taxes are magnified by the tax on nominal interest income, which is also not indexed to inflation. A prolonged period of higher inflation and lower labor productivity following a negative energy shock is consistent with the stagflation of the 1970s. The negative effects, however, subsided greatly after 1980 due to the Volcker disinflation policy which prevented the Fed from accommodating negative energy shocks with higher inflation. (C) 2014 Elsevier Inc. All rights reserved. C1 [Gavin, William T.] Fed Reserve Bank, Div Res, St Louis, MO 63102 USA. [Keen, Benjamin D.] Univ Oklahoma, Dept Econ, Norman, OK 73019 USA. [Kydland, Finn E.] Univ Calif Santa Barbara, Dept Econ, Santa Barbara, CA 93106 USA. RP Gavin, WT (reprint author), Fed Reserve Bank, Div Res, One Fed Reserve Bank Plaza, St Louis, MO 63102 USA. FU Federal Reserve Bank of Dallas; Federal Reserve Bank of St. Louis FX Benjamin D. Keen and Finn E. Kydland thank the Federal Reserve Bank of Dallas and Federal Reserve Bank of St. Louis for research support on this project. The research benefited from helpful comments of participants at the AMES 2011 in Seoul, the Tsinghua Macroeconomic Workshop 2011 in Beijing, the SED 2011 meetings in Ghent, and the CEF 2012 meetings in Prague. We also thank Fei Mao for research assistance on an earlier version of the paper. NR 33 TC 0 Z9 0 U1 2 U2 5 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2015 VL 18 IS 3 BP 694 EP 707 DI 10.1016/j.red.2014.07.003 PG 14 WC Economics SC Business & Economics GA CO9NE UT WOS:000359501700013 ER PT J AU Benzoni, L Collin-Dufresne, P Goldstein, RS Helwege, J AF Benzoni, Luca Collin-Dufresne, Pierre Goldstein, Robert S. Helwege, Jean TI Modeling Credit Contagion via the Updating of Fragile Beliefs SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID INCOMPLETE INFORMATION; DEFAULTABLE SECURITIES; FINANCIAL CONTAGION; CORRELATED DEFAULT; COUNTERPARTY RISK; TERM STRUCTURE; STOCK MARKETS; SPREADS; EXPECTATIONS; DEBT AB We propose an equilibrium model for defaultable bonds that are subject to contagion risk. Contagion arises because agents with "fragile beliefs" are uncertain about the underlying economic state and its probability. Estimation on sovereign European credit default swaps (CDS) data shows that agents require a time-varying risk premium for bearing state uncertainty. The model outperforms affine specifications with the same number of state variables, suggesting that there are important nonlinearities in credit spreads that are captured by our model. Contagion drives most of the variation in CDS spreads, especially before the crisis. However, economic fundamentals account for a significant fraction during the crisis. C1 [Benzoni, Luca] Fed Reserve Bank Chicago, Chicago, IL USA. [Collin-Dufresne, Pierre] Ecole Polytech Fed Lausanne, CH-1015 Lausanne, Switzerland. [Collin-Dufresne, Pierre] SFI, Lincoln, NE USA. [Goldstein, Robert S.] Univ Minnesota, Minneapolis, MN 55455 USA. [Goldstein, Robert S.] NBER, Cambridge, MA 02138 USA. [Helwege, Jean] Univ Calif Riverside, Riverside, CA 92521 USA. RP Collin-Dufresne, P (reprint author), Ecole Polytech Fed Lausanne, Quartier UNIL Dorigny, Extranef 209, CH-1015 Lausanne, Switzerland. EM pierre.collin-dufresne@epfl.ch NR 70 TC 4 Z9 4 U1 7 U2 17 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD JUL PY 2015 VL 28 IS 7 BP 1960 EP 2008 DI 10.1093/rfs/hhv018 PG 49 WC Business, Finance; Economics SC Business & Economics GA CP1LI UT WOS:000359636900004 ER PT J AU Warusawitharana, M AF Warusawitharana, Missaka TI Research and development, profits, and firm value: A structural estimation SO QUANTITATIVE ECONOMICS LA English DT Article DE Research and development; structural estimation; firm dynamics; policy evaluation ID INFORMATION-TECHNOLOGY REVOLUTION; DEVELOPMENT TAX CREDITS; ENDOGENOUS GROWTH; STOCK-MARKET; INVESTMENT; INNOVATION; PRODUCTIVITY; DYNAMICS; MODEL; UNCERTAINTY AB This study presents a model in which firms invest in research and development (R&D) to generate innovations that increase their underlying profitability and invest in physical capital to produce output. Estimating the model using a method of moments approach reveals that R&D expenditures contribute significantly to profits and firm value. The model also captures variation in R&D intensity, profits, and firm value across R&D-intensive industries. Counterfactual experiments suggest that changes in the distribution of firms in the economy may, over the long run, mitigate tax policy changes designed to encourage R&D expenditures. C1 Fed Reserve Syst, Washington, DC 20551 USA. RP Warusawitharana, M (reprint author), Fed Reserve Syst, Washington, DC 20551 USA. EM m1mnw00@frb.gov NR 59 TC 2 Z9 2 U1 3 U2 18 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1759-7323 EI 1759-7331 J9 QUANT ECON JI Quant. Econ. PD JUL PY 2015 VL 6 IS 2 BP 531 EP 565 DI 10.3982/QE282 PG 35 WC Economics SC Business & Economics GA CO6VR UT WOS:000359295500010 ER PT J AU Jorda, O Schularick, M Taylor, AM AF Jorda, Oscar Schularick, Moritz Taylor, Alan M. TI Betting the house SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article; Proceedings Paper CT 37th Annual Meeting of the International Seminar on Macroeconomics (ISoM) CY JUN 27-28, 2014 CL Riga, LATVIA DE Financial crises; Monetary policy; Leverage; Credit; House prices; Local projections ID MONETARY-POLICY; EXCHANGE-RATES; CREDIT; MULTIPLIERS; TRILEMMA; LEVERAGE; PRICES; CRISES; BOOMS AB Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We exploit the implications of the macroeconomic policy trilemma to identify exogenous variation in monetary conditions: countries with fixed exchange regimes often see fluctuations in short-term interest rates unrelated to home economic conditions. We use novel instrumental variable local projection methods to demonstrate that loose monetary conditions lead to booms in real estate lending and house prices' bubbles; these, in turn, materially heighten the risk of financial crises. Both effects have become stronger in the postwar era. (C) 2014 Elsevier B.V. All rights reserved. C1 [Jorda, Oscar] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Jorda, Oscar; Taylor, Alan M.] Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. [Schularick, Moritz] Univ Bonn, Dept Econ, Bonn, Germany. [Taylor, Alan M.] Univ Calif Davis, Grad Sch Management, Davis, CA 95616 USA. [Taylor, Alan M.] NBER, Cambridge, MA 02138 USA. RP Jorda, O (reprint author), Fed Reserve Bank San Francisco Econ Res, MS 1130,101 Market St, San Francisco, CA 94105 USA. EM oscar.jorda@sf.frb.org; moritz.schularick@uni-bonn.de; amtaylor@ucdavis.edu FU Institute for New Economic Thinking (INET); Volkswagen Foundation FX The views expressed herein are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Federal Reserve Bank of San Francisco or the Board of Governors of the Federal Reserve System. This work is part of a larger project kindly supported by a research grant from the Institute for New Economic Thinking (INET) administered by UC Davis. Schularick thanks the Volkswagen Foundation for its generous financial support. We are indebted to Katharina Knoll who permitted us to use her cross-country database of historical housing prices. We thank the participants in the International Seminar on Macroeconomics in Riga, Latvia for their useful comments and suggestions. We are particularly grateful to Early Elias, Helen Irvin and Niklas Flamang for their outstanding research assistance. All errors are ours. NR 52 TC 6 Z9 6 U1 2 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD JUL PY 2015 VL 96 SU 1 SI SI BP S2 EP S18 DI 10.1016/j.jinteco.2014.12.011 PG 17 WC Economics SC Business & Economics GA CN0HV UT WOS:000358095600002 ER PT J AU Aliprantis, D Hartley, D AF Aliprantis, Dionissi Hartley, Daniel TI Blowing it up and knocking it down: The local and city-wide effects of demolishing high concentration public housing on crime SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Public housing; Crime; Poverty AB This paper estimates the effect that the closure and demolition of roughly 20,000 units of geographically concentrated high-rise public housing had on crime in Chicago. We estimate local effects of closures on crime in the neighborhoods where high-rises stood and in proximate neighborhoods. We also estimate the impact that households displaced from high-rises had on crime in the neighborhoods to which they moved and neighborhoods close to those. Overall, reductions in violent crime in and near the areas where high-rises were demolished greatly outweighed increases in violent crime associated with the arrival of displaced residents in new neighborhoods. (C) 2015 Elsevier Inc. All rights reserved. C1 [Aliprantis, Dionissi; Hartley, Daniel] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Hartley, D (reprint author), Fed Reserve Bank Cleveland, Res Dept, POB 6387, Cleveland, OH 44101 USA. EM daniel.hartley@clev.frb.org NR 35 TC 2 Z9 2 U1 2 U2 11 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 EI 1095-9068 J9 J URBAN ECON JI J. Urban Econ. PD JUL PY 2015 VL 88 BP 67 EP 81 DI 10.1016/j.jue.2015.06.002 PG 15 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA CN0LC UT WOS:000358104100005 ER PT J AU Banbura, M Giannone, D Lenza, M AF Banbura, Marta Giannone, Domenico Lenza, Michele TI Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Article DE Vector autoregression; Bayesian shrinkage; Dynamic factor model; Conditional forecast; Large cross-sections ID DYNAMIC MULTIVARIATE MODELS; IMPULSE-RESPONSE ANALYSIS; TIME-SERIES MODELS; SIMULATION SMOOTHER; MONETARY-POLICY; BAYESIAN VARS; PREDICTORS; SHRINKAGE; SHOCKS; NUMBER AB This paper describes an algorithm for computing the distribution of conditional forecasts, i.e., projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large models that can be cast in a linear state space representation. We build large vector autoregressions (VARs) and a large dynamic factor model (DFM) for a quarterly data set of 26 euro area macroeconomic and financial indicators. The two approaches deliver similar forecasts and scenario assessments. In addition, conditional forecasts shed light on the stability of the dynamic relationships in the euro area during the recent episodes of financial turmoil, and indicate that only a small number of sources drive the bulk of the fluctuations in the euro area economy. (C) 2014 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved. C1 [Banbura, Marta; Lenza, Michele] European Cent Bank, Frankfurt, Germany. [Giannone, Domenico] LUISS, Rome, Italy. [Giannone, Domenico; Lenza, Michele] ULB ECARES, Brussels, Belgium. [Giannone, Domenico] CEPR, London, England. [Giannone, Domenico] Fed Reserve Bank New York, New York, NY 10045 USA. RP Giannone, D (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM marta.banbura@ecb.europa.eu; domenico.giannnone@ny.frb.org; michele.lenza@ecb.europa.eu OI Giannone, Domenico/0000-0003-3850-2586 FU Action de recherche concertee [ARC-AUWB/2010-15/ULB-11]; IAP research network grant of the Belgian government (Belgian Science Policy) [P7/06] FX We would like to thank Todd Clark, Marek Jarocinski and Lutz Kilian for their comments. Domenico Giannone was supported by the Action de recherche concertee contract ARC-AUWB/2010-15/ULB-11 and by the IAP research network grant no. P7/06 of the Belgian government (Belgian Science Policy). The opinions in this paper are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of New York, the Federal Reserve System, the European Central Bank, or the Eurosystem. NR 64 TC 4 Z9 4 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 EI 1872-8200 J9 INT J FORECASTING JI Int. J. Forecast. PD JUL-SEP PY 2015 VL 31 IS 3 BP 739 EP 756 DI 10.1016/j.ijforecast.2014.08.013 PG 18 WC Economics; Management SC Business & Economics GA CM6YB UT WOS:000357836500012 ER PT J AU Niepmann, F AF Niepmann, Friederike TI Banking across borders SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Cross-border banking; International capital flows; Trade in banking services ID INTERNATIONAL BANKING; UNITED-STATES; FOREIGN BANKS; GLOBAL BANKS; DETERMINANTS; DECISIONS; TRADE; FLOWS; GLOBALIZATION; PRODUCTIVITY AB The international linkages between banks play a crucial role in today's global economy. Existing models explain these links largely on the basis of portfolio theory, in which banks diversify lending. These models have found limited empirical support and do not speak to several relevant dimensions of the data. They do not explain heterogeneity in the degree to which banks operate through foreign affiliates, fund their activities abroad or matter for local lending in foreign countries. This paper proposes a complementary theory of banking across borders that is based on elements of international trade theory. In the model, banking across borders arises because countries differ in their relative factor endowments and in the efficiency of their banking sectors. Based on these differences, the pattern of foreign bank asset and liability holdings emerges endogenously. This parsimonious model provides a rationale for the observed heterogeneity in foreign bank activities and is consistent with key patterns in the data. (C) 2015 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Niepmann, F (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty St, New York, NY 10045 USA. EM Friederike.Niepmann@ny.frb.org NR 65 TC 7 Z9 7 U1 6 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD JUL PY 2015 VL 96 IS 2 BP 244 EP 265 DI 10.1016/j.jinteco.2015.02.001 PG 22 WC Economics SC Business & Economics GA CM2YD UT WOS:000357547400002 ER PT J AU Liao, W Santacreu, AM AF Liao, Wei Santacreu, Ana Maria TI The trade comovement puzzle and the margins of international trade SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE International business cycle; Extensive margin of trade; Fixed export costs; Aggregate productivity ID BUSINESS-CYCLE COMOVEMENT; HETEROGENEOUS FIRMS; INTERMEDIATE INPUTS; IMPORTED INPUTS; DYNAMICS; PRODUCTIVITY; GROWTH; PLANTS; ENTRY; COSTS AB Countries that trade more with each other tend to have more strongly correlated business cycles. Yet, traditional international business cycle models predict a much weaker link between trade and business cycle comovement We propose that fluctuations in the number of varieties embedded in trade flows may drive the observed comovement by increasing the correlation among trading partners' aggregate productivity. Our hypothesis is that business cycles should be more strongly correlated between countries that trade a wider variety of goods. We find empirical support for this hypothesis. After decomposing trade into its extensive and intensive margins, we find that the extensive margin explains most of the trade-productivity and trade-output comovement This result is striking because the extensive margin accounts for only a fourth of the variability in total trade. We then develop a two-country model with heterogeneous firms, endogenous entry, and fixed export costs, in which the aggregate productivity correlation increases with trade in varieties. A numerical exercise shows that our proposed mechanism increases business cycle synchronization compared with the levels predicted by traditional models. (C) 2015 Elsevier B.V. All rights reserved. C1 [Santacreu, Ana Maria] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. [Santacreu, Ana Maria] INSEAD, Fontainebleau, France. [Liao, Wei] IMF, Washington, DC USA. RP Santacreu, AM (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. EM liaoweicarol@gmail.com; am.santacreu@gmail.com RI Santacreu, Ana Maria/I-5753-2016 OI Santacreu, Ana Maria/0000-0002-3788-4511 FU EUROPLACE grant FX We appreciate the helpful comments of Roger Farmer, Antonio Fatas, Ana Cecilia Fieler, Delfim Gomes, Denis Gromb, Dong He, Jean Imbs, Ayhan Rose, Fernando Leibovici, Philippe Martin, Linda Tesar, and Jaume Ventura, as well as those of the seminar participants at NYU, Universidad Autonoma de Madrid, Georgetown University's McDonough School of Business, Hong Kong Institute for Monetary Research, the Hong Kong University of Science and Technology, City University of Hong Kong, Copenhagen Business School, the Seventh Annual Workshop on Macroeconomics and Global Interdependence (MGI), the Second Joint Macro Workshop (Paris), Tel-Aviv University, Haifa University, SED 2012, EEA-ESEM 2012, the IMF, Georgetown University, the Federal Reserve Bank of St. Louis, and the CEPR Workshop on international trade, finance, and macroeconomics. We are very grateful to Fabio Ghironi and Marc Melitz for sharing their MATLAB codes and to Jonas Heipertz and Rondy Wong for their excellent research assistance. The authors acknowledge the financial support from a EUROPLACE grant. All remaining errors are ours. For Ana Maria Santacreu, the views expressed herein are those of the author and do not necessarily represent those of the Federal Reserve System, the Board of Governors, or the Regional Federal Reserve Banks. For Wei Liao, the views expressed herein are those of the author and should not be attributed to the IMF, its Executive Board, or its management. NR 38 TC 2 Z9 2 U1 2 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD JUL PY 2015 VL 96 IS 2 BP 266 EP 288 DI 10.1016/j.jinteco.2015.02.004 PG 23 WC Economics SC Business & Economics GA CM2YD UT WOS:000357547400003 ER PT J AU Kehoe, TJ Rossbach, J Ruhl, KJ AF Kehoe, Timothy J. Rossbach, Jack Ruhl, Kim J. TI Using the new products margin to predict the industry-level impact of trade reform SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Trade liberalization; Industry; Product ID AMERICAN FREE-TRADE; INTERNATIONAL-TRADE; AGREEMENT; CANADA AB This paper develops a methodology for predicting the impact of trade liberalization on exports by industry (3-digit ISIC) based on the pre-liberalization distribution of exports by product (5-digit SITC). We evaluate the ability of our methodology to account for the industry-level variation in export growth by using our model to "predict" the growth in industry trade from the North American Free Trade Agreement (NAFTA). We show that our method performs significantly better than the applied general equilibrium models originally used for the policy evaluation of NAFTA. We find that the most important products in our analysis are not the ones with zero pre-liberalization trade, but those with positive, yet small amounts of pre-liberalization trade. (C) 2015 Elsevier B.V. All rights reserved. C1 [Kehoe, Timothy J.] Univ Minnesota, Fed Reserve Bank Minneapolis, Natl Bur Econ Res, Minneapolis, MN 55455 USA. [Rossbach, Jack] Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. [Ruhl, Kim J.] NYU, Stern Sch Business, New York, NY 10012 USA. RP Ruhl, KJ (reprint author), NYU, Stern Sch Business, Dept Econ, 44 W 4ST,STE 7-86, New York, NY 10012 USA. EM kruhl@stern.nyu.edu OI Rossbach, Jack/0000-0003-3979-8964 FU National Science Foundation [SES-0962993] FX The data used here are available at http://www.econ.umn.edu/similar to tkehoe/. The authors thank the editor, Robert Staiger and two anonymous referees for their helpful comments and suggestions. We also thank the National Science Foundation for support through grant SES-0962993. The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis or the Federal Reserve System. NR 37 TC 0 Z9 0 U1 2 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD JUL PY 2015 VL 96 IS 2 BP 289 EP 297 DI 10.1016/j.jinteco.2015.03.004 PG 9 WC Economics SC Business & Economics GA CM2YD UT WOS:000357547400004 ER PT J AU Sposi, M AF Sposi, Michael TI Trade barriers and the relative price of tradables SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Relative prices; Tradables; Nontradables; Trade barriers ID REAL EXCHANGE-RATE; INTERNATIONAL-TRADE; SECTORS; COSTS; RATES AB In this paper I quantitatively address the role of trade barriers in explaining why prices of services relative to tradables are positively correlated with levels of development across countries. I argue that trade barriers play a crucial role in shaping the cross-country pattern of specialization across many tradable goods. I construct a multi-country, general equilibrium model of trade and derive tractable predictions that show how specialization affects relative prices. I calibrate the model to match the patterns of prices, levels of development, and bilateral trade across 103 countries. Through counterfactuals I find that removing trade barriers eliminates more than half of the gap in the relative price of services between rich and poor countries with only a minimal systematic effect on the absolute price of tradables. (C) 2015 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Sposi, M (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. EM michael.sposi@dal.frb.org NR 37 TC 0 Z9 0 U1 2 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD JUL PY 2015 VL 96 IS 2 BP 398 EP 411 DI 10.1016/j.jinteco.2015.02.003 PG 14 WC Economics SC Business & Economics GA CM2YD UT WOS:000357547400011 ER PT J AU Buera, FJ Moll, B AF Buera, Francisco J. Moll, Benjamin TI Aggregate Implications of a Credit Crunch: The Importance of Heterogeneity SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID BUSINESS FLUCTUATIONS; FINANCIAL FRICTIONS; KEYNESIAN MODEL; MONETARY-POLICY; AGENCY COSTS; NET WORTH; SHOCKS; UNEMPLOYMENT; MISALLOCATION; PRODUCTIVITY AB We take an off-the-shelf model with financial frictions and heterogeneity, and study the mapping from a credit crunch, modeled as a shock to collateral constraints, to simple aggregate wedges. We study three variants of this model that only differ in the form of underlying heterogeneity. We find that in all three model variants a credit crunch shows up as a different wedge: efficiency, investment, and labor wedges. Furthermore, all three model variants have an undistorted Euler equation for the aggregate of firm owners. These results highlight the limitations of using representative agent models to identify sources of business cycle fluctuations. C1 [Buera, Francisco J.] Fed Reserve Bank Chicago, Chicago, IL 60690 USA. [Moll, Benjamin] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. RP Buera, FJ (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60690 USA. EM Francisco.Buera@chi.frb.org; moll@princeton.edu NR 60 TC 2 Z9 2 U1 2 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JUL PY 2015 VL 7 IS 3 BP 1 EP 42 DI 10.1257/mac.20130212 PG 42 WC Economics SC Business & Economics GA CL8YT UT WOS:000357261500001 ER PT J AU Orrenius, PM Zavodny, M AF Orrenius, Pia M. Zavodny, Madeline TI Does Immigration Affect Whether US Natives Major in Science and Engineering? SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID GENDER-GAP; COLLEGE MAJOR; ACADEMIC-PERFORMANCE; LABOR-MARKET; SCHOOL; INNOVATION; STUDENTS; CHOICE; VISA; PERSISTENCE AB Immigration may affect the likelihood that US natives major in science or engineering. Foreign-born students may crowd US natives out of science or engineering, or they may have positive spillovers on US natives that attract or retain them in those fields. This study uses data on college majors from the 2009-11 American Community Surveys to examine the effect of the immigrant share in US natives' age cohort while they are in high school or in college. We find some evidence that immigration adversely affects whether US-born women who graduated from college majored in a science or engineering field. C1 [Orrenius, Pia M.] Fed Reserve Bank Dallas, Dallas, TX USA. [Zavodny, Madeline] Agnes Scott Coll, Decatur, GA 30030 USA. RP Zavodny, M (reprint author), Agnes Scott Coll, Decatur, GA 30030 USA. EM mzavodny@agnesscott.edu NR 62 TC 1 Z9 1 U1 5 U2 13 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0734-306X EI 1537-5307 J9 J LABOR ECON JI J. Labor Econ. PD JUL PY 2015 VL 33 IS 3 BP S79 EP S108 DI 10.1086/676660 PN 2 PG 30 WC Economics; Industrial Relations & Labor SC Business & Economics GA CL5TB UT WOS:000357022700004 ER PT J AU Bowman, D Londono, JM Sapriza, H AF Bowman, David Londono, Juan M. Sapriza, Horacio TI US unconventional monetary policy and transmission to emerging market economies SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article; Proceedings Paper CT Conference on Macroeconomic and Financial Challenges Facing Latin America and the Caribbean after the Crisis CY APR 28-29, 2014 CL Washington, DC SP Inter Amer Dev Bank, JIMF DE Unconventional monetary policy; Emerging markets; Large-scale asset purchase program; Quantitative easing; Federal Reserve ID INTEREST-RATES; IMPACT AB We investigate the effects of U.S. unconventional monetary policies on sovereign yields, foreign exchange rates, and stock prices in emerging market economies (EMEs), and we analyze how these effects depend on country-specific characteristics. We find that, although EME asset prices, mainly those of sovereign bonds, responded strongly to U.S. unconventional monetary policy announcements, these responses were not outsized with respect to a model that takes into account each country's currency regime and vulnerability to U.S. financial conditions. Published by Elsevier Ltd. C1 [Bowman, David; Londono, Juan M.; Sapriza, Horacio] Fed Reserve Board, Int Finance Div, Washington, DC 20551 USA. RP Londono, JM (reprint author), Fed Reserve Board, Int Finance Div, Mail Stop 43, Washington, DC 20551 USA. EM david.h.bowman@frb.gov; juan-miguel.londono-yarce@frb.gov; horacio.sapriza@frb.gov NR 16 TC 10 Z9 10 U1 6 U2 20 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 EI 1873-0639 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD JUL PY 2015 VL 55 SI SI BP 27 EP 59 DI 10.1016/j.jimonfin.2015.02.016 PG 33 WC Business, Finance SC Business & Economics GA CL2EY UT WOS:000356757600003 ER PT J AU Benigno, G Converse, N Fornaro, L AF Benigno, Gianluca Converse, Nathan Fornaro, Luca TI Large capital inflows, sectoral allocation, and economic performance SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article; Proceedings Paper CT Conference on Macroeconomic and Financial Challenges Facing Latin America and the Caribbean after the Crisis CY APR 28-29, 2014 CL Washington, DC SP Inter Amer Dev Bank, JIMF DE Capital flows; Surges; Sectoral allocation; Sudden stops ID GROWTH; FLOWS; COUNTRIES; SURGES; CRISES; INCOME; FLIGHT; STOPS AB This paper describes the stylized facts characterizing periods of exceptionally large capital inflows in a sample of 70 middle- and high-income countries over the last 35 years. We identify 155 episodes of large capital inflows and find that these events are typically accompanied by an economic boom and followed by a slump. Moreover during episodes of large capital inflows, capital and labor shift out of the manufacturing sector, especially if the inflows begin during a period of low international interest rates. However, accumulating reserves during the period in which capital inflows are unusually large appears to limit the extent of labor reallocation. Larger credit booms and capital inflows during the episodes we identify increase the probability of a sudden stop occurring during or immediately after the episode. In addition, the severity of the post-inflows recession is significantly related to the extent of labor reallocation during the boom, with a stronger shift of labor out of manufacturing during the inflows episode associated with a sharper contraction in the aftermath of the episode Published by Elsevier Ltd. C1 [Benigno, Gianluca] London Sch Econ, London, England. [Benigno, Gianluca; Fornaro, Luca] CEPR, Washington, DC USA. [Converse, Nathan] Fed Reserve Board, Int Finance Div, Washington, DC 20551 USA. [Fornaro, Luca] CREI, Barcelona, Spain. [Fornaro, Luca] Univ Pompeu Fabra, Barcelona, Spain. [Fornaro, Luca] Barcelona GSE, Barcelona, Spain. RP Converse, N (reprint author), Fed Reserve Board, Int Finance Div, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM G.Benigno@lse.ac.uk; Nathan.L.Converse@frb.gov; LFornaro@crei.cat RI Fornaro, Luca/L-2744-2014 OI Fornaro, Luca/0000-0001-9620-9594 FU ESRC [ES/I024174/1]; Spanish Ministry of Science and Innovation [ECO2011-23192] FX This research has been supported by ESRC grant ES/I024174/1 and by the Spanish Ministry of Science and Innovation (grant ECO2011-23192). We thank the editor Carlos Vegh, Alberto Ortiz and Mark Spiegel for their helpful discussions. We are also grateful for comments from participants in the IDB-JIMF Conference on Macroeconomic Challenges Facing Latin America and the Federal Reserve System Committee on International Economic Analysis 2014 Conference, and from seminar participants at the Bank of Lithuania. NR 51 TC 4 Z9 4 U1 3 U2 11 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 EI 1873-0639 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD JUL PY 2015 VL 55 SI SI BP 60 EP 87 DI 10.1016/j.jimonfin.2015.02.015 PG 28 WC Business, Finance SC Business & Economics GA CL2EY UT WOS:000356757600004 ER PT J AU Schumacher, H Gerling, K Kowalik, M AF Schumacher, Heiner Gerling, Kerstin Kowalik, Michal TI Entrepreneurial Risk Choice and Credit Market Equilibria SO B E JOURNAL OF ECONOMIC ANALYSIS & POLICY LA English DT Article DE stigma of failure; entrepreneurship; credit markets; asymmetric information ID SELF-EMPLOYMENT; PERFORMANCE; BUSINESS AB We analyze under what conditions competitive credit markets are efficient in providing loans to entrepreneurs who can start a new project after failure. An entrepreneur of uncertain talent chooses the riskiness of her project. If banks privately observe the entrepreneur's risk choices, two equilibria coexist: (1) an inefficient equilibrium in which the entrepreneur realizes a low-risk project and has no access to finance after failure and (2) a more efficient equilibrium in which the entrepreneur first realizes high-risk projects and then, after continuous failures, a low-risk project. There is a non-monotonic relationship between bank information and potential credit market inefficiency. We discuss the implications for credit registers and entrepreneurial education. C1 [Schumacher, Heiner] Aarhus Univ, Dept Econ & Business, DK-8210 Aarhus V, Denmark. [Gerling, Kerstin] Int Monetary Fund, Washington, DC 20431 USA. [Kowalik, Michal] Fed Reserve Bank Boston, Boston, MA 02120 USA. RP Schumacher, H (reprint author), Aarhus Univ, Dept Econ & Business, Fuglesangs Alle 4, DK-8210 Aarhus V, Denmark. EM hschumacher@econ.au.dk; kgerling@imf.org; michal.kowalik@bos.frb.org NR 32 TC 1 Z9 1 U1 1 U2 13 PU WALTER DE GRUYTER GMBH PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1682 J9 BE J ECON ANAL POLI JI B E J. Econ. Anal. Policy PD JUL PY 2015 VL 15 IS 3 BP 1455 EP 1480 DI 10.1515/bejeap-2014-0160 PG 26 WC Economics SC Business & Economics GA CK1XG UT WOS:000356001900016 ER PT J AU Londono, JM Regulez, M Vazquez, J AF Londono, Juan M. Regulez, Marta Vazquez, Jesus TI An alternative view of the US price-dividend ratio dynamics SO INTERNATIONAL REVIEW OF ECONOMICS & FINANCE LA English DT Article DE Markov regime switching; Price-dividend ratio; Stationarity ID STOCK-PRICES; DISAPPEARING DIVIDENDS; INTRINSIC BUBBLES; INTEREST-RATES; MODEL; REGIME; INFORMATION; MARKETS AB The price-dividend (PD) ratio must be stationary for the present value model to be valid. However, several market episodes show stock prices drifting apart from dividends. This paper investigates PD ratio stationarity by considering a Markov-switching model featuring an asymmetric adjustment speed toward a unique attractor. A three-regime model displays the best regime identification. Within this specification, the post-war period is mainly characterized by a stationary state featuring slow reversion to a high attractor, the growing PD ratio period of 1996-2000 features a high-reversion stationary regime, and the subprime crisis episode is classified into a temporary nonstationary regime. (C) 2015 Elsevier Inc. All rights reserved. C1 [Londono, Juan M.] Board Governors Fed Reserve Syst, Div Int Finance, Washington, DC 20551 USA. [Regulez, Marta] Univ Pais Vasco UPV EHU, Dept Econ Aplicada 3, Bilbao 48015, Spain. [Vazquez, Jesus] Univ Pais Vasco UPV EHU, Dept Fundamentos Anal Econ 2, Bilbao 48015, Spain. RP Vazquez, J (reprint author), Univ Pais Vasco UPV EHU, Dept Fundamentos Anal Econ 2, Av Lehendakari Aguirre 83, Bilbao 48015, Spain. EM juan-miguel.londono-yarce@frb.gov; marta.regulez@ehu.es; jesus.vazquez@ehu.es OI Vazquez, Jesus/0000-0003-4788-4838 FU Ministerio de Ciencia e Innovacion (Spain) [SEJ2004-04811/ECON, SEJ2007-66592-C03-01/ECON, ECO2010/16970]; Basque Government [IT793-13] FX We are grateful for comments from Lieven Baele, Guillermo Llorente, Alfonso Novales, Eliseo Navarro, Stefano Siviero, Miguel Martinez, Trino Niguez, Susan Orbe, and participants in seminars at Universidad Complutense de Madrid, Universidad del Pais Vasco, Foro de Finanzas, and EFMA meeting. Financial support from Ministerio de Ciencia e Innovacion (Spain) through projects SEJ2004-04811/ECON, SEJ2007-66592-C03-01/ECON, and ECO2010/16970 and the Basque Government through research grant IT793-13 are also acknowledged. The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System or of any other person associated with the Federal Reserve System. NR 42 TC 2 Z9 2 U1 1 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1059-0560 EI 1873-8036 J9 INT REV ECON FINANC JI Int. Rev. Econ. Financ. PD JUL PY 2015 VL 38 BP 291 EP 307 DI 10.1016/j.iref.2015.03.005 PG 17 WC Business, Finance; Economics SC Business & Economics GA CK3OY UT WOS:000356126600021 ER PT J AU Lee, D Song, K AF Lee, Donghoon Song, Kyungchul TI Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies SO JOURNAL OF ECONOMETRICS LA English DT Article DE Simulated MLE; Discrete choice models; Simulation bias; Simulated frequencies; Cube-root asymptotics ID CUBE ROOT ASYMPTOTICS; MODELS; MOMENTS AB Many existing methods of simulated likelihood for discrete choice models require additive errors that have normal or extreme value distributions. This paper focuses on a situation where the model does not admit such additive errors so that the popular method of GHK or logit estimation is not applicable. This paper proposes a new method of simulated likelihood that is free from simulation bias for each finite number of simulations, and yet flexible enough to accommodate various model specifications beyond those of additive normal or logit errors. The method begins with the likelihood function involving simulated frequencies and finds a transform of the likelihood function that identifies the true parameter for each finite simulation number. The transform is explicit, containing no unknowns that demand an additional step of estimation. The estimator achieves the efficiency of MLE when the simulation number increases fast enough. This paper presents and discusses results from Monte Carlo simulation studies of the new method. (C) 2015 Elsevier B.V. All rights reserved. C1 [Lee, Donghoon] Fed Reserve Bank New York, New York, NY 10045 USA. [Song, Kyungchul] Univ British Columbia, Vancouver Sch Econ, Vancouver, BC V6T 1Z1, Canada. RP Song, K (reprint author), Univ British Columbia, Vancouver Sch Econ, Vancouver, BC V5Z 1M9, Canada. EM donghoon.lee1@gmail.com; kysong@mail.ubc.ca NR 35 TC 0 Z9 0 U1 1 U2 2 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 EI 1872-6895 J9 J ECONOMETRICS JI J. Econom. PD JUL PY 2015 VL 187 IS 1 BP 131 EP 153 DI 10.1016/j.jeconom.2014.12.009 PG 23 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA CK4KZ UT WOS:000356194000009 ER PT J AU Hoen, B Brown, JP Jackson, T Thayer, MA Wiser, R Cappers, P AF Hoen, Ben Brown, Jason P. Jackson, Thomas Thayer, Mark A. Wiser, Ryan Cappers, Peter TI Spatial Hedonic Analysis of the Effects of US Wind Energy Facilities on Surrounding Property Values SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article DE Turbines; Wind; Property Value; Price; Hedonic; Spatial ID HOUSE PRICES; ECONOMIC-IMPACTS; ISSUES; PERCEPTIONS; REGRESSION; BENEFITS; TURBINES; QUALITY; MODELS; RISK AB Rapid, large-scale U.S. deployment of wind turbines is expected to continue in the coming years. Because some of that deployment is expected to occur in relatively populous areas, concerns have arisen about the impact of turbines on nearby home values. Previous research on the effects of wind turbines on surrounding home values has been limited by small home-sale data samples and insufficient consideration of confounding home-value factors and spatial dependence. This study examines the largest set of turbine-proximal sales data to date: more than 50,000 home sales including 1,198 within 1 mile of a turbine (331 of which were within a half mile). The data span the periods well before announcement of the wind facilities to well after their construction. We use ordinary least squares and spatial-process difference-in-difference hedonic models to estimate the home-value impacts of the wind facilities, controlling for value factors existing prior to the wind facilities' announcements, the spatial dependence of home values, and value changes over time. A series of robustness models provide greater confidence in the results. We find no statistical evidence that home values near turbines were affected in the turbine post-construction or post-announcement/pre-construction periods. C1 [Hoen, Ben] Lawrence Berkeley Natl Lab, Milan, NY 12571 USA. [Brown, Jason P.] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. [Jackson, Thomas] Texas A&M Univ, College Stn, TX 77845 USA. [Jackson, Thomas] Real Property Analyt Inc, College Stn, TX 77845 USA. [Thayer, Mark A.] San Diego State Univ, San Diego, CA 92182 USA. [Wiser, Ryan] Lawrence Berkeley Natl Lab, Berkeley, CA 94720 USA. [Cappers, Peter] Lawrence Berkeley Natl Lab, Fayetteville, NY 13066 USA. RP Hoen, B (reprint author), Lawrence Berkeley Natl Lab, 20 Sawmill Rd, Milan, NY 12571 USA. EM bhoen@lbl.gov; Jason.Brown@kc.frb.org; tjackson@mays.tamu.edu; mthayer@mail.sdsu.edu; RHWiser@lbl.gov; PACappers@lbl.gov FU Office of Energy Efficiency and Renewable Energy (Wind and Water Power Technologies Office) of the U.S. Department of Energy [DE-AC02-05CH11231]; U.S. DOE FX This work was supported by the Office of Energy Efficiency and Renewable Energy (Wind and Water Power Technologies Office) of the U.S. Department of Energy under Contract No. DE-AC02-05CH11231. For funding and supporting this work, we especially thank Patrick Gilman, Cash Fitzpatrick, and Mark Higgins (U.S. DOE). For providing the data that were central to the analysis contained herein, we thank Cameron Rogers (Fiserv) and Joshua Tretter (CoreLogic Inc.), both of whom were highly supportive and extremely patient throughout the complicated data-acquisition process. Finally, we would like to thank the many external reviewers for providing valuable comments on an earlier draft version of the report. Of course, any remaining errors or omissions are our own. The views expressed herein are those of the authors and may not be attributed to the Lawrence Berkeley National Laboratory, the Federal Reserve Bank of Kansas City, Texas A&M University or San Diego State University. NR 55 TC 4 Z9 4 U1 4 U2 18 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5638 EI 1573-045X J9 J REAL ESTATE FINANC JI J. Real Estate Financ. Econ. PD JUL PY 2015 VL 51 IS 1 BP 22 EP 51 DI 10.1007/s11146-014-9477-9 PG 30 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA CJ7GI UT WOS:000355662300002 ER PT J AU Ergen, I AF Ergen, Ibrahim TI Two-step methods in VaR prediction and the importance of fat tails SO QUANTITATIVE FINANCE LA English DT Article DE G1; C53; C1; Value-at-risk; EVT; VaR; Extreme value theory ID VALUE-AT-RISK; EXTREME-VALUE APPROACH; CONDITIONAL HETEROSKEDASTICITY; SPECULATIVE PRICES; EMERGING MARKETS; FINANCIAL DATA; T-DISTRIBUTION; VOLATILITY; MODELS; PERFORMANCE AB This paper proposes a two-step methodology for Value-at-Risk prediction. The first step involves estimation of a GARCH model using quasi-maximum likelihood estimation and the second step uses model filtered returns with the skewed t distribution of Azzalini and Capitanio [J. R. Stat. Soc. B, 2003, 65, 367-389]. The predictive performance of this method is compared to the single-step joint estimation of the same data generating process, to the well-known GARCH-Evt model and to a comprehensive set of other market risk models. Backtesting results show that the proposed two-step method outperforms most benchmarks including the classical joint estimation method of same data generating process and it performs competitively with respect to the GARCH-Evt model. This paper recommends two robust models to risk managers of emerging market stock portfolios. Both models are estimated in two steps: the GJR-GARCH-Evt model and the two-step GARCH-St model proposed in this study. C1 Fed Reserve Bank Richmond, Risk & Policy Anal, Supervis Regulat & Credit, Baltimore, MD 21201 USA. RP Ergen, I (reprint author), Fed Reserve Bank Richmond, Risk & Policy Anal, Supervis Regulat & Credit, 502 S Sharp St, Baltimore, MD 21201 USA. EM ibrahim.ergen@rich.frb.org NR 45 TC 2 Z9 2 U1 3 U2 17 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1469-7688 EI 1469-7696 J9 QUANT FINANC JI Quant. Financ. PD JUN 3 PY 2015 VL 15 IS 6 SI SI BP 1013 EP 1030 DI 10.1080/14697688.2014.942230 PG 18 WC Business, Finance; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA CH6EG UT WOS:000354128500003 ER PT J AU Plosser, CI AF Plosser, Charles I. TI Opening Remarks SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Editorial Material C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Plosser, CI (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD JUN PY 2015 VL 11 IS 3 SI SI BP 3 EP 8 PG 6 WC Business, Finance SC Business & Economics GA CR4KN UT WOS:000361301000002 ER PT J AU Clerc, L Derviz, A Mendicino, C Moyen, S Nikolov, K Stracca, L Suarez, J Vardoulakis, AP AF Clerc, Laurent Derviz, Alexis Mendicino, Caterina Moyen, Stephane Nikolov, Kalin Stracca, Livio Suarez, Javier Vardoulakis, Alexandros P. TI Capital Regulation in a Macroeconomic Model with Three Layers of Default SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article; Proceedings Paper CT Policies for Macroeconomic and Financial Stability CY SEP 26-27, 2014 CL Fed Reserve Bank Philadelphia, Philadelphia, PA HO Fed Reserve Bank Philadelphia ID MONETARY-POLICY; DEPOSIT INSURANCE; FINANCIAL CRISES; BANK REGULATION; BUSINESS-CYCLE; DSGE MODEL; CONTRACTS; CREDIT; EXTERNALITIES; SHOCKS AB We develop a dynamic general equilibrium model for the positive and normative analysis of macroprudential policies. Optimizing financial intermediaries allocate their scarce net worth together with funds raised from saving households across two lending activities, mortgage and corporate lending. For all borrowers (households, firms, and banks), external financing takes the form of debt which is subject to default risk. This "3D model" shows the interplay between three interconnected net worth channels that cause financial amplification and the distortions due to deposit insurance. We apply it to the analysis of capital regulation. C1 [Clerc, Laurent] Banque France, Paris, France. [Derviz, Alexis] Czech Natl Bank, Prague, Czech Republic. [Mendicino, Caterina] Banco Portugal, Lisbon, Portugal. [Mendicino, Caterina] Univ Estadual Ceara, Fortaleza, Ceara, Brazil. [Moyen, Stephane] Deutsch Bundesbank, Frankfurt, Germany. [Nikolov, Kalin] European Cent Bank DG Res, Cleveland, OH USA. [Stracca, Livio] European Cent Bank DG Int, Cleveland, OH USA. [Suarez, Javier] CEMFI, Madrid 28014, Spain. [Suarez, Javier] CEPR, London, England. [Vardoulakis, Alexandros P.] Board Governors Fed Reserve Syst, Washington, DC USA. RP Suarez, J (reprint author), CEMFI, Casado Alisal 5, Madrid 28014, Spain. EM suarez@cemfi.es NR 50 TC 3 Z9 3 U1 5 U2 12 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD JUN PY 2015 VL 11 IS 3 SI SI BP 9 EP 63 PG 55 WC Business, Finance SC Business & Economics GA CR4KN UT WOS:000361301000003 ER PT J AU Berrospide, JM AF Berrospide, Jose M. TI Discussion of "Did the EBA Capital Exercise Cause a Credit Crunch in the Euro Area?" SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article; Proceedings Paper CT Policies for Macroeconomic and Financial Stability CY SEP 26-27, 2014 CL Fed Reserve Bank Philadelphia, Philadelphia, PA HO Fed Reserve Bank Philadelphia ID TRANSMISSION; POLICY C1 Fed Reserve Board, Washington, DC 20551 USA. RP Berrospide, JM (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM jose.m.berrospide@frb.gov NR 11 TC 0 Z9 0 U1 1 U2 1 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD JUN PY 2015 VL 11 IS 3 SI SI BP 119 EP 126 PG 8 WC Business, Finance SC Business & Economics GA CR4KN UT WOS:000361301000006 ER PT J AU Adrian, T AF Adrian, Tobias TI Discussion of "Systemic Risk and the Solvency-Liquidity Nexus of Banks" SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article; Proceedings Paper CT Policies for Macroeconomic and Financial Stability CY SEP 26-27, 2014 CL Fed Reserve Bank Philadelphia, Philadelphia, PA HO Fed Reserve Bank Philadelphia ID FINANCIAL CRISIS; MODEL C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM tobias.adrian@ny.frb.org NR 27 TC 0 Z9 0 U1 1 U2 3 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD JUN PY 2015 VL 11 IS 3 SI SI BP 229 EP 240 PG 12 WC Business, Finance SC Business & Economics GA CR4KN UT WOS:000361301000010 ER PT J AU Alter, A Craig, BR Raupach, P AF Alter, Adrian Craig, Ben R. Raupach, Peter TI Centrality-Based Capital Allocations SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article; Proceedings Paper CT Policies for Macroeconomic and Financial Stability CY SEP 26-27, 2014 CL Fed Reserve Bank Philadelphia, Philadelphia, PA HO Fed Reserve Bank Philadelphia ID FINANCIAL NETWORKS; SYSTEMIC RISK; STABILITY AB We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. Keeping total capital in the system constant, the reallocation rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses. Using the detailed German credit register for estimation, we find that capital rules based on eigenvectors dominate any other centrality measure, saving about 15 percent in expected bankruptcy costs. C1 [Alter, Adrian] Int Monetary Fund, Washington, DC 20431 USA. [Craig, Ben R.; Raupach, Peter] Deutsch Bundesbank, D-60431 Frankfurt, Germany. [Craig, Ben R.] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Alter, A (reprint author), Int Monetary Fund, 700 19th St NW, Washington, DC 20431 USA. EM aalter@imf.org; ben.r.craig@clev.frb.org; peter.raupach@bundesbank.de NR 39 TC 2 Z9 2 U1 0 U2 5 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD JUN PY 2015 VL 11 IS 3 SI SI BP 329 EP 377 PG 49 WC Business, Finance SC Business & Economics GA CR4KN UT WOS:000361301000014 ER PT J AU Eraker, B Chiu, CW Foerster, AT Kim, TB Seoane, HD AF Eraker, Bjorn Chiu, Ching Wai (Jeremy) Foerster, Andrew T. Kim, Tae Bong Seoane, Hernan D. TI Bayesian Mixed Frequency VARs SO JOURNAL OF FINANCIAL ECONOMETRICS LA English DT Article DE bayesian Estimation; Gibbs sampling; mixed frequency data; VAR ID OIL PRICE SHOCKS; MONETARY-POLICY; TIME-SERIES; STOCHASTIC VOLATILITY; MIDAS REGRESSIONS; MODELS; IMPACT; GDP; IDENTIFICATION; UNCERTAINTY AB Economic data are collected at various frequencies but econometric estimation typically uses the coarsest frequency. This article develops a Gibbs sampler for estimating vector autoregression (VAR) models with mixed and irregularly sampled data. The Gibbs sampler allows efficient likelihood inference and uses simple conjugate posteriors even in high-dimensional parameter spaces, avoiding a non-Gaussian likelihood surface even when the Kalman filter applies. Two examples studying the relationship between financial data and the real economy illustrate the methodology and demonstrates efficiency gains from the mixed frequency estimator. C1 [Eraker, Bjorn] Univ Wisconsin, Sch Business, Madison, WI 53706 USA. [Chiu, Ching Wai (Jeremy)] Bank England, London, England. [Foerster, Andrew T.] Fed Reserve Bank Kansas City, Kansas City, KS USA. [Kim, Tae Bong] Ajou Univ, Suwon 441749, South Korea. [Seoane, Hernan D.] Univ Carlos III Madrid, E-28903 Getafe, Spain. RP Eraker, B (reprint author), Univ Wisconsin, Sch Business, 5374A Grainger Hall, Madison, WI 53706 USA. EM beraker@bus.wisc.edu FU Spanish Ministry of Science and Innovation [ECO2011-24200] FX H.D.S. acknowledges financial support from project ECO2011-24200 of the Spanish Ministry of Science and Innovation. NR 41 TC 4 Z9 4 U1 2 U2 4 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1479-8409 EI 1479-8417 J9 J FINANC ECONOMET JI J. Financ. Econom. PD SUM PY 2015 VL 13 IS 3 BP 698 EP 721 DI 10.1093/jjfinec/nbu027 PG 24 WC Business, Finance; Economics SC Business & Economics GA CQ8KD UT WOS:000360855600005 ER PT J AU Gavin, WT Keen, BD Richter, AW Throckmorton, NA AF Gavin, William T. Keen, Benjamin D. Richter, Alexander W. Throckmorton, Nathaniel A. TI The zero lower bound, the dual mandate, and unconventional dynamics SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Monetary policy; Zero lower bound; Nonlinear solution method; Capital ID OPTIMAL MONETARY-POLICY; NOMINAL INTEREST-RATES; FISCAL-POLICY; INFLATION; PRICES; OUTPUT AB This paper examines monetary policy when it is constrained by the zero lower bound (ZLB) on the nominal interest rate. Our analysis uses a nonlinear New Keynesian model with technology and discount factor shocks. Specifically, we investigate why technology shocks may have unconventional effects at the ZLB, what factors affect the likelihood of hitting the ZLB, and the implications of alternative monetary policy rules. We initially focus on a New Keynesian model without capital (Model 1) and then study that model with capital (Model 2). The advantage of including capital is that it introduces another mechanism for intertemporal substitution that strengthens the expectational effects of the ZLB. Four main findings emerge: (1) In Model 1, the choice of output target in the Taylor rule may reverse the effects of technology shocks when the ZLB binds; (2) When the central bank targets steady-state output in Model 2, a positive technology shock at the ZLB leads to more pronounced unconventional dynamics than in Model 1; (3) The presence of capital changes the qualitative effects of demand shocks and alters the impact of a monetary policy rule that emphasizes output stability; and (4) In Model 1, the constrained linear solution is a decent approximation of the nonlinear solution, but meaningful differences exist between the solutions in Model 2. (c) 2015 Elsevier B.V. All rights reserved. C1 [Gavin, William T.] Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. [Keen, Benjamin D.] Univ Oklahoma, Dept Econ, Norman, OK 73019 USA. [Richter, Alexander W.] Auburn Univ, Dept Econ, Haley Ctr 0332, Auburn, AL 36849 USA. [Throckmorton, Nathaniel A.] Coll William & Mary, Dept Econ, Williamsburg, VA 23185 USA. RP Richter, AW (reprint author), Auburn Univ, Dept Econ, Haley Ctr 0332, Auburn, AL 36849 USA. EM wmgavin@gmail.com; ben.keen@ou.edu; arichter@auburn.edu; nathrockmorton@wm.edu NR 42 TC 1 Z9 1 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUN PY 2015 VL 55 BP 14 EP 38 DI 10.1016/j.jedc.2015.03.007 PG 25 WC Economics SC Business & Economics GA CL2BW UT WOS:000356749600002 ER PT J AU Stella, A AF Stella, Andrea TI Firm dynamics and the origins of aggregate fluctuations SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Business cycles; Firm dynamics; Granular residual; Dynamic factor models ID MODELS AB What drives aggregate fluctuations? I test the granular hypothesis according to which the largest firms in the economy drive aggregate dynamics by estimating a dynamic factor model with firm-level data. The growth rate of a firm's sales is decomposed in an unobserved common macroeconomic component and in a residual that I interpret as an idiosyncratic firm-level component. The empirical results show that, after properly controlling for aggregate shocks, idiosyncratic shocks have little role in explaining U.S. business cycle fluctuations. Published by Elsevier B.V. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Stella, A (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM andrea.stella@frb.gov NR 10 TC 1 Z9 1 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUN PY 2015 VL 55 BP 71 EP 88 DI 10.1016/j.jedc.2015.03.009 PG 18 WC Economics SC Business & Economics GA CL2BW UT WOS:000356749600005 ER PT J AU Rua, G AF Rua, Gisela TI Global Markets Transformed: 1870-1945. SO JOURNAL OF ECONOMIC HISTORY LA English DT Book Review C1 [Rua, Gisela] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Rua, G (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 1 TC 0 Z9 0 U1 1 U2 1 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0022-0507 EI 1471-6372 J9 J ECON HIST JI J. Econ. Hist. PD JUN PY 2015 VL 75 IS 2 BP 615 EP 617 DI 10.1017/S0022050715000911 PG 4 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA CK3DU UT WOS:000356097600026 ER PT J AU Valenzuela, M Zer, I Fryzlewicz, P Rheinlander, T AF Valenzuela, Marcela Zer, Ilknur Fryzlewicz, Piotr Rheinlaender, Thorsten TI Relative liquidity and future volatility SO JOURNAL OF FINANCIAL MARKETS LA English DT Article DE Order-driven markets; Limit order book distribution; Volatility predictability; Liquidity ID HIGH-FREQUENCY DATA; LIMIT ORDER MARKET; MICROSTRUCTURE NOISE; EXCHANGE; PRICES; VOLUME AB The main contribution of this paper is to identify the strong predictive power of the relative, rather than the absolute, volume of orders over volatility. To this end, we propose a new measure, relative liquidity, which accounts for how quoted depth is distributed in a limit order book and captures the level of consensus on a security's trading price. Higher liquidity provision farther away from the best quotes, relative to the rest of the book, is associated with a disagreement on the current price and followed by high volatility. The relationship is robust to the inclusion of several alternative measures. Published by Elsevier B.V. C1 [Valenzuela, Marcela] Univ Chile, Dept Ind Engn, Santiago, Chile. [Zer, Ilknur] Fed Reserve Board, Washington, DC 20551 USA. [Fryzlewicz, Piotr] London Sch Econ, Dept Stat, London WC2A 2AE, England. [Rheinlaender, Thorsten] Vienna Univ Technol, Res Grp Financial & Actuarial Math FAM, A-1040 Vienna, Austria. RP Zer, I (reprint author), Fed Reserve Board, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM mvalenzuela@dii.uchile.cl; ilknur.zerboudet@frb.gov; p.fryzlewicz@lse.ac.uk; rheinlan@fam.tuwien.ac.at RI Valenzuela, Marcela/J-5047-2016 FU Fondecyt [11140541]; Instituto Milenio ICM [IS130002] FX We sincerely thank Vicente Cunat, Jon Danielsson. Dobrislav Dobrev, Christian Julliard, Richard Payne, and an anonymous referee for their valuable comments. We would also like to thank to Coskun Gunduz, Recep Bildik, and Huseyin Eskici for providing us data and the support for understanding the market mechanisms. Valenzuela acknowledges the support of Fondecyt Project no. 11140541 and Instituto Milenio ICM IS130002. NR 32 TC 0 Z9 0 U1 6 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1386-4181 EI 1878-576X J9 J FINANC MARK JI J. Financ. Mark. PD JUN PY 2015 VL 24 BP 25 EP 48 DI 10.1016/j.finmar.2015.03.001 PG 24 WC Business, Finance SC Business & Economics GA CL0NL UT WOS:000356639300002 ER PT J AU Balke, NS Ma, J Wohar, ME AF Balke, Nathan S. Ma, Jun Wohar, Mark E. TI A BAYESIAN ANALYSIS OF WEAK IDENTIFICATION IN STOCK PRICE DECOMPOSITIONS SO MACROECONOMIC DYNAMICS LA English DT Article DE Weak Identification; Bayesian Analysis; Stock Price Decomposition; State-Space Model ID LONG-RUN RISK; VARIANCE DECOMPOSITION; SPURIOUS INFERENCE; RETURNS; MOVEMENTS; MODELS; PREDICTABILITY; DIVIDENDS; EARNINGS AB This paper employs the state-space model to reexamine the fundamental issue in finance of whether it is the expected returns or the expected dividends growth that is primarily responsible for stock price variations. We use Bayesian methods to show that there is a substantial uncertainty about the contributions of expected returns and expected dividends to fluctuations in the price-dividend ratio when the aggregate returns and dividends data are used. The substantial uncertainty of the contributions results from the model being weakly identified. Our finding challenges the notion long held in the existing literature that it is the expected returns that contribute most to price-dividend variations. C1 [Balke, Nathan S.] So Methodist Univ, Dallas, TX 75275 USA. [Balke, Nathan S.] Fed Reserve Bank Dallas, Dallas, TX USA. [Ma, Jun] Univ Alabama, Tuscaloosa, AL 35487 USA. [Wohar, Mark E.] Univ Nebraska Omaha, Omaha, NE USA. RP Ma, J (reprint author), Univ Alabama, Culverhouse Coll Commerce & Business Adm, Dept Econ Finance & Legal Studies, Tuscaloosa, AL 35487 USA. EM jma@cba.ua.edu NR 31 TC 0 Z9 0 U1 2 U2 2 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 EI 1469-8056 J9 MACROECON DYN JI Macroecon. Dyn. PD JUN PY 2015 VL 19 IS 4 SI SI BP 728 EP 752 DI 10.1017/S1365100513000588 PG 25 WC Economics SC Business & Economics GA CK9BQ UT WOS:000356535500002 ER PT J AU Nason, JM Tallman, EW AF Nason, James M. Tallman, Ellis W. TI BUSINESS CYCLES AND FINANCIAL CRISES: THE ROLES OF CREDIT SUPPLY AND DEMAND SHOCKS SO MACROECONOMIC DYNAMICS LA English DT Article DE Inside Money; Credit Shock; Bayesian Vector Autoregression; Markov Switching; Stochastic Volatility ID STRUCTURAL VECTOR AUTOREGRESSIONS; MONETARY-POLICY; GREAT-DEPRESSION; MODELS; PANICS; BOOMS; TIME AB This paper explores the hypothesis that the sources of economic and financial crises differ from those of noncrisis business cycle fluctuations. We employ Markov-switching Bayesian vector autoregressions (MS-BVARs) to gather evidence about the hypothesis on a long annual U.S. sample running from 1890 to 2010. The sample covers several episodes useful for understanding U.S. economic and financial history, which generate variation in the data that aids in identifying credit supply and demand shocks. We identify these shocks within MS-BVARs by tying credit supply and demand movements to inside money and its intertemporal price. The model space is limited to stochastic volatility (SV) in the errors of the MS-BVARs. Of the 15 MS-BVARs estimated, the data favor a MS-BVAR in which economic and financial crises and noncrisis business cycle regimes recur throughout the long annual sample. The best-fitting MS-BVAR also isolates SV regimes in which shocks to inside money dominate aggregate fluctuations. C1 [Nason, James M.] N Carolina State Univ, Raleigh, NC 27695 USA. [Nason, James M.] Ctr Appl Macroecon Anal, Montreal, PQ, Canada. [Tallman, Ellis W.] Oberlin Coll, Oberlin, OH 44074 USA. [Tallman, Ellis W.] Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Nason, JM (reprint author), N Carolina State Univ, Dept Econ, Campus Box 8110, Raleigh, NC 27695 USA. EM jmnason@ncsu.edu NR 61 TC 3 Z9 3 U1 1 U2 4 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 EI 1469-8056 J9 MACROECON DYN JI Macroecon. Dyn. PD JUN PY 2015 VL 19 IS 4 SI SI BP 836 EP 882 DI 10.1017/S1365100513000631 PG 47 WC Economics SC Business & Economics GA CK9BQ UT WOS:000356535500007 ER PT J AU Clark, TE Ravazzolo, F AF Clark, Todd E. Ravazzolo, Francesco TI Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; BAYESIAN-INFERENCE; STRUCTURAL-CHANGE; REGIME SWITCHES; MONETARY-POLICY; UNITED-KINGDOM; MODELS; INFLATION; LIKELIHOOD; TAILS AB This paper compares alternative models of time-varying volatility on the basis of the accuracy of real-time point and density forecasts of key macroeconomic time series for the USA. We consider Bayesian autoregressive and vector autoregressive models that incorporate some form of time-varying volatility, precisely random walk stochastic volatility, stochastic volatility following a stationary AR process, stochastic volatility coupled with fat tails, GARCH and mixture of innovation models. The results show that the AR and VAR specifications with conventional stochastic volatility dominate other volatility specifications, in terms of point forecasting to some degree and density forecasting to a greater degree. Copyright (c) 2014 John Wiley & Sons, Ltd. C1 [Clark, Todd E.] Fed Reserve Bank Cleveland, Econ Res Dept, Cleveland, OH 44101 USA. [Ravazzolo, Francesco] Norges Bank, Res Dept, Oslo, Norway. [Ravazzolo, Francesco] BI Norwegian Business Sch, Oslo, Norway. RP Clark, TE (reprint author), Fed Reserve Bank Cleveland, Econ Res Dept, POB 6387, Cleveland, OH 44101 USA. EM todd.clark@researchfed.org RI Ravazzolo, Francesco/G-1118-2016 OI Ravazzolo, Francesco/0000-0003-0645-1788 NR 58 TC 13 Z9 13 U1 2 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 EI 1099-1255 J9 J APPL ECONOMET JI J. Appl. Econom. PD JUN-JUL PY 2015 VL 30 IS 4 BP 551 EP 575 DI 10.1002/jae.2379 PG 25 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA CK1VK UT WOS:000355995700002 ER PT J AU Juvenal, L Petrella, I AF Juvenal, Luciana Petrella, Ivan TI Speculation in the Oil Market SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID SUPPLY SHOCKS; EXHAUSTIBLE RESOURCES; MONETARY-POLICY; FUTURES PRICES; FACTOR MODELS; IDENTIFICATION; DISTURBANCES; INVESTMENT; DYNAMICS; ECONOMY AB The run-up in oil prices since 2004 coincided with growing investment in commodity markets and increased price co-movement among different commodities. We assess whether speculation in the oil market played a role in driving this salient empirical pattern. We identify oil shocks from a large dataset using a dynamic factor model. This method is motivated by the fact that a small-scale vector autoregression is not informationally sufficient to identify the shocks. The main results are as follows. (i) While global demand shocks account for the largest share of oil price fluctuations, speculative shocks are the second most important driver. (ii) The increase in oil prices over the last decade is mainly driven by the strength of global demand. However, speculation played a significant role in the oil price increase between 2004 and 2008 and its subsequent collapse. (iii) The co-movement between oil prices and the prices of other commodities is mainly explained by global demand shocks. Our results support the view that the recent oil price increase is mainly driven by the strength of global demand but that the financialization process of commodity markets also played a role. Copyright (c) 2014 John Wiley & Sons, Ltd. C1 [Juvenal, Luciana] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63102 USA. [Petrella, Ivan] Univ London, Dept Econ Math & Stat, London, England. [Petrella, Ivan] Univ London, Birkbeck Coll, Birkbeck Ctr Appl Macroecon, London, England. [Petrella, Ivan] Ctr Econ Policy Res, London SW1Y 6LA, England. RP Juvenal, L (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO 63102 USA. EM luciana.juvenal@gmail.com NR 62 TC 9 Z9 9 U1 1 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 EI 1099-1255 J9 J APPL ECONOMET JI J. Appl. Econom. PD JUN-JUL PY 2015 VL 30 IS 4 BP 621 EP 649 DI 10.1002/jae.2388 PG 29 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA CK1VK UT WOS:000355995700005 ER PT J AU Tepper, A Borowiecki, KJ AF Tepper, Alexander Borowiecki, Karol Jan TI Accounting for breakout in Britain: The industrial revolution through a Malthusian lens SO JOURNAL OF MACROECONOMICS LA English DT Article DE Industrial Revolution; Malthusian dynamics; Maximum sustainable population growth; Development; Demographics ID DEMOGRAPHIC-TRANSITION; CAPITAL ACCUMULATION; TECHNOLOGICAL-CHANGE; POPULATION-GROWTH; ENGLAND; PRODUCTIVITY; INSTITUTIONS; ECONOMY; TABLES; TRADE AB This paper introduces a simple dynamic model to examine the breakout from a Malthusian economy to a modern growth regime. It identifies several factors that determine the fastest rate at which the population can grow without engendering declining living standards. We then apply the framework to Britain and find a dramatic increase in sustainable population growth at the time of the Industrial Revolution, well before the beginning of modern levels of income growth. The main contributions to the British breakout were technological improvements and structural change away from agricultural production, while coal, capital, and trade played a minor role. In addition to solidifying the link between the Industrial Revolution and rising living standards, this research reconciles the gradualist and limited Crafts-Harley view of the Industrial Revolution with a dramatic and rapid change in Britain's macroeconomic character. (C) 2015 Elsevier Inc. All rights reserved. C1 [Tepper, Alexander] Fed Reserve Bank New York, New York, NY USA. [Tepper, Alexander] Univ Oxford, Oxford OX1 2JD, England. [Borowiecki, Karol Jan] Univ Southern Denmark, Dept Econ & Business, Odense, Denmark. RP Borowiecki, KJ (reprint author), Univ Southern Denmark, Dept Econ & Business, Odense, Denmark. EM alexander.tepper@ny.frb.org; kjb@sam.sdu.dk NR 71 TC 0 Z9 0 U1 3 U2 13 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD JUN PY 2015 VL 44 BP 219 EP 233 DI 10.1016/j.jmacro.2015.01.006 PG 15 WC Economics SC Business & Economics GA CK0HR UT WOS:000355886800016 ER PT J AU Sengupta, R Bhardwaj, G AF Sengupta, Rajdeep Bhardwaj, Geetesh TI Credit Scoring and Loan Default SO INTERNATIONAL REVIEW OF FINANCE LA English DT Article ID RISK AB A metric of credit score performance is developed to study the usage and performance of credit scoring in the loan origination process. We examine the performance of origination FICO scores as measures of ex ante borrower creditworthiness using loan-level data on ex post performance of subprime mortgages. Parametric and nonparametric estimates of credit score performance reveal different trends, especially on originations with low credit scores. The data suggest a trend of increased emphasis on higher credit scores accompanying a trend of increased riskiness in other origination attributes. Over time, this increased emphasis on credit scoring coincided with deterioration in FICO performance largely because of the fact that higher credit score originations of later cohorts were more likely to have riskier attributes. However, controlling for other attributes on originations and changes in economic conditions, we find that, as measures of borrower ranking, FICO performance on subprime loans over the years remains fairly stable. C1 [Sengupta, Rajdeep] Fed Reserve Bank Kansas City, Banking Res, Kansas City, MO 64198 USA. [Bhardwaj, Geetesh] SummerHaven Investment Management, Res, Stamford, CT USA. RP Sengupta, R (reprint author), Fed Reserve Bank Kansas City, Banking Res, Kansas City, MO 64198 USA. EM rajdeep.sengupta@gmail.com NR 25 TC 1 Z9 1 U1 2 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1369-412X EI 1468-2443 J9 INT REV FINANC JI Int. Rev. Financ. PD JUN PY 2015 VL 15 IS 2 BP 139 EP 167 DI 10.1111/irfi.12048 PG 29 WC Business, Finance SC Business & Economics GA CJ7RJ UT WOS:000355695900001 ER PT J AU Kelly, B Pruitt, S AF Kelly, Bryan Pruitt, Seth TI The three-pass regression filter: A new approach to forecasting using many predictors SO JOURNAL OF ECONOMETRICS LA English DT Article DE Forecast; Factor model; Principal components; Constrained least squares; Partial least squares ID DYNAMIC-FACTOR MODEL; EXPECTED STOCK RETURNS; PRINCIPAL COMPONENTS; DIVIDEND YIELDS; LARGE NUMBER; INFERENCE; RISK; ASYMPTOTICS; SHRINKAGE; INFLATION AB We forecast a single time series using many predictor variables with a new estimator called the three-pass regression filter (3PRF). It is calculated in closed form and conveniently represented as a set of ordinary least squares regressions. 3PRF forecasts are consistent for the infeasible best forecast when both the time dimension and cross section dimension become large. This requires specifying only the number of relevant factors driving the forecast target, regardless of the total number of common factors driving the cross section of predictors. The 3PRF is a constrained least squares estimator and reduces to partial least squares as a special case. Simulation evidence confirms the 3PRF's forecasting performance relative to alternatives. We explore two empirical applications: Forecasting macroeconomic aggregates with a large panel of economic indices, and forecasting stock market returns with price-dividend ratios of stock portfolios. (C) 2015 Elsevier B.V. All rights reserved. C1 [Kelly, Bryan] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. [Pruitt, Seth] Board Governors Fed Reserve Syst, Washington, DC USA. [Pruitt, Seth] Arizona State Univ, WP Carey Sch Business, Tempe, AZ USA. RP Kelly, B (reprint author), Univ Chicago, Booth Sch Business, 5807 S Woodlawn Ave, Chicago, IL 60637 USA. EM bryan.kelly@chicagobooth.edu; seth.pruitt@asu.edu NR 43 TC 6 Z9 6 U1 1 U2 8 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 EI 1872-6895 J9 J ECONOMETRICS JI J. Econom. PD JUN PY 2015 VL 186 IS 2 BP 294 EP 316 DI 10.1016/j.jeconom.2015.02.011 PG 23 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA CJ3AT UT WOS:000355356500003 ER PT J AU Saving, JL Viard, AD AF Saving, Jason L. Viard, Alan D. TI ARE INCOME TAXES DESTINED TO RISE? FISCAL IMBALANCE AND FUTURE TAX POLICY IN THE UNITED STATES SO NATIONAL TAX JOURNAL LA English DT Article DE fiscal imbalance; tax reform; consumption taxation ID OPTIMAL TAXATION AB We present a model of optimizing government behavior in which a need for increased revenue does not lead to increased income taxes, but instead leads to the introduction of a new revenue source, such as a VAT, accompanied by a reduction in income taxes. We argue that this is a plausible outcome for the United States in view of international experience and recent fiscal reform proposals, and that the prospect of such a tax reform may have important implications for individual investment decisions. C1 [Saving, Jason L.] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Viard, Alan D.] Amer Enterprise Inst Publ Policy Res, Washington, DC USA. RP Saving, JL (reprint author), Fed Reserve Bank Dallas, Dallas, TX 75201 USA. EM Jason.saving@dal.frb.org; aviard@aei.org NR 29 TC 0 Z9 0 U1 2 U2 2 PU NATL TAX ASSOC PI WASHINGTON PA 725 15TH ST, N W #600, WASHINGTON, DC 20005-2109 USA SN 0028-0283 EI 1944-7477 J9 NATL TAX J JI Natl. Tax J. PD JUN PY 2015 VL 68 IS 2 BP 235 EP 250 PG 16 WC Business, Finance; Economics SC Business & Economics GA CJ8VY UT WOS:000355782800001 ER PT J AU Larrimore, J Burkhauser, RV Armour, P AF Larrimore, Jeff Burkhauser, Richard V. Armour, Philip TI ACCOUNTING FOR INCOME CHANGES OVER THE GREAT RECESSION RELATIVE TO PREVIOUS RECESSIONS: THE IMPACT OF TAXES AND TRANSFERS SO NATIONAL TAX JOURNAL LA English DT Article DE income decomposition; recessions; tax credits; transfer income ID UNITED-STATES; BENEFIT REFORMS; INEQUALITY; EARNINGS; INSURANCE; BEHAVIOR; POVERTY; TRENDS; RATES; CPS AB Using decomposition analysis together with March CPS data, we consider the relative importance of factors accounting for changes in post-tax, post-transfer income during each of the last four recessions. Unlike the double dip recession of the 1980s, employment drops rather than falling wage earnings drove income declines during the Great Recession. Furthermore, taxes and transfers played a much greater role in offsetting market income losses a result largely missed in analyses not accounting for taxes and transfers. This is particularly so among the bottom quintile where lower taxes and increased transfers offset more than one-half of market income declines. C1 [Larrimore, Jeff] Fed Reserve Board, Div Consumer & Community Affairs, Washington, DC 20551 USA. [Burkhauser, Richard V.] Cornell Univ, Dept Policy Anal & Management, Ithaca, NY USA. [Burkhauser, Richard V.] Cornell Univ, Dept Econ, Ithaca, NY USA. [Burkhauser, Richard V.] Univ Melbourne, Melbourne Inst Appl Econ & Social Res, Melbourne, Vic, Australia. [Armour, Philip] RAND Corp, Santa Monica, CA USA. RP Larrimore, J (reprint author), Fed Reserve Board, Div Consumer & Community Affairs, Washington, DC 20551 USA. EM jeff.larrimore@frb.gov; rvb1@cornell.edu; parmour@rand.org FU Russell Sage Foundation FX Support for this research from the Russell Sage Foundation is cordially acknowledged. We also thank Marianne Bitler, Gary Burtless, Sheldon Danziger, John Logan, and Jeff Thompson for their helpful comments and suggestions on earlier versions of this paper. All opinions are those of the authors and do not represent the concurrence of the Federal Reserve Board, the Federal Reserve Banks, or their staff. NR 67 TC 2 Z9 2 U1 1 U2 6 PU NATL TAX ASSOC PI WASHINGTON PA 725 15TH ST, N W #600, WASHINGTON, DC 20005-2109 USA SN 0028-0283 EI 1944-7477 J9 NATL TAX J JI Natl. Tax J. PD JUN PY 2015 VL 68 IS 2 BP 281 EP 318 PG 38 WC Business, Finance; Economics SC Business & Economics GA CJ8VY UT WOS:000355782800003 ER PT J AU Nosal, E Wong, YY Wright, R AF Nosal, Ed Wong, Yuet-Yee Wright, Randall TI More on Middlemen: Equilibrium Entry and Efficiency in Intermediated Markets SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article; Proceedings Paper CT Conference on Financial Frictions CY OCT 18-19, 2013 CL Univ Bern, Study Ctr Gerzensee, Bern, SWITZERLAND SP Swiss Natl Bank HO Univ Bern, Study Ctr Gerzensee DE middlemen; intermediation; search; bargaining; entry ID SEARCH; MONEY; FRICTIONS; PRICES; MODEL AB This paper generalizes Rubinstein and Wolinsky's (1987) model of middlemen (intermediation) by incorporating production and search costs, plus more general matching and bargaining. This allows us to study many new issues, including entry, efficiency, and dynamics. In the benchmark model, equilibrium exists uniquely and involves production and intermediation for some parameters but not others. Sometimes intermediation is essential: the market operates if and only if middlemen are active. If bargaining powers are set correctly equilibrium is efficient; if not there can be too much or too little economic activity. This is novel, compared to the original Rubinstein-Wolinsky model, where equilibrium is always efficient. C1 [Nosal, Ed; Wright, Randall] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Wong, Yuet-Yee] Binghamton Univ, Binghamton, NY USA. [Wright, Randall] Univ Wisconsin Madison, Madison, WI USA. [Wright, Randall] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Wright, Randall] NBER, Cambridge, MA 02138 USA. RP Nosal, E (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM ed.nosal@chi.frb.org; yywong01@gmail.com; rwright@bus.wisc.edu NR 30 TC 1 Z9 1 U1 3 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2015 VL 47 SU 2 BP 7 EP 37 DI 10.1111/jmcb.12213 PG 31 WC Business, Finance; Economics SC Business & Economics GA CJ1CM UT WOS:000355219500003 ER PT J AU Lester, B Rocheteau, G Weill, PO AF Lester, Benjamin Rocheteau, Guillaume Weill, Pierre-Olivier TI Competing for Order Flow in OTC Markets SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article; Proceedings Paper CT Conference on Financial Frictions CY OCT 18-19, 2013 CL Univ Bern, Study Ctr Gerzensee, Bern, SWITZERLAND SP Swiss Natl Bank HO Univ Bern, Study Ctr Gerzensee DE OTC markets; competitive search; transaction costs ID THE-COUNTER MARKETS; SEARCH EQUILIBRIUM; ASSET MARKETS; LIQUIDITY; PRICES; COSTS; UNEMPLOYMENT; EFFICIENCY; FRICTIONS; MIDDLEMEN AB We develop a model of a two-sided asset market in which trades are intermediated by dealers and are bilateral. Dealers compete to attract order flow by posting the terms at which they execute tradeswhich can include prices, quantities, and execution speedand investors direct their orders toward dealers who offer the most attractive terms. We characterize the equilibrium in a general setting, and we illustrate theoretically and numerically how the model can account for several important trading patterns in over-the-counter markets, which do not emerge from existing models. C1 [Lester, Benjamin] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Rocheteau, Guillaume] Univ Calif Irvine, Irvine, CA USA. [Rocheteau, Guillaume] Univ Paris 02, Lemma, F-75231 Paris 05, France. [Weill, Pierre-Olivier] Univ Calif Los Angeles, Los Angeles, CA USA. [Weill, Pierre-Olivier] NBER, Cambridge, MA 02138 USA. [Weill, Pierre-Olivier] CEPR, London, England. RP Lester, B (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. EM Ben-jamin.Lester@phil.frb.org; grochete@uci.edu; poweill@econ.ucla.edu NR 59 TC 1 Z9 1 U1 1 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2015 VL 47 SU 2 BP 77 EP 126 DI 10.1111/jmcb.12215 PG 50 WC Business, Finance; Economics SC Business & Economics GA CJ1CM UT WOS:000355219500005 ER PT J AU Afonso, G Lagos, R AF Afonso, Gara Lagos, Ricardo TI The Over-the-Counter Theory of the Fed Funds Market: A Primer SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article; Proceedings Paper CT Conference on Financial Frictions CY OCT 18-19, 2013 CL Univ Bern, Study Ctr Gerzensee, Bern, SWITZERLAND SP Swiss Natl Bank HO Univ Bern, Study Ctr Gerzensee DE federal funds market; search; bargaining; over-the-counter market ID FEDERAL-FUNDS; MODEL AB We present a dynamic over-the-counter model of the fed funds market and use it to study the determination of the fed funds rate, the volume of loans traded, and the intraday evolution of the distribution of reserve balances across banks. We also investigate the implications of changes in the market structure, as well as the effects of central bank policy instruments such as open market operations, the discount window lending rate, and the interest rate on bank reserves. C1 [Afonso, Gara] Fed Reserve Bank New York, New York, NY 10045 USA. [Lagos, Ricardo] NYU, New York, NY 10003 USA. RP Afonso, G (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM Gara.afonso@ny.frb.org; Ricardo.lagos@nyu.edu FU C.V. Starr Center for Applied Economics at NYU; Cowles Foundation for Research in Economics at Yale University FX The views expressed in this paper are those of the authors and are not necessarily reflective of views at the Federal Reserve Bank of New York or the Federal Reserve System. Lagos thanks the support from the C.V. Starr Center for Applied Economics at NYU, and the Cowles Foundation for Research in Economics at Yale University. NR 23 TC 2 Z9 2 U1 1 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2015 VL 47 SU 2 BP 127 EP 154 DI 10.1111/jmcb.12216 PG 28 WC Business, Finance; Economics SC Business & Economics GA CJ1CM UT WOS:000355219500006 ER PT J AU Williamson, SD AF Williamson, Stephen D. TI Keynesian Inefficiency and Optimal Policy: A New Monetarist Approach SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article; Proceedings Paper CT Conference on Financial Frictions CY OCT 18-19, 2013 CL Univ Bern, Study Ctr Gerzensee, Bern, SWITZERLAND SP Swiss Natl Bank HO Univ Bern, Study Ctr Gerzensee DE Keynesian; New Monetarist ID SEARCH EQUILIBRIUM; AGGREGATE DEMAND; BUSINESS CYCLES; ANIMAL SPIRITS; MODEL; UNEMPLOYMENT; RULE AB A simple model of monetary/labor search is constructed to study Keynesian indeterminacy and optimal policy. In the model, economic agents have trouble splitting the surplus from exchange appropriately, and we consider monetary and fiscal policies that correct this Keynesian inefficiency. A Taylor rule neither implies determinacy, nor does it support an efficient outcome. An optimal policy yields an efficient and determinate allocation of resources, but equilibrium policy actions, wages, and prices are indeterminate at the optimum. C1 [Williamson, Stephen D.] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. [Williamson, Stephen D.] Washington Univ, St Louis, MO 63130 USA. RP Williamson, SD (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. EM swilliamecon@gmail.com RI Williamson, Stephen/I-5759-2016 OI Williamson, Stephen/0000-0001-8490-1719 NR 22 TC 0 Z9 0 U1 1 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2015 VL 47 SU 2 BP 197 EP 222 DI 10.1111/jmcb.12218 PG 26 WC Business, Finance; Economics SC Business & Economics GA CJ1CM UT WOS:000355219500008 ER PT J AU Berentsen, A Huber, S Marchesiani, A AF Berentsen, Aleksander Huber, Samuel Marchesiani, Alessandro TI Financial Innovations, Money Demand, and the Welfare Cost of Inflation SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article; Proceedings Paper CT Conference on Financial Frictions CY OCT 18-19, 2013 CL Univ Bern, Study Ctr Gerzensee, Bern, SWITZERLAND SP Swiss Natl Bank HO Univ Bern, Study Ctr Gerzensee DE money demand; credit; banking; financial innovation ID BUSINESS-CYCLE MODEL; CARD DEBT PUZZLE; TRANSACTIONS DEMAND; THEORETIC APPROACH; INTEREST-RATES; ASSET-MARKET; MONETARY; LIQUIDITY; CREDIT; CASH AB In the 1990s, the empirical relationship between money demand and interest rates began to fall apart. We analyze to what extent financial innovations can explain this breakdown. For this purpose, we construct a microfounded monetary model with a money market that provides insurance against liquidity shocks by offering short-term loans and by paying interest on money market deposits. We calibrate the model to U.S. data and find that the introduction of the sweep technology at the beginning of the 1990s, which improved access to money markets, can explain the behavior of money demand very well. Furthermore, by allowing a more efficient allocation of money, the welfare cost of inflation decreased substantially. C1 [Berentsen, Aleksander] Univ Basel, Dept Econ Theory, Econ, CH-4003 Basel, Switzerland. [Berentsen, Aleksander] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. [Huber, Samuel] Univ Basel, Dept Econ Theory, CH-4003 Basel, Switzerland. [Marchesiani, Alessandro] Univ Bath, Econ, Dept Econ, Bath BA2 7AY, Avon, England. RP Berentsen, A (reprint author), Univ Basel, Dept Econ Theory, Econ, CH-4003 Basel, Switzerland. EM aleksander.berentsen@unibas.ch; samuel_h@gmx.ch; marchesiani@gmail.com RI NIPE, Universidade Minho/F-9327-2010 NR 50 TC 1 Z9 1 U1 1 U2 12 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2015 VL 47 SU 2 BP 223 EP 261 DI 10.1111/jmcb.12219 PG 39 WC Business, Finance; Economics SC Business & Economics GA CJ1CM UT WOS:000355219500009 ER PT J AU Huang, KXD Liu, Z Zhu, JQ AF Huang, Kevin X. D. Liu, Zheng Zhu, John Qi TI Temptation and Self-Control: Some Evidence and Applications SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE temptation; self-control; limited participation; consumption; intertemporal decision ID CONSUMER EXPENDITURE SURVEY; ASSET PRICES; INTERTEMPORAL SUBSTITUTION; RISK-AVERSION; LIQUIDITY CONSTRAINTS; CONTROL PREFERENCES; CONSUMPTION GROWTH; TEMPORAL BEHAVIOR; EULER EQUATIONS; EQUITY PREMIUM AB This paper studies the empirical relevance of temptation and self-control using household-level data from the Consumer Expenditure Survey. We construct an infinite-horizon consumption-savings model that allows, but does not require, temptation and self-control in preferences. In the presence of temptation, a wealth-consumption ratio, in addition to consumption growth, becomes a determinant of the asset-pricing kernel, and the importance of this additional pricing factor depends on the strength of temptation. To identify the presence of temptation, we exploit an implication of the theory that a more tempted individual should be more likely to hold commitment assets such as individual retirement account (IRA) or 401(k) accounts. Our estimation provides empirical support for temptation preferences. Based on our estimates, we explore some quantitative implications of this class of preferences for capital accumulation in a neoclassical growth model and the welfare cost of the business cycle. C1 [Huang, Kevin X. D.] Vanderbilt Univ, Nashville, TN 37235 USA. [Liu, Zheng] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Zhu, John Qi] Fudan Univ, Sch Management, Shanghai, Peoples R China. RP Huang, KXD (reprint author), Vanderbilt Univ, Nashville, TN 37235 USA. EM Kevin.Huang@vanderbilt.edu; Zheng.Liu@sf.frb.org; qizhu@fudan.edu.cn FU Grey Fund at Vanderbilt University; National Science Foundation of China [71001069] FX We are grateful to Christopher Carroll, Narayana Kocherlakota, John Leahy, Wolfgang Pesendorfer, Luigi Pistaferri, and seminar participants at the Federal Reserve Bank of Atlanta, the Federal Reserve Bank of Minneapolis, Johns Hopkins University, Princeton University, the University of Minnesota for helpful comments. We also thank the Editor and two anonymous referees for insightful comments and suggestions. The views expressed herein are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of San Francisco or the Federal Reserve System. Huang is grateful to Grey Fund at Vanderbilt University for research support. Zhu acknowledges this research is supported in part by the National Science Foundation of China (#71001069). All errors and omissions are our own. NR 60 TC 0 Z9 0 U1 3 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2015 VL 47 IS 4 BP 581 EP 615 DI 10.1111/jmcb.12222 PG 35 WC Business, Finance; Economics SC Business & Economics GA CJ1XY UT WOS:000355279600003 ER PT J AU Armenter, R Koren, M AF Armenter, Roc Koren, Miklos TI ECONOMIES OF SCALE AND THE SIZE OF EXPORTERS SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article DE F12 ID INTERNATIONAL-TRADE; SUNK COSTS; FIRMS; PRICES; PRODUCTIVITY; DYNAMICS; VARIETY; GAINS; QUALITY; MODEL AB How important are economies of scale in exporting? We argue that firm size cannot be the main determinant of export status if a model is to be consistent with the observed number and size of exporters. Instead, we need a lot of variation independent of firm size to reconcile the model with the data. We show that the augmented model also has markedly different implications regarding the margin of adjustment in the event of a trade liberalization: most of the adjustment is through the intensive margin and productivity gains due to reallocation are halved. C1 [Armenter, Roc] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Koren, Miklos] Cent European Univ, Budapest, Hungary. RP Armenter, R (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. EM roc.armenter@phil.frb.org; korenm@ceu.hu NR 37 TC 1 Z9 1 U1 3 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1542-4766 EI 1542-4774 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD JUN PY 2015 VL 13 IS 3 BP 482 EP 511 DI 10.1111/jeea.12108 PG 30 WC Economics SC Business & Economics GA CJ1HU UT WOS:000355235500004 ER PT J AU Berrospide, JM Herrerias, R AF Berrospide, Jose M. Herrerias, Renata TI Finance companies in Mexico: Unexpected victims of the global liquidity crunch SO JOURNAL OF FINANCIAL STABILITY LA English DT Article ID CRISIS; MARKET AB We study the connection between the global liquidity crisis and the severe credit crunch experienced by finance companies (SOFOLES) in Mexico using firm-level data between 2001 and 2011. Our results provide supporting evidence that, as a result of the liquidity shock, SOFOLES faced severely restricted access to their main funding sources (commercial bank loans, loans from other organizations, and public debt markets). After controlling for the potential endogeneity of their funding, we find that the liquidity shock explains 64 percent of SOFOLES' credit contraction during the recent financial crisis (2008-2009). We use our estimates to disentangle supply from demand factors as determinants of the credit contraction. After controlling for the large decline in loan demand during the financial crisis, our findings suggest that supply factors (such as nonperforming loans and lower liquidity buffers) also played a significant role. Finally, we find that financial deregulation implemented in 2006 may have amplified the effects of the global liquidity shock. C1 [Berrospide, Jose M.] Fed Reserve Board, Washington, DC 20551 USA. [Herrerias, Renata] ITAM, Dept Business Adm, Mexico City 10700, DF, Mexico. RP Berrospide, JM (reprint author), Fed Reserve Board, Mailstop 153,20th & C St NW, Washington, DC 20551 USA. EM jose.m.berrospide@frb.gov; renata.herrerias@itam.mx FU Department of Finance at Boston University; Asociacion Mexicana de Cultura, A.C. FX We would like to thank Iftekhar Hasan the editor of the IFS and two anonymous reviewers for their very helpful comments and suggestions. We thank Eric Hardy and Luis Alberto Lopez for superb research assistance. We are grateful to Ralf Meisenzahl, Seung Lee, Seon Tae Kim, Manuel Campos, Eugene Towle, Rafael Schiozer, Skander Van den Heuvel, and Aurelio Vasquez for valuable comments. Renata Herrerias thanks the hospitality and support of the Department of Finance at Boston University, where part of this research was done and gratefully acknowledges the financial support provided by the Asociacion Mexicana de Cultura, A.C. All errors remain our own. The views expressed here are entirely ours and do not necessarily reflect those of the Board of Governors of the Federal Reserve System or its staff. NR 26 TC 0 Z9 0 U1 1 U2 2 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 1572-3089 EI 1878-0962 J9 J FINANC STABIL JI J. Financ. Stab. PD JUN PY 2015 VL 18 BP 33 EP 54 DI 10.1016/J.JFS.2015.02.004 PG 22 WC Business, Finance; Economics SC Business & Economics GA CI8EI UT WOS:000355001800003 ER PT J AU Mora, N AF Mora, Nada TI Creditor recovery: The macroeconomic dependence of industry equilibrium SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Recovery rate; Loss given default; Credit risk; Business cycle; Fire-sales ID ASSET FIRE SALES; FINANCIAL DISTRESS; EMPIRICAL-EVIDENCE; RATES; RISK; DEFAULT; DEBT; DETERMINANTS; BANKRUPTCY; STRESS AB This paper reconciles the state of the economy with industry conditions in driving asset liquidation values and, therefore, recovery rates on defaulted debt securities. Evidence to date downplays the economywide effect in favor of industry and debt characteristic explanations. This paper shows that macroeconomic effects are important but operate differentially at the industry level. Industries whose sales growth is more correlated with GDP growth recover less during recessions. And industries that are more dependent on external finance recover less when the stock market falls. These findings expose how economywide shocks are transmitted to industry downturns, providing a framework for the role of aggregate risk in recovery risk and for macroeconomic stress testing. (C) 2015 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Charlotte, NC 28202 USA. RP Mora, N (reprint author), Fed Reserve Bank Richmond, 530 East Trade St, Charlotte, NC 28202 USA. EM nada.mora@rich.frb.org NR 40 TC 2 Z9 2 U1 3 U2 7 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 1572-3089 EI 1878-0962 J9 J FINANC STABIL JI J. Financ. Stab. PD JUN PY 2015 VL 18 BP 172 EP 186 DI 10.1016/j.jfs.2015.04.004 PG 15 WC Business, Finance; Economics SC Business & Economics GA CI8EI UT WOS:000355001800012 ER PT J AU Wiswall, M Zafar, B AF Wiswall, Matthew Zafar, Basit TI How Do College Students Respond to Public Information about Earnings? SO JOURNAL OF HUMAN CAPITAL LA English DT Article ID SUBJECTIVE EXPECTATIONS; EDUCATION; RETURNS; GENDER; CHOICE; OVERCONFIDENCE; DECISIONS; REVISIONS; OUTCOMES; BELIEFS AB Expectations are important determinants of decisions made under uncertainty, and if individuals' expectations are biased, they can make suboptimal choices. This paper uses a unique "information" experiment in which we provide college students true information about the population distribution of earnings. We find that college students are substantially misinformed about population earnings and revise their earnings beliefs in a sensible way in response to the information. The specificity and informativeness of the signal matters for updating. There is, however, substantial heterogeneity in students' updating heuristics. We also find that students revise their intended major in response to the information. C1 [Wiswall, Matthew] Arizona State Univ, Tempe, AZ 85287 USA. [Zafar, Basit] Fed Reserve Bank New York, New York, NY USA. RP Wiswall, M (reprint author), Arizona State Univ, Tempe, AZ 85287 USA. NR 49 TC 5 Z9 5 U1 1 U2 8 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 1932-8575 EI 1932-8664 J9 J HUM CAPITAL JI J. Hum. Cap. PD SUM PY 2015 VL 9 IS 2 BP 117 EP 169 DI 10.1086/681542 PG 53 WC Economics SC Business & Economics GA CI7KK UT WOS:000354942000001 ER PT J AU Mazumder, B Seeskin, Z AF Mazumder, Bhashkar Seeskin, Zachary TI Breakfast Skipping, Extreme Commutes, and the Sex Composition at Birth SO BIODEMOGRAPHY AND SOCIAL BIOLOGY LA English DT Article ID NORMAL-PREGNANCY; CONSUMPTION; TRENDS AB A growing body of literature has shown that environmental exposures in the period around conception can affect the sex ratio at birth through selective attrition that favors the survival of female conceptuses. Glucose availability is considered a key indicator of the fetal environment, and its absence as a result of meal skipping may inhibit male survival. We hypothesize that breakfast skipping during pregnancy may lead to a reduction in the fraction of male births. Using time use data from the United States we show that women with commute times of 90minutes or longer are 20 percentage points more likely to skip breakfast. Using U.S. census data we show that women with commute times of 90minutes or longer are 1.2 percentage points less likely to have a male child under the age of 2. Under some assumptions, this implies that routinely skipping breakfast around the time of conception leads to a 6 percentage point reduction in the probability of a male child. Skipping breakfast during pregnancy may therefore constitute a poor environment for fetal health more generally. C1 [Mazumder, Bhashkar] Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. [Seeskin, Zachary] Northwestern Univ, Dept Stat, Evanston, IL 60208 USA. RP Mazumder, B (reprint author), Fed Reserve Bank Chicago, 230 S La Salle St, Chicago, IL 60604 USA. EM bhash.mazumder@gmail.com NR 27 TC 0 Z9 0 U1 1 U2 2 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1948-5565 EI 1948-5573 J9 BIODEMOGR SOC BIOL JI Biodemography Soc. Biol. PD MAY 4 PY 2015 VL 61 IS 2 SI SI BP 187 EP 208 DI 10.1080/19485565.2015.1007335 PG 22 WC Demography; Social Sciences, Biomedical; Sociology SC Demography; Biomedical Social Sciences; Sociology GA CP1OK UT WOS:000359644900004 PM 26266972 ER PT J AU Amromin, G McGranahan, L AF Amromin, Gene McGranahan, Leslie TI The Great Recession and Credit Trends across Income Groups SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 127th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2015 CL Boston, MA SP Amer Econ Assoc C1 [Amromin, Gene; McGranahan, Leslie] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Amromin, G (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM gamromin@frbchi.org; leslie.mcgranahan@chi.frb.org NR 6 TC 0 Z9 0 U1 1 U2 2 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2015 VL 105 IS 5 BP 147 EP 153 DI 10.1257/aer.p20151054 PG 7 WC Economics SC Business & Economics GA CM8EF UT WOS:000357929400026 ER PT J AU Farber, HS Rothstein, J Valletta, RG AF Farber, Henry S. Rothstein, Jesse Valletta, Robert G. TI The Effect of Extended Unemployment Insurance Benefits: Evidence from the 2012-2013 Phase-Out SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 127th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2015 CL Boston, MA SP Amer Econ Assoc ID JOB C1 [Farber, Henry S.] Princeton Univ, Ind Relat Sect, Firestone Lib, Princeton, NJ 08544 USA. [Rothstein, Jesse] Univ Calif Berkeley, Berkeley, CA 94720 USA. [Valletta, Robert G.] Fed Reserve Bank, San Francisco, CA 94105 USA. RP Farber, HS (reprint author), Princeton Univ, Ind Relat Sect, Firestone Lib, Princeton, NJ 08544 USA. EM farber@princeton.edu; rothstein@berkeley.edu; rob.valletta@sf.frb.org NR 6 TC 0 Z9 0 U1 2 U2 8 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2015 VL 105 IS 5 BP 171 EP 176 DI 10.1257/aer.p20151088 PG 6 WC Economics SC Business & Economics GA CM8EF UT WOS:000357929400030 ER PT J AU Bleakley, H Lin, J AF Bleakley, Hoyt Lin, Jeffrey TI History and the Sizes of Cities SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 127th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2015 CL Boston, MA SP Amer Econ Assoc C1 [Bleakley, Hoyt] Univ Michigan, Ann Arbor, MI 48109 USA. [Lin, Jeffrey] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Bleakley, H (reprint author), Univ Michigan, 611 Tappan, Ann Arbor, MI 48109 USA. EM hoytb@umich.edu; jeff.lin@phil.frb.org NR 30 TC 1 Z9 1 U1 0 U2 1 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2015 VL 105 IS 5 BP 558 EP 563 DI 10.1257/aer.p20151069 PG 6 WC Economics SC Business & Economics GA CM8EF UT WOS:000357929400103 ER PT J AU Orrenius, PM Zavodny, M AF Orrenius, Pia M. Zavodny, Madeline TI The Impact of Temporary Protected Status on Immigrants' Labor Market Outcomes SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 127th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2015 CL Boston, MA SP Amer Econ Assoc ID LEGAL STATUS; EARNINGS C1 [Orrenius, Pia M.] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Zavodny, Madeline] Agnes Scott Coll, Decatur, GA 30030 USA. RP Orrenius, PM (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM pia.orrenius@dal.frb.org; mzavodny@agnesscott.edu NR 7 TC 0 Z9 0 U1 5 U2 6 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2015 VL 105 IS 5 BP 576 EP 580 DI 10.1257/aer.p20151109 PG 5 WC Economics SC Business & Economics GA CM8EF UT WOS:000357929400106 ER PT J AU Hetzel, RL AF Hetzel, Robert L. TI Comment on Adalbert Winkler, The ECB as Lender of Last Resort: A Monetary Perspective SO JAHRBUCHER FUR NATIONALOKONOMIE UND STATISTIK LA English DT Editorial Material C1 Fed Reserve Bank Richmond, Richmond, VA 23261 USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Richmond, VA 23261 USA. EM robert.hetzel@rich.frb.org NR 3 TC 0 Z9 0 U1 0 U2 0 PU LUCIUS LUCIUS VERLAG MBH PI STUTTGART PA GEROKSTR 51, D-70184 STUTTGART, GERMANY SN 0021-4027 J9 JAHRB NATL STAT JI Jahrb. Natl. Okon. Stat. PD MAY PY 2015 VL 235 IS 3 BP 342 EP 344 PG 3 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA CM1JB UT WOS:000357436100007 ER PT J AU Nakata, T Tonetti, C AF Nakata, Taisuke Tonetti, Christopher TI SMALL SAMPLE PROPERTIES OF BAYESIAN ESTIMATORS OF LABOR INCOME PROCESSES SO JOURNAL OF APPLIED ECONOMICS LA English DT Article DE labor income process; small sample properties; GMM; Bayesian estimation; error component models ID COVARIANCE STRUCTURE; EARNINGS; HETEROGENEITY; DYNAMICS; MODELS; MIXTURES AB There exists an extensive literature estimating idiosyncratic labor income processes. While a wide variety of models are estimated, GMM estimators are almost always used. We examine the validity of using likelihood based estimation in this context by comparing the small sample properties of a Bayesian estimator to those of GMM. Our baseline studies estimators of a commonly used simple earnings process. We extend our analysis to more complex environments, allowing for real world phenomena such as time varying and heterogeneous parameters, missing data, unbalanced panels, and non-normal errors. The Bayesian estimators are demonstrated to have favorable bias and efficiency properties. C1 [Nakata, Taisuke] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. [Tonetti, Christopher] Stanford GSB, Stanford, CA 94305 USA. RP Nakata, T (reprint author), Fed Reserve Board, Div Res & Stat, 20th St & Constitution Ave NW, Washington, DC 20551 USA. EM taisuke.nakata@frb.gov; tonetti@stanford.edu NR 31 TC 0 Z9 0 U1 2 U2 2 PU UNIV CEMA PI BUENOS AIRES PA AV CORDOBA 374, BUENOS AIRES, C1054AAP, ARGENTINA SN 1514-0326 EI 1667-6726 J9 J APPL ECON JI J. Appl. Econ. PD MAY PY 2015 VL 18 IS 1 BP 121 EP 148 PG 28 WC Economics SC Business & Economics GA CL2XK UT WOS:000356810800006 ER PT J AU Wen, Y AF Wen, Yi TI Money, liquidity and welfare SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Liquidity preference; Heterogeneous money demand; Financial intermediation; Velocity; Welfare costs of inflation ID BUSINESS-CYCLE MODEL; TRANSACTIONS DEMAND; IDIOSYNCRATIC RISK; INFLATION; COST; INSURANCE; ECONOMY; EQUILIBRIUM; CREDIT; POLICY AB This paper develops an analytically tractable Bewley model of money demand to shed light on some important questions in monetary theory, such as the welfare cost of inflation. It is shown that when money is a vital form of liquidity to meet uncertain consumption needs, the welfare costs of inflation can be extremely large. With log utility and parameter values that best match both the aggregate money demand curve suggested by Lucas (2000) and the variance of household consumption, agents in our model are willing to reduce consumption by 3-4% to avoid 10% annual inflation. The astonishingly large welfare costs of inflation arise because inflation increases consumption risk by eroding the buffer-stock-insurance value of money, thus hindering consumption smoothing at the household level. Such an inflation-induced increase in consumption risk at the micro level cannot be captured by representative-agent models or the Bailey triangle. Although the development of financial intermediation can mitigate the problem, with realistic credit limits the welfare loss of moderate inflation still remains several times larger than estimations based on the Bailey triangle. Our findings provide a strong justification for adopting a low inflation target by central banks, especially in developing countries where money is the major form of household financial wealth. Published by Elsevier B.V. C1 [Wen, Yi] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. [Wen, Yi] Tsinghua Univ, Sch Econ & Management, Beijing 100084, Peoples R China. RP Wen, Y (reprint author), Fed Reserve Bank St Louis, Res Dept, POB 422, St Louis, MO 63166 USA. EM yi.wen@stls.frb.org RI Wen, Yi/I-5756-2016 OI Wen, Yi/0000-0001-5658-1578 NR 35 TC 3 Z9 3 U1 1 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD MAY PY 2015 VL 76 BP 1 EP 24 DI 10.1016/j.euroecorev.2015.01.012 PG 24 WC Economics SC Business & Economics GA CJ3AI UT WOS:000355355400001 ER PT J AU Fillat, JL Garetto, S Oldenski, L AF Fillat, Jose L. Garetto, Stefania Oldenski, Lindsay TI Diversification, cost structure, and the risk premium of multinational corporations SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Multinational firms; Diversification; Risk premium; Stock returns ID FOREIGN DIRECT-INVESTMENT; EXPORT; ENTRY; HETEROGENEITY; UNCERTAINTY; FIRMS AB We investigate theoretically and empirically the relationship between the geographic structure of a multinational corporation and its risk premium. Our structural model suggests two channels. On the one hand, multinational activity offers diversification benefits: risk premia should be higher for firms operating in countries where shocks co-vary more with the domestic ones. Second, hysteresis and operating leverage induced by fixed and sunk costs of production imply that risk premia should be higher for firms operating in countries where it is costlier to enter and produce. Our empirical analysis confirms these predictions and delivers a decomposition of firm-level risk premia into individual countries' contributions. (C) 2015 Elsevier B.V. All rights reserved. C1 [Garetto, Stefania] Boston Univ, Dept Econ, Boston, MA 02215 USA. [Fillat, Jose L.] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Oldenski, Lindsay] Georgetown Univ, Intercultural Ctr 515, Washington, DC 20057 USA. RP Garetto, S (reprint author), Boston Univ, Dept Econ, 270 Bay State Rd, Boston, MA 02215 USA. EM garettos@bu.edu; lo36@georgetown.edu NR 35 TC 3 Z9 3 U1 4 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD MAY PY 2015 VL 96 IS 1 BP 37 EP 54 DI 10.1016/j.jinteco.2015.01.004 PG 18 WC Economics SC Business & Economics GA CJ4ZY UT WOS:000355498400003 ER PT J AU Rabanal, P Rubio-Ramirez, JF AF Rabanal, Pau Rubio-Ramirez, Juan F. TI Can international macroeconomic models explain low-frequency movements of real exchange rates? SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE International business cycles; Spectrum; Real exchange rates; Cointegration ID STICKY PRICE MODELS; POWER PARITY PUZZLE; BUSINESS CYCLES; RATE PERSISTENCE; MONETARY-POLICY; PASS-THROUGH; SHOCKS; PRODUCTIVITY; TRANSMISSION; DYNAMICS AB Real exchange rates exhibit important low-frequency fluctuations. This makes the analysis of real exchange rates at all frequencies a more sound exercise than the typical business cycle one, which compares actual and simulated data after the Hodrick-Prescott filter is applied to both. A simple two-country, two-good, international real business cycle model can explain the volatility of the real exchange rate when all frequencies are studied. The puzzle is that the model generates too much persistence of the real exchange rate instead of too little, as the business cycle analysis asserts. We show that the introduction of input adjustment costs in production, cointegrated productivity shocks across countries, and lower home bias allows us to reconcile theory and this feature of the data. (C) 2015 Elsevier B.V. All rights reserved. C1 [Rabanal, Pau] Int Monetary Fund, Res Dept, Washington, DC 20431 USA. [Rubio-Ramirez, Juan F.] Duke Univ, Dept Econ, Durham, NC 27708 USA. [Rubio-Ramirez, Juan F.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Rubio-Ramirez, Juan F.] CEPR, London, England. [Rubio-Ramirez, Juan F.] FEDEA, Madrid, Spain. [Rubio-Ramirez, Juan F.] BBVA Res, Madrid, Spain. RP Rabanal, P (reprint author), Int Monetary Fund, Res Dept, 700 19th St NW, Washington, DC 20431 USA. EM prabanal@imf.org; juan.rubio-ramirez@duke.edu FU Institute for Economic Analysis (IAE); "Programs de Excelencia en Education e Investigacion" of the Bank of Spain; Spanish Ministry of Science and Technology [ECO2011-30323-c03-01]; NSF FX We thank George Alessandria, Boragan Aruoba, Sanjay Chugh, John Haltiwanger, Federico Mandelman, Enrique Mendoza, Emi Nakamura, Jorge Roldos, John Shea, Pedro Silos, Jon Steinsson, Carlos Vegh, the editor (Giancarlo Corsetti), two anonymous referees, and the seminar audiences at the University of Maryland, the Banco de Espana CEPR/ESSIM meeting in Tarragona, CEMFI, and the Federal Reserve Banks of Atlanta, Dallas, and Philadelphia for their useful comments. We also thank Hernan Seoane and Bela Szemely for their research support. Juan F. Rubio-Ramirez also thanks the Institute for Economic Analysis (IAE) and the "Programs de Excelencia en Education e Investigacion" of the Bank of Spain, the Spanish Ministry of Science and Technology Ref. ECO2011-30323-c03-01, and the NSF for the financial support. Beyond the usual disclaimer, we must note that any views expressed herein are those of the authors and not necessarily those of the International Monetary Fund, the Federal Reserve Bank of Atlanta, or the Federal Reserve System. NR 46 TC 2 Z9 2 U1 2 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD MAY PY 2015 VL 96 IS 1 BP 199 EP 211 DI 10.1016/j.jinteco.2015.01.009 PG 13 WC Economics SC Business & Economics GA CJ4ZY UT WOS:000355498400013 ER PT J AU Gospodinov, N Jamali, I AF Gospodinov, Nikolay Jamali, Ibrahim TI The response of stock market volatility to futures-based measures of monetary policy shocks SO INTERNATIONAL REVIEW OF ECONOMICS & FINANCE LA English DT Article DE Stock market volatility; Federal funds futures; Monetary policy; Volatility risk premium ID TRADING VOLUME; ASYMMETRIC VOLATILITY; FINANCIAL-MARKETS; GARCH MODEL; RISK PREMIA; RETURNS; INFORMATION; NEWS AB In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant response of stock returns and volatility to monetary policy shocks. While the increase in the volatility risk premium, futures-trading volume and leverage appear to contribute to a short-term increase in volatility, the longer-term dynamics of volatility are dominated by monetary policy's effect on fundamentals. The estimation results from a bivariate VAR-GARCH model suggest that the Fed does not respond to the stock market at a high frequency but that market participants' uncertainty regarding the monetary stance affects stock market volatility. (C) 2014 Elsevier Inc. All rights reserved. C1 [Gospodinov, Nikolay] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Jamali, Ibrahim] Amer Univ Beirut, Olayan Sch Business, Dept Finance Accounting & Managerial Econ, Beirut 11072020, Lebanon. RP Jamali, I (reprint author), Amer Univ Beirut, Olayan Sch Business, Dept Finance Accounting & Managerial Econ, POB 11-0236,Riad El Solh St, Beirut 11072020, Lebanon. EM Nikolay.Gospodinov@atl.frb.org; ij08@aub.edu.lb NR 41 TC 4 Z9 4 U1 2 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1059-0560 EI 1873-8036 J9 INT REV ECON FINANC JI Int. Rev. Econ. Financ. PD MAY PY 2015 VL 37 BP 42 EP 54 DI 10.1016/j.iref.2014.11.001 PG 13 WC Business, Finance; Economics SC Business & Economics GA CJ3FT UT WOS:000355369500004 ER PT J AU Elsby, MWL Hobijn, B Sahin, A AF Elsby, Michael W. L. Hobijn, Bart Sahin, Ayseguel TI On the importance of the participation margin for labor market fluctuations SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Worker flows; Unemployment; Business cycles; Labor force participation ID UK UNEMPLOYMENT; GREAT RECESSION; FLOWS; DYNAMICS; OUTS; INS; CYCLICALITY; SEARCH; ERRORS; MODEL AB Conventional analyses of labor market fluctuations ascribe a minor role to labor force participation. We show, by contrast, that flows-based analyses imply that the participation margin accounts for around one-third of unemployment fluctuations. A novel stock-flow apparatus establishes these facts, delivering three further contributions. First, the role of the participation margin appears robust to adjustments for spurious transitions induced by reporting error. Second, conventional stocks-based analyses are subject to a stock-flow fallacy, neglecting offsetting forces of worker flows on the participation rate. Third, increases in labor force attachment among the unemployed during recessions are a leading explanation for the role of the participation margin. (C) 2015 Elsevier B.V. All rights reserved. C1 [Elsby, Michael W. L.] Univ Edinburgh, Sch Econ, Edinburgh EH8 9JT, Midlothian, Scotland. [Hobijn, Bart] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Sahin, Ayseguel] Federal Reserve Bank New York, New York, NY USA. RP Elsby, MWL (reprint author), Univ Edinburgh, Sch Econ, 31 Buccleuch Pl, Edinburgh EH8 9JT, Midlothian, Scotland. EM mike.elsby@ed.ac.uk FU Leverhulme Trust FX Elsby gratefully acknowledges funding from the Philip Leverhulme Prize granted by the Leverhulme Trust. NR 51 TC 10 Z9 10 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2015 VL 72 BP 64 EP 82 DI 10.1016/j.jmoneco.2015.01.004 PG 19 WC Business, Finance; Economics SC Business & Economics GA CI8RL UT WOS:000355039300004 ER PT J AU Petrosky-Nadeau, N Wasmer, E AF Petrosky-Nadeau, Nicolas Wasmer, Etienne TI Macroeconomic dynamics in a model of goods, labor, and credit market frictions SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Goods market search; Labor market dynamics; Propagation; Credit market frictions ID GROSS JOB CREATION; CYCLICAL BEHAVIOR; BUSINESS-CYCLE; EQUILIBRIUM UNEMPLOYMENT; NOMINAL RIGIDITIES; INDIVISIBLE LABOR; WAGE STICKINESS; MONETARY-POLICY; AGENCY COSTS; NET WORTH AB Goods market frictions drastically change the dynamics of the labor market, both in terms of persistence and volatility. In a model with three imperfect markets - goods, labor, and credit - we find that credit and goods market imperfections are substitutable in raising volatility. Goods market frictions are unique in generating persistence. Two key mechanisms in the goods market generate large hump-shaped responses to productivity shocks: countercyclical goods market tightness and prices alter future profit flows and raise persistence; procyclical search effort of consumers and firms raises amplification. Goods market frictions are thus key in understanding labor market dynamics. (C) 2015 Elsevier B.V. All rights reserved. C1 [Petrosky-Nadeau, Nicolas] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Petrosky-Nadeau, Nicolas] Carnegie Mellon Univ, Tepper Sch Business, Pittsburgh, PA 15213 USA. [Wasmer, Etienne] Sci Po, Dept Econ, F-75007 Paris, France. RP Wasmer, E (reprint author), Sci Po, Dept Econ, 28 Rue St Peres, F-75007 Paris, France. EM npn@cmu.edu; etienne.wasmer@sciences-po.fr OI Wasmer, Etienne/0000-0002-6275-1286 FU [ANR-11-LABX-0091]; [ANR-11-IDEX-0005-02]; [ANR 2010 BLANC 1819 01] FX We thank the editor, an anonymous referee, Evi Pappa, Peter Rupert, Espen Moen, Johannes Schmieder, Thijs Van Rens, Guido Menzio, Randall Wright, Philipp Kircher, Shigeru Fujita and the seminar participants at the LAEF Micro-Macro Labor Models, CEPR/ECB Labor Markets conferences, University of Amsterdam, Norwegian School of Management, CREI, UC-Irvine, University of Southern California, Penn Search and Matching Workshop, Federal Reserve Banks of Richmond and San Francisco, and the Kiel Institute New Developments, and Thema-Cergy Macro-Labor conferences for helpful comments. We also thank Garey Ramey and Shigeru Fujita for kindly sharing their data with us. This work was in part undertaken during the two authors' stay at UCSB-LAEF, the hospitality of which is gratefully acknowledged. We finally thank the editor Urban Jermann and an anonymous referee. Financial support from ANR-11-LABX-0091 (LIEPP), ANR-11-IDEX-0005-02 and ANR 2010 BLANC 1819 01 (EvalPolPub) is also acknowledged. The views expressed here are those of the authors alone and not of the Federal Reserve System. NR 63 TC 1 Z9 1 U1 1 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2015 VL 72 BP 97 EP 113 DI 10.1016/j.jmoneco.2015.01.006 PG 17 WC Business, Finance; Economics SC Business & Economics GA CI8RL UT WOS:000355039300006 ER PT J AU Cogley, T Matthes, C Sbordone, AM AF Cogley, Timothy Matthes, Christian Sbordone, Argia M. TI Optimized Taylor rules for disinflation when agents are learning SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Inflation; Monetary policy; Learning; Policy reforms; Transitions ID ROBUST MONETARY-POLICY; INFLATION PERSISTENCE; TREND INFLATION; IMPERFECT KNOWLEDGE; STAGGERED PRICES; MEDIUM-SCALE; EXPECTATIONS; MODELS; CONVERGENCE; UTILITY AB When private agents learn a new policy rule, an optimal simple Taylor rule for disinflation differs substantially from that under full information. The central bank can reduce target inflation without much difficulty, but adjusting reaction coefficients on lagged inflation and output is more costly. Temporarily explosive dynamics emerge when there is substantial disagreement between perceived and actual feedback parameters, making the transition highly volatile. The bank copes by choosing reaction coefficients close to the private sector's prior mode, thereby sacrificing long-term performance in exchange for achieving lower transitional volatility. (C) 2015 Elsevier B.V. All rights reserved. C1 [Cogley, Timothy] NYU, Dept Econ, New York, NY 10012 USA. [Matthes, Christian] Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. [Sbordone, Argia M.] Fed Reserve Bank New York, Res Dept, New York, NY USA. RP Cogley, T (reprint author), NYU, Dept Econ, 19 W 4th St, New York, NY 10012 USA. EM tim.cogley@nyu.edu NR 37 TC 2 Z9 2 U1 3 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2015 VL 72 BP 131 EP 147 DI 10.1016/j.jmoneco.2015.02.003 PG 17 WC Business, Finance; Economics SC Business & Economics GA CI8RL UT WOS:000355039300008 ER PT J AU Davis, JS AF Davis, J. Scott TI The asymmetric effects of deflation on consumption spending: Evidence from the great depression SO ECONOMICS LETTERS LA English DT Article DE Deflation; Consumption; Durable goods; Non-durable goods AB Using data for U.S. grocery and department store sales from 1919-1939, this paper shows that expected price changes have asymmetric effects on consumption spending. Department store sales (durable consumption) react negatively to expected deflation, but grocery sales (non-durable consumption) do not. (C) 2015 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Davis, JS (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM scott.davis@dal.frb.org NR 12 TC 2 Z9 2 U1 0 U2 3 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 EI 1873-7374 J9 ECON LETT JI Econ. Lett. PD MAY PY 2015 VL 130 BP 105 EP 108 DI 10.1016/j.econlet.2015.03.016 PG 4 WC Economics SC Business & Economics GA CI1JU UT WOS:000354501300029 ER PT J AU Gerardi, K Rosenblatt, E Willen, PS Yao, V AF Gerardi, Kristopher Rosenblatt, Eric Willen, Paul S. Yao, Vincent TI Foreclosure externalities: New evidence SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Foreclosure; Mortgage; Externalities ID PROPERTY-VALUES; MORTGAGE FORECLOSURES; IMPACT; SALES; COMPETITION; PRICES AB Policy makers have used externalities to justify government intervention in the foreclosure process. Using a new dataset that covers 15 of the largest metropolitan statistical areas in the U.S. and a novel identification strategy, this paper provides new evidence on the size and source of these externalities. Our results show that a property in distress affects the value of neighboring properties from the time when the borrower becomes seriously delinquent on the mortgage until well after the bank sells the property to a new owner. Properties with seriously delinquent loans within 0.1 miles are found to decrease transaction prices of non-distressed properties by approximately one percent on average. The spillovers are found to dissipate rapidly with distance and completely disappear one year after the bank sells the property to a new homeowner. Importantly, we find that the size of the externality is sensitive to the condition of foreclosed properties, as bank-owned properties in poor condition lower nearby transaction prices by 2.6% on average while those in good condition marginally raise prices. We argue that the measured price spillovers are physical externalities caused by a lack of property maintenance and not pecuniary externalities that reflect local supply or demand shocks. (c) 2015 Elsevier Inc. All rights reserved. C1 [Gerardi, Kristopher] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Rosenblatt, Eric; Yao, Vincent] Fannie Mae, Washington, DC USA. [Willen, Paul S.] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Gerardi, K (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM Kristopher.Gerardi@atl.frb.org; eric_rosenblatt@-fanniemae.com; Paul.Willen@bos.frb.org; vincent_-w_yao@fanniemae.com OI Yao, Vincent/0000-0002-4660-8199 NR 28 TC 8 Z9 8 U1 0 U2 2 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 EI 1095-9068 J9 J URBAN ECON JI J. Urban Econ. PD MAY PY 2015 VL 87 BP 42 EP 56 DI 10.1016/j.jue.2015.02.004 PG 15 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA CI1LS UT WOS:000354506300004 ER PT J AU Barrow, L Schanzenbach, DW Claessens, A AF Barrow, Lisa Schanzenbach, Diane Whitmore Claessens, Amy TI The impact of Chicago's small high school initiative SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE School size; Urban schools; School reform; Small schools; High schools; Student outcomes ID CATHOLIC-SCHOOLS; PUBLIC-SCHOOLS; ACCOUNTABILITY; VARIABLES; OUTCOMES; COLLEGE; CHOICE AB This project examines the effects of the introduction of new small high schools on student performance in the Chicago Public School (CPS) district. Specifically, we investigate whether students attending small high schools have better graduation/enrollment rates and achievement than similar students who attend regular CPS high schools. We show that students who choose to attend a small school are more disadvantaged on average, including having prior test scores that are about 0.2 standard deviations lower than their elementary school classmates. To address the selection problem, we use an instrumental variables strategy and compare students who live in the same neighborhoods but differ in their residential proximity to a small school. In this approach, one student is more likely to sign up for a small school than another statistically identical student because the small school is located closer to the student's house and therefore the "cost" of attending the school is lower. The distance-to-small-school variable has strong predictive power to identify who attends a small school. We find that small schools students are substantially more likely to persist in school and eventually graduate. Nonetheless, there is no positive impact on student achievement as measured by test scores. (c) 2015 Elsevier Inc. All rights reserved, C1 [Barrow, Lisa] Fed Reserve Bank Chicago, Chicago, IL USA. [Schanzenbach, Diane Whitmore] Northwestern Univ, Evanston, IL 60208 USA. [Schanzenbach, Diane Whitmore] NBER, Cambridge, MA 02138 USA. [Claessens, Amy] Univ Chicago, Chicago, IL 60637 USA. RP Schanzenbach, DW (reprint author), Northwestern Univ, Evanston, IL 60208 USA. FU Institute of Educational Sciences [R305R060062] FX We thank anonymous referees for helpful comments, John Easton and Steve Raudenbush for helpful discussions, and Todd Rosenkranz and Sue Sporte for their exceedingly patient help with the data. We are also grateful to Chicago Public Schools and the University of Chicago Consortium on Chicago School Research for providing data access. This research was supported by Grant #R305R060062 from the Institute of Educational Sciences. Any views expressed in this paper do not necessarily reflect those of the Federal Reserve Bank of Chicago or the Federal Reserve System. All errors are our own. NR 41 TC 1 Z9 1 U1 1 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 EI 1095-9068 J9 J URBAN ECON JI J. Urban Econ. PD MAY PY 2015 VL 87 BP 100 EP 113 DI 10.1016/j.jue.2015.02.002 PG 14 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA CI1LS UT WOS:000354506300008 ER PT J AU Armantier, O de Bruin, WB Topa, G van der Klaauw, W Zafar, B AF Armantier, Olivier de Bruin, Waendi Bruine Topa, Giorgio van der Klaauw, Wilbert Zafar, Basit TI INFLATION EXPECTATIONS AND BEHAVIOR: DO SURVEY RESPONDENTS ACT ON THEIR BELIEFS? SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID PROFESSIONAL FORECASTERS; RISK ATTITUDES; PROBABILITIES; ELICITATION; RETIREMENT; HOUSEHOLDS; AVERSION; CHOICE AB We compare the inflation expectations reported by consumers in a survey with their behavior in a financially incentivized investment experiment. The survey is found to be informative in the sense that the beliefs reported by the respondents are correlated with their choices in the experiment. More importantly, we find evidence that most respondents act on their inflation expectations showing patterns consistent with economic theory. Respondents whose behavior cannot be rationalized tend to have lower education and lower numeracy and financial literacy. These findings help confirm the relevance of inflation expectations surveys and provide support to the microfoundations of modern macroeconomic models. C1 [Armantier, Olivier] Fed Reserve Bank New York, New York, NY 10013 USA. Univ Leeds, Sch Business, Leeds LS2 9JT, W Yorkshire, England. Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. RP Armantier, O (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10013 USA. EM olivier.armantier@ny.frb.org NR 52 TC 5 Z9 5 U1 1 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 EI 1468-2354 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2015 VL 56 IS 2 SI SI BP 505 EP 536 DI 10.1111/iere.12113 PG 32 WC Economics SC Business & Economics GA CH3XA UT WOS:000353963100007 ER PT J AU Pastorino, E AF Pastorino, Elena TI JOB MATCHING WITHIN AND ACROSS FIRMS SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article DE Job Assignment; Matching; Uncertainty; Learning; Careers in firms; Turnover ID PROMOTION DYNAMICS; WAGES RISE; MOBILITY; SENIORITY; EXPERIENCE AB This article proposes a matching model of the labor market in the presence of uncertainty and learning about ability that provides a simple unified framework for analyzing the dynamics of jobs and wages within firms and in the labor market. The model allows for different degrees of generality of ability as well as speeds of learning across jobs and firms. Equilibrium assignments and wages are consistent with a broad range of empirical findings on careers, suggest a novel interpretation for well-documented patterns, and help explain features of careers usually thought difficult to reconcile with the presence of uncertainty and learning. C1 [Pastorino, Elena] Univ Minnesota, Minneapolis, MN 55455 USA. [Pastorino, Elena] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Pastorino, E (reprint author), Univ Minnesota, Dept Econ, 1925 Fourth St South, Minneapolis, MN 55455 USA. EM epastori@umn.edu NR 43 TC 0 Z9 0 U1 2 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 EI 1468-2354 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2015 VL 56 IS 2 SI SI BP 647 EP 671 DI 10.1111/iere.12117 PG 25 WC Economics SC Business & Economics GA CH3XA UT WOS:000353963100011 ER PT J AU Cheremukhin, A Popova, A Tutino, A AF Cheremukhin, Anton Popova, Anna Tutino, Antonella TI A theory of discrete choice with information costs SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE Bounded rationality; Information theory; Rational inattention; Discrete choice; Behavioral experiments ID PROBABILITY WEIGHTING FUNCTION; RATIONAL INATTENTION; DECISION-MAKING; COMPARATIVE JUDGMENT; STICKY PRICES; UTILITY; REPRESENTATION; PREFERENCES AB We present a theory of discrete choice with information costs that supports deliberate stochastic choice. We use a unique experimental dataset to distinguish between errors arising from limitations on a decision maker's cognitive abilities and conscious disregard of information. Experimental evidence strongly favors the latter explanation. The data also allows us to directly estimate the shape and size of information costs for individual participants. Furthermore, in line with a dynamic extension of our theory, we find that accumulated knowledge of the environment improves response consistency. (C) 2015 Elsevier B.V. All rights reserved. C1 [Cheremukhin, Anton; Tutino, Antonella] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Popova, Anna] Univ Illinois, Champaign, IL 61820 USA. RP Cheremukhin, A (reprint author), Fed Reserve Bank Dallas, 2200 North Pearl St, Dallas, TX 75201 USA. EM chertosha@gmail.com; apopova2@illinois.edu; tutino.antonella@gmail.com FU National Science Foundation [08-20009] FX We are grateful to Michel Regenwetter for access to the data, encouragement and helpful comments. We also thank Tony Marley and Duncan Luce for questions and suggestions which helped improve the draft of the paper. All remaining errors are our own. Popova's work and data collection were supported by National Science Foundation grant SES # 08-20009 (PI: M. Regenwetter, University of Illinois at Urbana-Champaign), entitled A Quantitative Behavioral Framework for Individual and Social Choice, awarded by the Decision, Risk and Management Science Program. IRB approval (Protocol: 08387, RPI: M. Regenwetter) has been obtained for the experiment on human subjects. Any opinions, findings or recommendations expressed in this publication are those of the authors and do not necessarily reflect the views of their colleagues, the National Science Foundation, the University of Illinois, the Federal Reserve Bank of Dallas or the Federal Reserve System. NR 44 TC 3 Z9 3 U1 2 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-2681 EI 1879-1751 J9 J ECON BEHAV ORGAN JI J. Econ. Behav. Organ. PD MAY PY 2015 VL 113 BP 34 EP 50 DI 10.1016/j.jebo.2015.02.022 PG 17 WC Economics SC Business & Economics GA CG8YI UT WOS:000353601200004 ER PT J AU Avery, RB Brevoort, KP AF Avery, Robert B. Brevoort, Kenneth P. TI THE SUBPRIME CRISIS: IS GOVERNMENT HOUSING POLICY TO BLAME? SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID COMMUNITY REINVESTMENT ACT; MORTGAGE DEFAULTS; CREDIT; LOANS; GOALS AB Some have suggested that housing policy, embodied by the Community Reinvestment Act (CRA) and affordable housing goals of the government-sponsored enterprises (GSEs), caused the subprime crisis. We examine if these programs led to worse mortgage outcomes using two approaches. The first examines whether more activity by CRA-covered lenders, or more loan sales to the GSEs, was associated with worse outcomes. The second uses regression discontinuity to determine if outcomes were worse at the geographic thresholds used by each program. Our results suggest that neither program played a significant role in the subprime crisis. C1 [Avery, Robert B.; Brevoort, Kenneth P.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Avery, RB (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 44 TC 1 Z9 1 U1 2 U2 4 PU MIT PRESS PI CAMBRIDGE PA ONE ROGERS ST, CAMBRIDGE, MA 02142-1209 USA SN 0034-6535 EI 1530-9142 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAY PY 2015 VL 97 IS 2 BP 352 EP 363 DI 10.1162/REST_a_00491 PG 12 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA CG7SY UT WOS:000353506600009 ER PT J AU Kodrzycki, YK Munoz, AP AF Kodrzycki, Yolanda K. Munoz, Ana Patricia TI Economic Distress and Resurgence in US Central Cities: Concepts, Causes, and Policy Levers SO ECONOMIC DEVELOPMENT QUARTERLY LA English DT Article DE mid-size cites; economic development; resurgent cities; growth; collaboration; economic distress ID URBAN SUCCESS STORIES; METROPOLITAN-AREAS; GROWTH; SUBURBANIZATION; BACK AB The authors provide a review of the literature on U.S. central city growth and distress during the second half of the twentieth century. The literature reveals that city growth tended to be higher in metropolitan areas with favorable weather, higher growth, and greater human capital, whereas distress was strongly correlated with city-level manufacturing legacy. The article affirms that distress has been highly persistent but that some cities have achieved resurgence through a combination of strong leadership, collaboration across sectors and institutions, clear and broad-based strategies, and significant infrastructure investments. Finally, the article explores measurement issues by comparing two methodologies used to identify poorly performing central cities: comparisons across a comprehensive national cross-section of cities and comparisons within smaller samples of similar cities. It finds that these approaches have produced similar assessments of a city's status, except in some cases where the city's progress has been uneven across time or with respect to alternative criteria. C1 [Kodrzycki, Yolanda K.] Fed Reserve Bank Boston, New England Publ Policy Ctr, Boston, MA 02210 USA. [Munoz, Ana Patricia] Fed Reserve Bank Boston, Reg & Community Outreach Dept, Boston, MA 02210 USA. RP Kodrzycki, YK (reprint author), Fed Reserve Bank Boston, New England Publ Policy Ctr, 600 Atlantic Ave, Boston, MA 02210 USA. EM Yolanda.Kodrzycki@bos.frb.org NR 39 TC 0 Z9 0 U1 0 U2 3 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0891-2424 EI 1552-3543 J9 ECON DEV Q JI Econ. Dev. Q. PD MAY PY 2015 VL 29 IS 2 BP 113 EP 134 DI 10.1177/0891242414565696 PG 22 WC Economics; Planning & Development; Urban Studies SC Business & Economics; Public Administration; Urban Studies GA CG7AV UT WOS:000353455200003 ER PT J AU Bah, EH Fang, L AF Bah, El-hadj Fang, Lei TI Impact of the business environment on output and productivity in Africa SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article DE Business environment; Financial development; Productivity misallocation; African development ID FINANCIAL INTERMEDIATION; ENDOGENOUS GROWTH; ECONOMIC-GROWTH; INFRASTRUCTURE; CORRUPTION; MISALLOCATION; PERSISTENCE; CAUSALITY; INCOME; SIZE AB We develop a general equilibrium model to assess the quantitative effects of the business environment, including regulations, crime, corruption, infrastructure and access to finance, on output and total factor productivity (IPP) in Sub-Saharan Africa. The first four dimensions are modeled as a tax on output and the finance dimension is modeled as a borrowing constraint. The model is simulated for a sample of Sub-Saharan African countries using the country-specific financial development and the country-specific joint distribution between productivity and taxes. We find that the simulated output and TFP are highly correlated with those in the data and the model accounts for 48% of the variation of output in the data. Access to finance alone accounts for 39% and the other four dimensions account for 11% of the dispersion in output. (C) 2015 Elsevier B.V. All rights reserved. C1 [Bah, El-hadj] African Dev Bank, Abidjan 01, Cote Ivoire. [Fang, Lei] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. RP Bah, EH (reprint author), African Dev Bank, Res Dev Dept, BP 1387, Abidjan 01, Cote Ivoire. EM e.bah@afdb.org; lei.fang@atl.frb.org FU University of Auckland, New Zealand [3623094] FX We thank the editor and two anonymous referees for their very helpful suggestions. We also thank seminar participants at the Reserve Bank of New Zealand, the Southern Workshop of Macroeconomics 2012, the African Economics Conference-Tunis 2010, and the 4th Annual Conference on Economic Integration in West Africa (ACRIA 4). El-hadj acknowledges financial support from the University of Auckland (Grant no. 3623094), New Zealand. NR 59 TC 3 Z9 4 U1 6 U2 33 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 EI 1872-6089 J9 J DEV ECON JI J. Dev. Econ. PD MAY PY 2015 VL 114 BP 159 EP 171 DI 10.1016/j.jdeveco.2015.01.001 PG 13 WC Economics SC Business & Economics GA CF9YR UT WOS:000352924300012 ER PT J AU Dinkelman, T Schulhofer-Wohl, S AF Dinkelman, Taryn Schulhofer-Wohl, Sam TI Migration, congestion externalities, and the evaluation of spatial investments SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article DE Rural infrastructure; Migration; Congestion; Welfare; Program evaluation; South Africa ID LABOR-MARKET; SOUTH-AFRICA; ELECTRIFICATION; VALUATION; PROPERTY; HEALTH AB The direct benefits of infrastructure in developing countries can be large, but if new infrastructure induces inmigration, congestion of other local publicly provided goods may offset the direct benefits. Using the example of rural household electrification in South Africa, we demonstrate the importance of accounting for migration when evaluating welfare gains of spatial programs. We also provide a practical approach to computing welfare gains that does not rely on land prices. We develop a location choice model that incorporates missing land markets and allows for congestion in local land. Using this model, we construct welfare bounds as a function of the income and population effects of the new electricity infrastructure. A novel prediction from the model is that migration elasticities and congestion effects are especially large when land markets are missing. We empirically estimate these welfare bounds for rural electrification in South Africa, and show that congestion externalities from program-induced migration reduced local welfare gains by about 40%. (C) 2014 Elsevier B.V. All rights reserved. C1 [Dinkelman, Taryn] Dartmouth Coll, Hanover, NH 03755 USA. [Dinkelman, Taryn] NBER, Cambridge, MA 02138 USA. [Dinkelman, Taryn] Ctr Econ Policy Res, Washington, DC USA. [Schulhofer-Wohl, Sam] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Dinkelman, T (reprint author), Dartmouth Coll, Hanover, NH 03755 USA. EM Taryn.L.Dinkelman@Dartmouth.edu; wohls@minneapolisfed.org FU International Growth Centre [RA-2009-11-016] FX We thank Tayyar Buyukbasaran and Yoon Sun Hur for their excellent research assistance, Joan Gieseke for editorial assistance, and Eric Edmonds, Elaine Liu, Erzo F.P. Luttmer, and Sandip Sukhtankar for their helpful comments on the paper. This research was funded by a grant from the International Growth Centre (RA-2009-11-016). The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis or the Federal Reserve System. NR 41 TC 0 Z9 0 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 EI 1872-6089 J9 J DEV ECON JI J. Dev. Econ. PD MAY PY 2015 VL 114 BP 189 EP 202 DI 10.1016/j.jdeveco.2014.12.009 PG 14 WC Economics SC Business & Economics GA CF9YR UT WOS:000352924300014 ER PT J AU Auerbach, JU Azariadis, C AF Auerbach, Jan U. Azariadis, Costas TI Property Rights, Governance, and Economic Development SO REVIEW OF DEVELOPMENT ECONOMICS LA English DT Article ID CORRUPTION; INSTITUTIONS; LAW; ENFORCEMENT; CONFLICT; GROWTH; POWER; MODEL AB In this review article we give an intuitive account of why good institutions in general, and secure property rights in particular, matter for economic growth and development. We also discuss implications for good governance, defined as the efficient provision of property rights and other aspects of governance. Finally, we briefly touch on political institutions that might be conducive to good governance and thus economic development. C1 [Azariadis, Costas] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Azariadis, Costas] Fed Reserve Bank St Louis, St Louis, MO USA. [Auerbach, Jan U.] Univ Exeter, Sch Business, Exeter EX4 4ST, Devon, England. RP Azariadis, C (reprint author), Washington Univ, Dept Econ, St Louis, MO 63130 USA. EM azariadi@wustl.edu NR 41 TC 1 Z9 1 U1 6 U2 14 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1363-6669 EI 1467-9361 J9 REV DEV ECON JI Rev. Dev. Econ. PD MAY PY 2015 VL 19 IS 2 BP 210 EP 220 DI 10.1111/rode.12138 PG 11 WC Economics; Planning & Development SC Business & Economics; Public Administration GA CG3FI UT WOS:000353163200002 ER PT J AU Wachter, JA Warusawitharana, M AF Wachter, Jessica A. Warusawitharana, Missaka TI What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio SO JOURNAL OF ECONOMETRICS LA English DT Article DE Return predictability; Bayesian statistics; Model uncertainty ID STOCK RETURN PREDICTABILITY; PREDICTIVE REGRESSIONS; ASSET-ALLOCATION; BAYES FACTORS; PERSPECTIVE AB We examine the evidence on excess stock return predictability in a Bayesian setting in which the investor faces uncertainty about both the existence and strength of predictability. When we apply our methods to the dividend-price ratio, we find that even investors who are quite skeptical about the existence of predictability sharply modify their views in favor of predictability when confronted by the historical time series of returns and predictor variables. Correctly taking into account the stochastic properties of the regressor has a dramatic impact on inference, particularly over the 2000-2005 period. (C) 2015 Published by Elsevier B.V. C1 [Wachter, Jessica A.] Univ Penn, Dept Finance, Wharton Sch, Philadelphia, PA 19104 USA. [Wachter, Jessica A.] NBER, Cambridge, MA 02138 USA. [Warusawitharana, Missaka] Board Governors Fed Reserve Syst, Div Res & Stat, Washington, DC 20551 USA. RP Wachter, JA (reprint author), Univ Penn, Dept Finance, Wharton Sch, 2300 SH-DH, Philadelphia, PA 19104 USA. EM jwachter@wharton.upenn.edu; missaka.n.warusawitharana@frb.gov FU Aronson fellowship through the Rodney L White Center for Financial Research; Johnson fellowship through the Rodney L White Center for Financial Research; Ortiz fellowship through the Rodney L White Center for Financial Research FX This paper previously circulated under the title "What is the chance that the equity premium varies over time? Evidence from predictive regressions." We are grateful to Sean Campbell, Mark Fisher, Michael Johannes, Matthew Pritsker, Robert Stambaugh, Stijn van Nieuwerburgh, Jonathan Wright, Moto Yogo, Hao Zhou and seminar participants at the 2008 meetings of the American Finance Association, the 2007 CIRANO Financial Econometrics Conference, the 2007 Winter Meeting of the Econometric Society, the 2010 Federal Reserve Conference on Financial Markets, the Federal Reserve Board, the 2013 NBER NSF time series conference, the University of California at Berkeley and the Wharton School for helpful comments. We are grateful for financial support from the Aronson+Johnson+Ortiz fellowship through the Rodney L White Center for Financial Research. This manuscript does not reflect the views of the Board of Governors of the Federal Reserve System or its staff. NR 41 TC 0 Z9 0 U1 3 U2 7 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 EI 1872-6895 J9 J ECONOMETRICS JI J. Econom. PD MAY PY 2015 VL 186 IS 1 BP 74 EP 93 DI 10.1016/j.jeconom.2014.05.018 PG 20 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA CF6IY UT WOS:000352661600006 ER PT J AU Clark, TE McCracken, MW AF Clark, Todd E. McCracken, Michael W. TI Nested forecast model comparisons: A new approach to testing equal accuracy SO JOURNAL OF ECONOMETRICS LA English DT Article DE Mean square error; Prediction ID EXCHANGE-RATES; PREDICTIVE ABILITY; MARKET RETURNS; STOCK RETURNS; REAL-TIME; INFLATION; SAMPLE; PREDICTABILITY; OUTPUT; FUNDAMENTALS AB We develop methods for testing whether, in a finite sample, forecasts from nested models are equally accurate. Most prior work has focused on a null of equal accuracy in population basically, whether the additional coefficients of the larger model are zero. Our asymptotic approximation instead treats the coefficients as non-zero but small, such that, in a finite sample, forecasts from the small and large models are expected to be equally accurate. We derive the limiting distributions of tests of equal mean square error, and develop a bootstrap for inference. Simulations show that our procedures have good size and power properties. (C) 2014 Elsevier B.V. All rights reserved. C1 [Clark, Todd E.] Fed Reserve Bank Cleveland, Econ Res Dept, Cleveland, OH 44101 USA. [McCracken, Michael W.] Fed Reserve Bank, Div Res, St Louis, MO 63166 USA. RP Clark, TE (reprint author), Fed Reserve Bank Cleveland, Econ Res Dept, POB 6387, Cleveland, OH 44101 USA. EM todd.clark@clev.frb.org; michael.w.mccracken@stls.frb.org RI mccracken, michael/I-5748-2016 OI mccracken, michael/0000-0002-7004-1233 NR 45 TC 8 Z9 8 U1 4 U2 9 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 EI 1872-6895 J9 J ECONOMETRICS JI J. Econom. PD MAY PY 2015 VL 186 IS 1 BP 160 EP 177 DI 10.1016/j.jeconom.2014.06.016 PG 18 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA CF6IY UT WOS:000352661600011 ER PT J AU Bekaert, G Engstrom, E Ermolov, A AF Bekaert, Geert Engstrom, Eric Ermolov, Andrey TI Bad environments, good environments: A non-Gaussian asymmetric volatility model SO JOURNAL OF ECONOMETRICS LA English DT Article DE Non-Gaussianities; GARCH; Asymmetric volatility; Conditional skewness; Risk management ID MAXIMUM LIKELIHOOD ESTIMATOR; CONDITIONAL HETEROSKEDASTICITY; GARCH(1,1); RETURNS; RISK; INFLATION; NORMALITY; REGIME AB We propose an extension of standard asymmetric volatility models in the generalized autoregressive conditional heteroskedasticity (GARCH) class that admits conditional non-Gaussianities in a tractable fashion. Our "bad environment-good environment" (BEGE) model utilizes two gamma-distributed shocks and generates a conditional shock distribution with time-varying heteroskedasticity, skewness, and kurtosis. The BEGE model features nontrivial news impact curves and closed-form solutions for higher-order moments. In an empirical application to stock returns, the BEGE model outperforms asymmetric GARCH and regime-switching models along several dimensions. Published by Elsevier B.V. C1 [Bekaert, Geert; Ermolov, Andrey] Columbia Univ, New York, NY 10027 USA. [Bekaert, Geert] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Engstrom, Eric] Fed Reserve Syst, Board Governors, Washington, DC USA. RP Engstrom, E (reprint author), Fed Reserve, Washington, DC 20551 USA. EM eric.c.engstrom@frb.gov FU Netspar FX The authors thank Nancy R. Xu, seminar participants at CK GSB (Beijing), the University of Sydney, UNSW (Sydney), SAIF (Shanghai), SMU (Singapore), Temple University, HEC/EPFL in Lausanne, and the 2014 NBER Summer Institute for useful comments. The authors are especially grateful for the suggestions of two anonymous referees, and the editor, Yacine Ait-Sahalia, which greatly improved the paper. Geert Bekaert acknowledges financial support from Netspar. All errors are the sole responsibility of the authors. NR 37 TC 4 Z9 4 U1 1 U2 5 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 EI 1872-6895 J9 J ECONOMETRICS JI J. Econom. PD MAY PY 2015 VL 186 IS 1 BP 258 EP 275 DI 10.1016/j.jeconom.2014.06.021 PG 18 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA CF6IY UT WOS:000352661600016 ER PT J AU Dunn, A Liebman, E Shapiro, AH AF Dunn, Abe Liebman, Eli Shapiro, Adam Hale TI IMPLICATIONS OF UTILIZATION SHIFTS ON MEDICAL-CARE PRICE MEASUREMENT SO HEALTH ECONOMICS LA English DT Article DE medical-care expenditures; price indexes ID INDEXES; DRUGS AB The medical-care sector often experiences changes in medical protocols and technologies that cause shifts in treatments. However, the commonly used medical-care price indexes reported by the Bureau of Labor Statistics hold the mix of medical services fixed. In contrast, episode expenditure indexes, advocated by many health economists, track the full cost of disease treatment, even as treatments shift across service categories (e.g., inpatient to outpatient hospital). In our data, we find that these two conceptually different measures of price growth show similar aggregate rates of inflation over the 2003-2007 period. Although aggregate trends are similar, we observe differences when looking at specific disease categories. Copyright (c) 2014 John Wiley & Sons, Ltd. C1 [Dunn, Abe] US Dept Commerce, Bur Econ Anal, Washington, DC 20230 USA. [Liebman, Eli] Duke Univ, Dept Econ, Durham, NC 27706 USA. [Shapiro, Adam Hale] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Dunn, A (reprint author), US Dept Commerce, Bur Econ Anal, Washington, DC 20230 USA. EM abe.dunn@bea.gov NR 21 TC 0 Z9 0 U1 1 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1057-9230 EI 1099-1050 J9 HEALTH ECON JI Health Econ. PD MAY PY 2015 VL 24 IS 5 BP 539 EP 557 DI 10.1002/hec.3036 PG 19 WC Economics; Health Care Sciences & Services; Health Policy & Services SC Business & Economics; Health Care Sciences & Services GA CF5XT UT WOS:000352631300004 PM 24590759 ER PT J AU Bech, ML Bergstrom, CT Rosvall, M Garratt, RJ AF Bech, Morten L. Bergstrom, Carl T. Rosvall, Martin Garratt, Rodney J. TI Mapping change in the overnight money market SO PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS LA English DT Article DE Network; Money market; Topology; Mapping change; Alluvial diagram ID FEDERAL-FUNDS MARKET; NETWORKS; TOPOLOGY AB We use an information-theoretic approach to describe changes in lending relationships between financial institutions around the time of the Lehman Brothers failure. Unlike previous work that conducts maximum likelihood estimation on undirected networks our analysis distinguishes between borrowers and lenders and looks for broader lending relationships (multi-bank lending cycles) that extend beyond the immediate counter-parties. We detect significant changes in lending patterns following implementation of the Interest on Required and Excess Reserves policy by the Federal Reserve in October 2008. Analysis of micro-scale rates of change in the data suggests these changes were triggered by the collapse of Lehman Brothers a few weeks before. (C) 2015 Elsevier B.V. All rights reserved. C1 [Bech, Morten L.] Bank Int Settlements, Basel, Switzerland. [Bergstrom, Carl T.] Univ Washington, Dept Biol, Seattle, WA 98195 USA. [Bergstrom, Carl T.] Santa Fe Inst, External Fac, Santa Fe, NM USA. [Garratt, Rodney J.] Fed Reserve Bank New York, New York, NY 10045 USA. [Rosvall, Martin] Umea Univ, Dept Phys, Integrated Sci Lab, S-90187 Umea, Sweden. RP Garratt, RJ (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM Rodney.Garratt@ny.frb.org RI Rosvall, Martin/A-9488-2015; OI Rosvall, Martin/0000-0002-7181-9940; Bergstrom, Carl/0000-0002-2070-385X FU Swedish Research Council [2009-5344]; National Science Foundation [SBE-0915005]; US NIGMS MIDAS Center for Communicable Disease Dynamics at Harvard University [1U54GM088588]; NSF [SES-0851357] FX This paper was written while MLB was at the Federal Reserve Bank of New York and RJG was there as part of the Occasional Visitor program. We thank Vijay Narasiman for excellent research assistance and an anonymous reviewer for helpful comments and suggestions that improved the paper. MR was supported by the Swedish Research Council grant 2009-5344. CTB was supported by National Science Foundation grant SBE-0915005 and by US NIGMS MIDAS Center for Communicable Disease Dynamics 1U54GM088588 at Harvard University. RJG was supported by NSF grant SES-0851357. The views expressed in this paper are those of the authors and do not necessarily reflect those of the Federal Reserve Bank of New York, the Federal Reserve System or the Bank for International Settlements. NR 20 TC 2 Z9 2 U1 3 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4371 EI 1873-2119 J9 PHYSICA A JI Physica A PD APR 15 PY 2015 VL 424 BP 44 EP 51 DI 10.1016/j.physa.2014.11.034 PG 8 WC Physics, Multidisciplinary SC Physics GA CC2RL UT WOS:000350192200006 ER PT J AU Anand, K Craig, B Von Peter, G AF Anand, Kartik Craig, Ben Von Peter, Goetz TI Filling in the blanks: network structure and interbank contagion SO QUANTITATIVE FINANCE LA English DT Article DE G21; C63; L14; D85; Entropy; Interbank markets; Intermediation; Networks; Systemic risk ID SYSTEMIC RISK; MARKET AB The network pattern of financial linkages is important in many areas of banking and finance. Yet, bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures. This paper proposes an efficient alternative that combines information-theoretic arguments with economic incentives to produce more realistic interbank networks that preserve important characteristics of the original interbank market. The method loads the most probable links with the largest exposures consistent with the total lending and borrowing of each bank, yielding networks with minimum density. When used in a stress-testing context, the minimum-density solution overestimates contagion, whereas maximum entropy underestimates it. Using the two benchmarks side-by-side defines a useful range that bounds the cost of contagion in the true interbank network when counterparty exposures are unknown. C1 [Anand, Kartik] Bank Canada, Financial Stabil Dept, Ottawa, ON K1A 0G9, Canada. [Craig, Ben] Deutsch Bundesbank, D-60431 Frankfurt, Germany. [Craig, Ben] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. [Von Peter, Goetz] Bank Int Settlements, Basel, Switzerland. RP Von Peter, G (reprint author), Bank Int Settlements, Cent Bahnpl 2, Basel, Switzerland. EM Goetz.von.Peter@bis.org NR 32 TC 5 Z9 5 U1 3 U2 18 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 2-4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXON, ENGLAND SN 1469-7688 EI 1469-7696 J9 QUANT FINANC JI Quant. Financ. PD APR 3 PY 2015 VL 15 IS 4 SI SI BP 625 EP 636 DI 10.1080/14697688.2014.968195 PG 12 WC Business, Finance; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA CD1HE UT WOS:000350824800004 ER PT J AU Chatterjee, S Eyigungor, B AF Chatterjee, Satyajit Eyigungor, Burcu TI A quantitative analysis of the US housing and mortgage markets and the foreclosure crisis SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Leverage; Foreclosures; Mortgage crisis ID DEFAULT; RISK; PROPERTY; ECONOMY; CYCLE AB We present a model of long-duration collateralized debt with risk of default. Applied to the housing market, it can match the homeownership rate, the average foreclosure rate, and the lower tail of the distribution of home-equity ratios across homeowners prior to the recent crisis. We stress the role of favorable tax treatment of housing in matching these facts. We then use the model to account for the foreclosure crisis in terms of three shocks: overbuilding, financial frictions and foreclosure delays. The financial friction shock accounts for much of the house price decline while the foreclosure delays account for bulk of the rise in foreclosures. The scale of the foreclosure crisis might have been smaller if mortgage interest payments were not tax deductible. Temporarily higher inflation might have lowered the foreclosure rate as well. (C) 2015 Elsevier Inc. All rights reserved. C1 [Chatterjee, Satyajit; Eyigungor, Burcu] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Chatterjee, S (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM satyajit.chatterjee@phil.frb.org NR 39 TC 8 Z9 8 U1 0 U2 7 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2015 VL 18 IS 2 BP 165 EP 184 DI 10.1016/j.red.2015.02.004 PG 20 WC Economics SC Business & Economics GA CH6KF UT WOS:000354144800001 ER PT J AU Karaivanov, AK Martin, FM AF Karaivanov, Alexander K. Martin, Fernando M. TI Dynamic optimal insurance and lack of commitment SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Optimal insurance; Lack of commitment; Markov-perfect equilibrium ID ONE-SIDED COMMITMENT; RISK; CONTRACTS; INCOME AB We analyze dynamic risk-sharing contracts between profit-maximizing insurers and risk-averse agents who face idiosyncratic income uncertainty and can self-insure through savings. We study Markov-perfect insurance contracts in which neither party can commit beyond the current period. We show that the limited commitment assumption on the insurer's side is restrictive only when he is endowed with a rate of return advantage and the agent has sufficiently large initial assets. In such a case, the agent's consumption profile is distorted relative to the first-best. In a Markov-perfect equilibrium, the agent's asset holdings determine his outside option each period and are thus an integral part of insurance contracts, unlike when the insurer can commit long-term. (C) 2014 Elsevier Inc. All rights reserved. C1 [Karaivanov, Alexander K.] Simon Fraser Univ, Burnaby, BC V5A 1S6, Canada. [Martin, Fernando M.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Martin, FM (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM akaraiva@sfu.ca; fernando.m.martin@stls.frb.org RI Martin, Fernando/I-5747-2016 OI Martin, Fernando/0000-0001-5045-7998 FU Social Sciences and Humanities Research Council of Canada [410-2009-2512, 435-2013-0698] FX We thank an anonymous referee, the Editor Marco Bassetto, D. Andolfatto, G. Camera, B. Camargo, M. Galenianos, M. Golosov, E. Green, D. Levine, M. Pycia, B. Ravikumar, V. Rios-Rull, R. Rogerson, R. Townsend, and G. Ventura for various helpful comments and conversations. We also thank seminar and conference participants at the UBC-Kobe-SFU Workshop, Penn State, the Vienna Macro Workshop, the Federal Reserve Bank of Cleveland, the Midwest Macro Meeting, the Society for Economic Dynamics Meeting, the Far-Eastern Meeting of the Econometric Society, and the Canadian Macroeconomics Study Group. Karaivanov acknowledges the financial support of the Social Sciences and Humanities Research Council of Canada (Grant nos. 410-2009-2512 and 435-2013-0698). The views expressed in this paper do not necessarily reflect official positions of the Federal Reserve Bank of St. Louis, the Federal Reserve System, or the Board of Governors. NR 23 TC 1 Z9 1 U1 1 U2 3 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2015 VL 18 IS 2 BP 287 EP 305 DI 10.1016/j.red.2014.05.001 PG 19 WC Economics SC Business & Economics GA CH6KF UT WOS:000354144800008 ER PT J AU Hotchkiss, JL Quispe-Agnoli, M Rios-Avila, F AF Hotchkiss, Julie L. Quispe-Agnoli, Myriam Rios-Avila, Fernando TI The Wage Impact of Undocumented Workers: Evidence from Administrative Data SO SOUTHERN ECONOMIC JOURNAL LA English DT Article DE J30; J15 ID LABOR-MARKET; INTERNAL MIGRATION; IMMIGRANT INFLOWS; NATIVE OUTFLOWS; LEVEL; MOBILITY; GROWTH; FIRMS AB Using administrative, individual level, longitudinal data from the state of Georgia, this article finds that rising shares of undocumented workers results in higher earnings for documented workers, but by a small amount. A one percentage point increase in the share of undocumented workers in a documented worker's county/industry results in an average wage boost of 0.44%. Within the firm, a one percentage point increase in the percent of undocumented workers employed by the firm boosts wages by 0.09% (0.11, 0.12, and 0.04 in low, medium, and high skill firms, respectively). Potential explanations for a positive wage impact are discussed. C1 [Hotchkiss, Julie L.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Hotchkiss, Julie L.] Georgia State Univ, Dept Econ, Atlanta, GA 30303 USA. [Quispe-Agnoli, Myriam] Univ Georgia, Dept Econ, Athens, GA 30602 USA. [Rios-Avila, Fernando] Levy Econ Inst, Annandale on Hudson, NY 12504 USA. RP Hotchkiss, JL (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM Julie.L.Hotchkiss@atl.frb.org; mquispe@uga.edu; friosavi@levy.org NR 63 TC 1 Z9 1 U1 2 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0038-4038 EI 2325-8012 J9 SOUTH ECON J JI South. Econ. J. PD APR PY 2015 VL 81 IS 4 BP 874 EP 906 DI 10.1002/soej.12020 PG 33 WC Economics SC Business & Economics GA CH3WV UT WOS:000353962600002 ER PT J AU Orrenius, PM Zavodny, M AF Orrenius, Pia M. Zavodny, Madeline TI The Impact of E-Verify Mandates on Labor Market Outcomes SO SOUTHERN ECONOMIC JOURNAL LA English DT Article DE J15; J31; J61 ID STATE IMMIGRATION LEGISLATION; EMPLOYER SANCTIONS; NATIVE WORKERS; POPULATION; EARNINGS; MOBILITY; US AB A number of states have adopted laws that require employers to use the federal government's E-Verify program to check workers' eligibility to work legally in the United States. Using data from the Current Population Survey, this study examines whether such laws affect labor market outcomes among Mexican immigrants who are likely to be unauthorized. We find evidence that E-Verify mandates reduce average hourly earnings among likely unauthorized male Mexican immigrants while increasing labor force participation among likely unauthorized female Mexican immigrants. Furthermore, the mandates appear to lead to better labor market outcomes among workers likely to compete with unauthorized immigrants. Employment rises among male Mexican immigrants who are naturalized citizens in states that adopt E-Verify mandates, and earnings rise among U.S.-born Hispanic men. There is no evidence of significant effects among U.S.-born non-Hispanic whites. C1 [Orrenius, Pia M.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. [Zavodny, Madeline] Agnes Scott Coll, Dept Econ, Decatur, GA 30030 USA. RP Zavodny, M (reprint author), Agnes Scott Coll, Dept Econ, 141 E Coll Ave, Decatur, GA 30030 USA. EM pia.orrenius@dal.frb.org; mzavodny@agnesscott.edu NR 23 TC 3 Z9 3 U1 1 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0038-4038 EI 2325-8012 J9 SOUTH ECON J JI South. Econ. J. PD APR PY 2015 VL 81 IS 4 BP 947 EP 959 DI 10.1002/soej.12023 PG 13 WC Economics SC Business & Economics GA CH3WV UT WOS:000353962600005 ER PT J AU Gustafson, MT Ivanov, IT Ritter, J AF Gustafson, Matthew T. Ivanov, Ivan T. Ritter, John TI Financial condition and product market cooperation SO JOURNAL OF CORPORATE FINANCE LA English DT Article DE Financial distress; Product market cooperation; Liquidity; Capacity constraints; Airfare hikes ID EMPIRICAL-ANALYSIS; CAPITAL STRUCTURE; AIRLINE MARKETS; IMPERFECTIONS; COMPETITION; INDUSTRY; QUALITY; CONSTRAINTS; BEHAVIOR; MARKUPS AB We provide evidence that existing studies relating financial condition to product market cooperation produce mixed results because of unique features of the industries examined. In particular, all evidence suggesting that poor financial condition decreases cooperation comes from the airline industry during periods of high idle capacity. Using a unique data set of aggregate airfare hikes and a more recent low-idle-capacity period, we find that poor financial condition is positively associated with product market cooperation. Although financially weak airlines appear to value the immediate cash flows of increased cooperation, only liquidity-constrained firms seem willing to incur the cost of cooperative attempts. Published by Elsevier B.V. C1 [Gustafson, Matthew T.] Penn State Univ, Smeal Coll Business, State Coll, PA 16801 USA. [Ivanov, Ivan T.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Ritter, John] Univ Rochester, William E Simon Grad Sch Business Adm, Rochester, NY 14627 USA. RP Ivanov, IT (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM matthew.gustafson@psu.edu; ivan.t.ivanov@frb.gov; john.ritter@simon.rochester.edu NR 26 TC 1 Z9 1 U1 1 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0929-1199 EI 1872-6313 J9 J CORP FINANC JI J. Corp. Financ. PD APR PY 2015 VL 31 BP 1 EP 16 DI 10.1016/j.jcorpfin.2014.12.014 PG 16 WC Business, Finance SC Business & Economics GA CG8YU UT WOS:000353602400001 ER PT J AU Jacobson, MM Tallman, EW AF Jacobson, Margaret M. Tallman, Ellis W. TI Liquidity provision during the crisis of 1914: Private and publicsourcesMargaret SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Liquidity provision; Lender of last resort; Closure of stock exchange; Financial crisis; Clearing houses; Aldrich-Vreeland emergency currency ID FINANCIAL CRISIS; FEDERAL-RESERVE; CENTRAL BANKING; UNITED-STATES AB Caught between the end of the National Banking Era and the beginning of the Federal Reserve System, the crisis of 1914 provides an example of a banking panic avoided. We investigate how this outcome was achieved by examining data on the issues of Aldrich-Vreeland emergency currency and clearing house loan certificates to New York City institutions that identify the borrower and the quantity requested for each type of temporary liquidity measure. The extensive provision of temporary credit to a wide array of financial intermediaries was, in our opinion, essential to the successful alleviation of financial distress in 1914. Empirical results indicate an important role for clearing house loan certificates that is distinct from the influence of Aldrich-Vreeland emergency currency issues. (C) 2014 Elsevier B.V. All rights reserved. C1 [Jacobson, Margaret M.; Tallman, Ellis W.] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Tallman, Ellis W.] Oberlin Coll, Oberlin, OH 44074 USA. RP Tallman, EW (reprint author), Oberlin Coll, Rice Hall 233,10 North Prof St, Oberlin, OH 44074 USA. EM marmjaco@indiana.edu; etallman@oberlin.edu NR 40 TC 1 Z9 1 U1 3 U2 4 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 1572-3089 EI 1878-0962 J9 J FINANC STABIL JI J. Financ. Stab. PD APR PY 2015 VL 17 SI SI BP 22 EP 34 DI 10.1016/j.jfs.2014.07.004 PG 13 WC Business, Finance; Economics SC Business & Economics GA CH1RN UT WOS:000353799200004 ER PT J AU Eusepi, S Preston, B AF Eusepi, Stefano Preston, Bruce TI Consumption heterogeneity, employment dynamics and macroeconomic co-movement SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Business cycles; Investment shocks; Heterogeneity; Labor market dynamics ID BUSINESS-CYCLE FLUCTUATIONS; EQUILIBRIUM UNEMPLOYMENT; NONSEPARABLE PREFERENCES; CYCLICAL BEHAVIOR; INDIVISIBLE LABOR; INVESTMENT; SHOCKS; TIME; VACANCIES; GROWTH AB Real-business-cycle models rely on total factor productivity (TFP) shocks to explain the observed co-movement among consumption, investment and hours. However an emerging body of evidence identifies "investment shocks" as important drivers of business cycles. This paper shows that a neoclassical model consistent with observed heterogeneity in labor supply and consumption across employed and non-employed can generate co-movement in response non-TFP shocks. Estimation reveals fluctuations in the marginal efficiency of investment that explain the bulk of business-cycle variance in consumption, investment and hours. A corollary of the model's empirical success is the labor wedge that is not important at business-cycle frequencies. (C) 2015 Published by Elsevier B.V. C1 [Eusepi, Stefano] Fed Reserve Bank New York, New York, NY 10045 USA. [Preston, Bruce] Monash Univ, Caulfield, Vic 3145, Australia. RP Eusepi, S (reprint author), Fed Reserve Bank New York, 33 Liberty Sr, New York, NY 10045 USA. EM stefano.eusepi@ny.frb.org NR 56 TC 0 Z9 0 U1 3 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2015 VL 71 BP 13 EP 32 DI 10.1016/j.jmoneco.2014.08.002 PG 20 WC Business, Finance; Economics SC Business & Economics GA CG9DA UT WOS:000353613400002 ER PT J AU Coleman, N Feler, L AF Coleman, Nicholas Feler, Leo TI Bank ownership, lending, and local economic performance during the 2008-2009 financial crisis SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Credit; Financial crises; State-owned banks; Local economic activity ID GOVERNMENT OWNERSHIP; GROWTH; DEPENDENCE; ESTIMATOR; MARKET; MATTER; BRAZIL; FIRMS AB Although government banks are frequently associated with political capture and resource misallocation, they may be well-positioned during times of crisis to provide counter-cyclical support. Following the collapse of Lehman Brothers in September 2008, Brazil's government banks substantially increased lending. Localities in Brazil with a high share of government banks received more loans and experienced better employment outcomes relative to localities with a low share of government banks. While increased government bank lending mitigated an economic downturn, we find that this lending was politically targeted, inefficiently allocated, and reduced productivity growth. (C) 2014 Elsevier B.V. All rights reserved. C1 [Coleman, Nicholas] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. [Feler, Leo] Johns Hopkins Univ, Sch Adv Int Studies, Washington, DC 20036 USA. RP Feler, L (reprint author), Johns Hopkins Univ, Sch Adv Int Studies, 1717 Massachusetts Ave NW, Washington, DC 20036 USA. EM nicholas.s.coleman@frb.gov; lfeler@jhu.edu NR 44 TC 3 Z9 4 U1 4 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2015 VL 71 BP 50 EP 66 DI 10.1016/j.jmoneco.2014.11.001 PG 17 WC Business, Finance; Economics SC Business & Economics GA CG9DA UT WOS:000353613400004 ER PT J AU Stavins, J Shy, O AF Stavins, Joanna Shy, Oz TI Merchant steering of consumer payment choice: Evidence from a 2012 diary survey SO JOURNAL OF BEHAVIORAL AND EXPERIMENTAL ECONOMICS LA English DT Article DE Payment choice; Social norms; Merchant behavior; Consumer behavior; Discounting and surcharging ID RETAIL CUSTOMERS; CASH DISCOUNTS AB This paper seeks to discover whether U.S. merchants are using their recently granted freedom to offer price discounts and other incentives to steer customers to pay with methods that are less costly to merchants. Using evidence of merchant steering based on the 2012 Diary of Consumer Payment Choice (DCPC), we find that only a very small fraction of transactions received a cash or debit card discount, and even fewer were subjected to a credit card surcharge. We attribute this finding in part to the merchants' fear of alienating consumers, who may not view the steering attempts as an "acceptable norm." Transactions at gasoline stations were more likely to receive either cash discounts or credit card surcharges than transactions in other sectors. Transactions over $20 were significantly more likely to receive a cash discount. (C) 2015 Elsevier Inc. All rights reserved. C1 [Stavins, Joanna; Shy, Oz] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Stavins, J (reprint author), Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. EM joanna.stavins@bos.frb.org; oz.shy@bos.frb.org NR 23 TC 2 Z9 2 U1 0 U2 5 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 2214-8043 EI 2214-8051 J9 J BEHAV EXP ECON JI J. Behav. Exp. Econ. PD APR PY 2015 VL 55 BP 1 EP 9 DI 10.1016/j.socec.2014.12.006 PG 9 WC Economics SC Business & Economics GA CG1AR UT WOS:000353005900001 ER PT J AU Wiswall, M Zafar, B AF Wiswall, Matthew Zafar, Basit TI Determinants of College Major Choice: Identification using an Information Experiment SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE College majors; Information; Subjective expectations; Uncertainty ID EXPECTATIONS; EARNINGS; MARKET; EDUCATION; DEMAND; INVESTMENTS; OUTCOMES; RETURNS; DROPOUT; ABILITY AB This article studies the determinants of college major choice using an experimentally generated panel of beliefs, obtained by providing students with information on the true population distribution of various major-specific characteristics. Students logically revise their beliefs in response to the information, and their subjective beliefs about future major choice are associated with beliefs about their own earnings and ability. We estimate a rich model of college major choice using the panel of beliefs data. While expected earnings and perceived ability are a significant determinant of major choice, heterogeneous tastes are the dominant factor in the choice of major. Analyses that ignore the correlation in tastes with earnings expectations inflate the role of earnings in college major choices. We conclude by computing the welfare gains from the information experiment and find positive average welfare gains. C1 [Wiswall, Matthew] Arizona State Univ, WP Carey Sch Business, Dept Econ, Tempe, AZ 85287 USA. [Zafar, Basit] Fed Reserve Bank New York, Res & Stat, New York, NY USA. RP Wiswall, M (reprint author), Arizona State Univ, WP Carey Sch Business, Dept Econ, Tempe, AZ 85287 USA. NR 46 TC 23 Z9 23 U1 6 U2 21 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 EI 1467-937X J9 REV ECON STUD JI Rev. Econ. Stud. PD APR PY 2015 VL 82 IS 2 BP 791 EP 824 DI 10.1093/restud/rdu044 PG 34 WC Economics SC Business & Economics GA CG8GI UT WOS:000353544900012 ER PT J AU Cerutti, E Hale, G Minoiu, C AF Cerutti, Eugenio Hale, Galina Minoiu, Camelia TI Financial crises and the composition of cross-border lending SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Cross-border banking; Syndicated loans; Global financial crisis; BIS international banking statistics; Dealogic Loan Analytics ID PANEL-DATA MODELS; BANK RELATIONSHIPS; LOANS; GLOBALIZATION; MARKET; FLOWS; SECURITIZATION; DETERMINANTS; TRANSMISSION; REPUTATION AB We examine the composition and drivers of cross-border bank lending between 1995 and 2012, distinguishing between syndicated and non-syndicated loans. We show that on-balance sheet syndicated loan exposures, which account for almost one third of total cross-border loan exposures, increased during the global financial crisis due to large drawdowns on credit lines extended before the crisis. Our empirical analysis of the drivers of crossborder loan exposures in a large bilateral dataset leads to three main results. First, banks with lower levels of capital favor syndicated over other kinds of cross-border loans. Second, borrower country characteristics such as level of development, economic size, and capital account openness, are less important in driving syndicated than non-syndicated loan activity, suggesting a diversification motive for syndication. Third, information asymmetries between lender and borrower countries became more binding for both types of cross-border lending activity during the recent crisis. (C) 2014 International Monetary Fund. Published by Elsevier Ltd. All rights reserved. C1 [Cerutti, Eugenio; Minoiu, Camelia] Int Monetary Fund, Res Dept, Washington, DC 20431 USA. [Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Minoiu, C (reprint author), Int Monetary Fund, Res Dept, 700 19th St NW, Washington, DC 20431 USA. EM ECerutti@imf.org; galina.b.hale@sf.frb.org; CMinoiu@imf.org NR 61 TC 4 Z9 4 U1 1 U2 9 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 EI 1873-0639 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD APR PY 2015 VL 52 SI SI BP 60 EP 81 DI 10.1016/j.jimonfin.2014.11.013 PG 22 WC Business, Finance SC Business & Economics GA CF9XU UT WOS:000352921900005 ER PT J AU Kollmann, R AF Kollmann, Robert TI Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences SO OPEN ECONOMIES REVIEW LA English DT Article DE Exchange rate; Long-run risk; Recursive preferences; Complete financial markets; Financial frictions; International risk sharing ID ASSET MARKETS; CONSUMPTION; CYCLES; PUZZLE AB Standard macro models fail to explain why real exchange rates are volatile and disconnected from macro aggregates. Recent research argues that models with persistent growth rate shocks and recursive preferences can solve that puzzle. I show that this result is highly sensitive to the structure of financial markets. When just a bond is traded internationally, then long-run risk generates insufficient exchange rate volatility. A long-run risk model with recursive preferences may generate realistic exchange rate volatility, if all agents efficiently share their consumption risk by trading in complete financial markets; however, this entails massive international wealth transfers, and excessive swings in net foreign asset positions. By contrast, a long-run risk, recursive-preferences model in which only a fraction of households trades in complete markets, while the remaining households lead hand-to-mouth lives, can generate realistic exchange rate and external balance volatility. C1 [Kollmann, Robert] Univ Libre Bruxelles, ECARES, B-1050 Brussels, Belgium. [Kollmann, Robert] CEPR, London EC1V 3PZ, England. [Kollmann, Robert] Univ Paris Est, F-94010 Creteil, France. [Kollmann, Robert] Fed Reserve Bank Dallas, Globalizat & Monetary Policy Inst, Dallas, TX 75201 USA. [Kollmann, Robert] Australian Natl Univ, CAMA, Canberra, ACT 0200, Australia. RP Kollmann, R (reprint author), Univ Libre Bruxelles, ECARES, CP 114,50 Av Franklin Roosevelt, B-1050 Brussels, Belgium. EM robert_kollmann@yahoo.com NR 36 TC 4 Z9 4 U1 1 U2 4 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0923-7992 EI 1573-708X J9 OPEN ECON REV JI Open Econ. Rev. PD APR PY 2015 VL 26 IS 2 BP 175 EP 196 DI 10.1007/s11079-014-9337-5 PG 22 WC Economics SC Business & Economics GA CF3XN UT WOS:000352482500001 ER PT J AU Fuller, DL Ravikumar, B Zhang, YZ AF Fuller, David L. Ravikumar, B. Zhang, Yuzhe TI Unemployment Insurance Fraud and Optimal Monitoring SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID MORAL HAZARD; LIQUIDITY; MODEL AB An important incentive problem for the design of unemployment insurance is the fraudulent collection of unemployment benefits by workers who are gainfully employed. We show how to efficiently use a combination of tax/subsidy and monitoring to prevent such fraud. The optimal policy monitors the unemployed at fixed intervals. Employment tax is nonmonotonic: it increases between verifications but decreases after a verification. Unemployment benefits are relatively flat between verifications but decrease sharply after a verification. Our quantitative analysis suggests that the optimal monitoring cost is 60 percent of the cost in the current US system. C1 [Fuller, David L.] Univ Wisconsin, Dept Econ, Oshkosh, WI 54901 USA. [Ravikumar, B.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Zhang, Yuzhe] Texas A&M Univ, Dept Econ, College Stn, TX 77843 USA. RP Fuller, DL (reprint author), Univ Wisconsin, Dept Econ, 800 Algoma Blvd, Oshkosh, WI 54901 USA. EM fullerdl@gmail.com; b.ravikumar@wustl.edu; yuzhe-zhang@econmail.tamu.edu RI Ravikumar, B./K-6862-2016 OI Ravikumar, B./0000-0001-6991-4677 NR 22 TC 0 Z9 0 U1 1 U2 5 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD APR PY 2015 VL 7 IS 2 BP 249 EP 290 DI 10.1257/mac.20130255 PG 42 WC Economics SC Business & Economics GA CF0ZJ UT WOS:000352273000009 ER PT J AU Rajan, R Ramcharan, R AF Rajan, Raghuram Ramcharan, Rodney TI The Anatomy of a Credit Crisis: The Boom and Bust in Farm Land Prices in the United States in the 1920s SO AMERICAN ECONOMIC REVIEW LA English DT Article ID DEPOSIT INSURANCE; FINANCIAL DEVELOPMENT; POLITICAL-ECONOMY; MARKET; BANKING; DEPRESSION; POLICIES; RISK AB Does credit availability exacerbate asset price inflation? Are there long-run consequences? During the farm land price boom and bust before the Great Depression, we find that credit availability directly inflated land prices. Credit also amplified the relationship between positive fundamentals and land prices, leading to greater indebtedness. When fundamentals soured, areas with higher credit availability suffered a greater fall in land prices and had more bank failures. Land prices and credit availability also remained disproportionately low for decades in these areas, suggesting that leverage might render temporary credit-induced booms and busts persistent. We draw lessons for regulatory policy. C1 [Rajan, Raghuram] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. [Ramcharan, Rodney] Fed Reserve Board, Washington, DC 20551 USA. RP Rajan, R (reprint author), Univ Chicago, Booth Sch Business, 5807 S Woodlawn Ave, Chicago, IL 60637 USA. EM Rajan@ChicagoBooth.edu; rodney.ramcharan@frb.gov FU Stigler Center for the Study of the State and the Economy; Initiative on Global Markets; National Science Foundation FX We thank Eric Hardy, Lieu Hazelwood, Fang-Yu Liang, Maxim Massenkoff, and Michelle Welch for excellent research assistance, and for comments from participants in the Basel RTF Conference, Cornell, Chicago Finance lunch, FDIC, Federal Reserve Board, Harvard PIEP conference, IMF, INSEAD, the Paris School of Economics, and the NBER Macro Workshop. Rajan benefited from grants from the Stigler Center for the Study of the State and the Economy, from the Initiative on Global Markets, and from the National Science Foundation. Thanks to Craig Brown, Raquel Fernandez, Paul Kupiec, Amit Seru, and Amir Sufi for helpful comments, and to Ravi, all those years ago. The views in this paper do not necessarily reflect those of the Federal Reserve System or the Reserve Bank of India. NR 75 TC 4 Z9 4 U1 1 U2 14 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD APR PY 2015 VL 105 IS 4 BP 1439 EP 1477 DI 10.1257/aer.20120525 PG 39 WC Economics SC Business & Economics GA CE5KL UT WOS:000351872500004 ER PT J AU Herbst, E AF Herbst, Edward TI Using the "Chandrasekhar Recursions" for Likelihood Evaluation of DSGE Models SO COMPUTATIONAL ECONOMICS LA English DT Article DE Kalman Filter; Likelihood estimation; Computational techniques ID NEWS AB In likelihood-based estimation of linearized Dynamic Stochastic General Equilibrium (DSGE) models, the evaluation of the Kalman Filter dominates the running time of the entire algorithm. In this paper, we revisit a set of simple recursions known as the "Chandrasekhar Recursions" developed by Morf (Fast Algorithms for Multivariate Systems, Ph.D. thesis, Stanford University, 1974) and Morf et al. (IEEE Trans Autom Control 19:315-323, 1974) for evaluating the likelihood of a Linear Gaussian State Space System. We show that DSGE models are ideally suited for the use of these recursions, which work best when the number of states is much greater than the number of observables. In several examples, we show that there are substantial benefits to using the recursions, with likelihood evaluation up to five times faster. This gain is especially pronounced in light of the trivial implementation costs-no model modification is required. Moreover, the algorithm is complementary with other approaches. C1 Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Herbst, E (reprint author), Board Governors Fed Reserve Syst, 20th St & Consitut Ave NW, Washington, DC 20551 USA. EM edward.p.herbst@frb.gov NR 12 TC 0 Z9 0 U1 0 U2 1 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0927-7099 EI 1572-9974 J9 COMPUT ECON JI Comput. Econ. PD APR PY 2015 VL 45 IS 4 BP 693 EP 705 DI 10.1007/s10614-014-9430-2 PG 13 WC Economics; Management; Mathematics, Interdisciplinary Applications SC Business & Economics; Mathematics GA CE5FQ UT WOS:000351856800009 ER PT J AU Uysal, P Yotov, YV Zylkin, T AF Uysal, Pinar Yotov, Yoto V. Zylkin, Thomas TI Firm heterogeneity and trade-induced layoffs: An empirical investigation SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Heterogeneous firms; Trade liberalization; Trade-induced layoffs ID UNEMPLOYMENT; LIBERALIZATION; PRODUCTIVITY; PROTECTION; PLANTS AB We use a novel data set with verified observations of trade-induced layoffs by U.S. firms to study the interaction between firm productivity and trade liberalization as key determinants of firm-level job destruction due to trade. We find that patterns of trade-induced layoffs are broadly consistent with the predictions for firm-level employment generated by the Melitz (2003) heterogeneous firms theory - the number of trade-induced layoffs increases with firm productivity for non-exporting firms but decreases with firm productivity for exporting firms. The fact that exporting firms incur trade-induced layoffs at all invites a refined interpretation of the theory. Our findings suggest that exporting firms may lay off some workers who work in production for their shrinking domestic segments, while also engaging in some within-firm reallocation of workers. We also find that, even after controlling for productivity and export status, larger firms lay off more workers due to trade competition. (C) 2015 Elsevier B.V. All rights reserved. C1 [Yotov, Yoto V.; Zylkin, Thomas] Drexel Univ, Sch Econ, Philadelphia, PA 19104 USA. [Yotov, Yoto V.] Bulgarian Acad Sci, Econ Res Inst, Sofia, Bulgaria. [Uysal, Pinar] Fed Reserve Bank Richmond, Supervis Regulat & Credit Dept, Baltimore, MD 21201 USA. RP Yotov, YV (reprint author), Drexel Univ, Sch Econ, Philadelphia, PA 19104 USA. EM pinar.uysal@rich.frb.org; yotov@drexel.edu; tomzylkin@drexel.edu NR 34 TC 2 Z9 2 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD APR PY 2015 VL 75 BP 80 EP 97 DI 10.1016/j.euroecorev.2015.01.006 PG 18 WC Economics SC Business & Economics GA CE7QX UT WOS:000352038000005 ER PT J AU Craig, BR Fecht, F Tumer-Alkan, G AF Craig, Ben R. Fecht, Falko Tumer-Alkan, Gunseli TI The role of interbank relationships and liquidity needs SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Interbank markets; Liquidity; Relationship lending; Networks ID FEDERAL-FUNDS MARKET; EUROPEAN-CENTRAL-BANK; LENDING RELATIONSHIPS; SYSTEMIC RISK; CONTAGION; AUCTIONS; COMPETITION; EXPOSURES; MULTIPLE; SECTOR AB In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the concentration of credit relationships and the position of a bank in the network topology of the system influence the bank's ability to meet liquidity demand. We use quarterly data of bilateral interbank credit exposure among all German banks from 2000 to 2008 to measure interbank relationships and network characteristics. We match these data with bids placed by individual banks in the European Central Bank's (ECB) weekly repo auctions. The bids measure each bank's willingness to pay for liquidity, since they had variable rate tenders with a "pay-your-bid" price. Controlling for bank characteristics and the daily fulfillment of reserve requirements, we find that banks with a more diversified borrowing structure in the interbank market bid significantly less aggressively and pay a lower price for liquidity in the ECB's main refinancing operations. These findings suggest that incentives to diversify banks' liquidity risk dominate the benefits of private information. When the network position of the bank is taken into account, we find that central lenders in the money market bid more aggressively in auctions. (C) 2015 Elsevier B.V. All rights reserved. C1 [Craig, Ben R.] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Fecht, Falko] Frankfurt Sch Finance & Management, Frankfurt, Germany. [Tumer-Alkan, Gunseli] Vrije Univ Amsterdam, Amsterdam, Netherlands. [Tumer-Alkan, Gunseli] Duisenberg Sch Finance, Amsterdam, Netherlands. RP Tumer-Alkan, G (reprint author), Vrije Univ Amsterdam, Amsterdam, Netherlands. OI Tumer Alkan, G./0000-0003-4870-2653 NR 42 TC 3 Z9 3 U1 0 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD APR PY 2015 VL 53 BP 99 EP 111 DI 10.1016/j.jbankfin.2014.12.022 PG 13 WC Business, Finance; Economics SC Business & Economics GA CE4JT UT WOS:000351797600007 ER PT J AU Berentsen, A Waller, C AF Berentsen, Aleksander Waller, Christopher TI OPTIMAL STABILIZATION POLICY WITH SEARCH EXTERNALITIES SO MACROECONOMIC DYNAMICS LA English DT Article DE Monetary Policy; Optimal Stabilization Policy; Search Equilibrium; Microfoundation of Money ID MONETARY-POLICY; MONEY; INFLATION; MODELS AB We study optimal monetary stabilization policy in a DSGE model with microfounded money demand. A search externality creates "congestion," which causes aggregate output to be inefficient. Because of the informational frictions that give rise to money, households are unable to insure themselves perfectly against aggregate shocks. This gives rise to a welfare-improving role for monetary policy that works by adjusting the nominal interest rate in response to these shocks. Optimal policy is determined by choosing a set of state-contingent nominal interest rates to maximize the expected lifetime utility of the agents subject to the constraints of being an equilibrium. C1 [Berentsen, Aleksander] Univ Basel, CH-4002 Basel, Switzerland. [Berentsen, Aleksander; Waller, Christopher] Fed Reserve Bank, St Louis, MO USA. [Waller, Christopher] Univ Notre Dame, Notre Dame, IN 46556 USA. RP Berentsen, A (reprint author), Univ Basel, Dept Econ, Peter Merian Weg 6, CH-4002 Basel, Switzerland. EM aleksander.berentsen@unibas.ch RI Waller, Christopher/I-5755-2016 OI Waller, Christopher/0000-0003-2406-9910 FU Federal Reserve Bank of Cleveland; Federal Reserve Bank of Minneapolis; Federal Reserve Bank of St. Louis; CES in Munich; Kellogg Institute at the University of Notre Dame; Bank for International Settlements FX The views expressed are those of the individual authors and do not necessarily reflect official positions of the Federal Reserve Bank of St. Louis, the Federal Reserve System, or the Board of Governors. The paper has benefitted from comments by participants at several seminar and conference presentations-in particular Sanjay Chugh, Allen Head, and Huberto Ennis. We thank the Federal Reserve Banks of Cleveland, Minneapolis, and St. Louis, CES in Munich, and the Kellogg Institute at the University of Notre Dame for research support. Berentsen acknowledges support by the Bank for International Settlements (the usual disclaimer applies). NR 23 TC 2 Z9 2 U1 0 U2 5 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 EI 1469-8056 J9 MACROECON DYN JI Macroecon. Dyn. PD APR PY 2015 VL 19 IS 3 BP 669 EP 700 DI 10.1017/S1365100513000564 PG 32 WC Economics SC Business & Economics GA CE6JY UT WOS:000351943900007 ER PT J AU Abdymomunov, A Kang, KH AF Abdymomunov, Azamat Kang, Kyu Ho TI The effects of monetary policy regime shifts on the term structure of interest rates SO STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS LA English DT Article DE affine no-arbitrage model; Markov switching process; term structure of interest rates ID YIELD CURVE; RATIONAL-EXPECTATIONS; US; MODEL; INFLATION; VARIABLES AB We investigate how the entire term structure of interest rates is influenced by changes in monetary policy regimes. To do so, we develop and estimate an arbitrage-free dynamic term-structure model which accounts for regime shifts in monetary policy and price of risk. Our results for US data from 1985 through 2008 indicate that (i) the Federal Reserve's reaction to inflation has changed over time, switching between "active" and "passive" monetary policy regimes; (ii) on average, the term spread in the "active" regime was wider than in the "passive" regime; and (iii) the yields in the "active" regime were considerably more volatile than in the "passive" regime. The wider term spread in the "active" regime reflects higher term premia associated with a more sensitive response of the short-term interest rate to inflation. Additionally, our analysis suggests that the model fit improves substantially when we account for regime switching in monetary policy and price of risk. C1 [Abdymomunov, Azamat] Fed Reserve Bank Richmond, Charlotte, NC 28202 USA. [Kang, Kyu Ho] Korea Univ, Dept Econ, Seoul 136701, South Korea. RP Abdymomunov, A (reprint author), Fed Reserve Bank Richmond, 530 East Trade St, Charlotte, NC 28202 USA. EM azamat.abdymomunov@rich.frb.org NR 45 TC 0 Z9 0 U1 1 U2 15 PU WALTER DE GRUYTER GMBH PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1081-1826 EI 1558-3708 J9 STUD NONLINEAR DYN E JI Stud. Nonlinear Dyn. Econom. PD APR PY 2015 VL 19 IS 2 BP 183 EP 207 DI 10.1515/snde-2013-0031 PG 25 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA CE2ZT UT WOS:000351693300004 ER PT J AU Bracha, A Gneezy, U Loewenstein, G AF Bracha, Anat Gneezy, Uri Loewenstein, George TI Relative Pay and Labor Supply SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID PERFORMANCE; PREFERENCES; INEQUALITY; DEMAND AB We examine the impact of relative wages on labor supply in a laboratory experiment. We test the hypothesis that, ceteris paribus, making a given wage high (low) relative to other wage levels will lead to an increase (decrease) in labor supply. We find that labor supply does respond significantly to relative pay, and in the expected direction. However, when a strong enough reason for the relative low pay is given, this difference disappears. C1 [Bracha, Anat] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Gneezy, Uri] Univ Calif San Diego, San Diego, CA 92103 USA. [Gneezy, Uri] Univ Amsterdam, NL-1012 WX Amsterdam, Netherlands. [Loewenstein, George] Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. RP Bracha, A (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. EM anat.bracha@bos.frb.org NR 30 TC 2 Z9 2 U1 1 U2 5 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0734-306X EI 1537-5307 J9 J LABOR ECON JI J. Labor Econ. PD APR PY 2015 VL 33 IS 2 BP 297 EP 315 DI 10.1086/678494 PG 19 WC Economics; Industrial Relations & Labor SC Business & Economics GA CD0FH UT WOS:000350745500002 ER PT J AU Goodman, AC Goodman, J Goodman, L Goodman, S AF Goodman, Allen C. Goodman, Joshua Goodman, Lucas Goodman, Sarena TI A FEW GOODMEN: SURNAME-SHARING ECONOMIST COAUTHORS SO ECONOMIC INQUIRY LA English DT Article ID EQUILIBRIUM; SUCCESS; IMPACT AB We explore the phenomenon of coauthorship by economists who share a surname. Prior research has included at most three economist coauthors who share a surname. Ours is the first paper to have four economist coauthors who share a surname, as well as the first where such coauthors are unrelated by marriage, blood, or current campus. (JEL Y9) C1 [Goodman, Allen C.] Wayne State Univ, Dept Econ, Huntington Woods, MI 48070 USA. [Goodman, Joshua] Harvard Univ, Kennedy Sch Govt, Cambridge, MA 02138 USA. [Goodman, Lucas] Univ Maryland, Dept Econ, College Pk, MD 20742 USA. [Goodman, Sarena] Fed Reserve Board Governors, Div Res & Stat, Consumer Finance Sect, Washington, DC 20551 USA. RP Goodman, AC (reprint author), Wayne State Univ, Dept Econ, Huntington Woods, MI 48070 USA. EM allen.goodman@wayne.edu; joshua_goodman@hks.harvard.edu; goodman@econ.umd.edu; sarena.f.goodman@frb.gov NR 31 TC 0 Z9 0 U1 2 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 EI 1465-7295 J9 ECON INQ JI Econ. Inq. PD APR PY 2015 VL 53 IS 2 BP 1392 EP 1395 DI 10.1111/ecin.12167 PG 4 WC Economics SC Business & Economics GA CB2CX UT WOS:000349435400035 ER PT J AU Evans, C Fisher, J Gourio, F Krane, S AF Evans, Charles Fisher, Jonas Gourio, Francois Krane, Spencer TI Risk Management for Monetary Policy Near the Zero Lower Bound SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article ID PHILLIPS-CURVE; BUSINESS-CYCLE; TAYLOR RULES; NATURAL RATE; US; INFLATION; UNCERTAINTY; MODELS; NONLINEARITY; PREFERENCES AB With projections showing inflation heading back toward target and the labor market continuing to improve, the Federal Reserve has begun to contemplate an increase in the federal funds rate. There is, however, substantial uncertainty around these projections. How should this uncertainty affect monetary policy? In many standard models uncertainty has no effect. In this paper, we demonstrate that the zero lower bound (ZLB) on nominal interest rates implies that the central bank should adopt a looser policy when there is uncertainty. In the current context this result implies that a delayed liftoff is optimal. We demonstrate this result theoretically through two canonical macroeconomic models. Using numerical simulations of our models calibrated to the current environment, we find that optimal policy calls for a delay in liftoff of two to three quarters relative to a policy that does not take into account uncertainty about policy being constrained by the ZLB. We then use a narrative study of Federal Reserve communications and estimated policy reaction functions to show that risk management is a long-standing practice in the conduct of monetary policy. C1 [Evans, Charles; Fisher, Jonas; Gourio, Francois; Krane, Spencer] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Evans, C (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. NR 87 TC 0 Z9 0 U1 1 U2 2 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA SN 0007-2303 EI 1533-4465 J9 BROOKINGS PAP ECO AC JI Brook. Pap. Econ. Act. PD SPR PY 2015 BP 141 EP 219 PG 79 WC Economics SC Business & Economics GA DC8HK UT WOS:000369460300003 ER PT J AU Balla, E Rose, MJ AF Balla, Eliana Rose, Morgan J. TI Loan loss provisions, accounting constraints, and bank ownership structure SO JOURNAL OF ECONOMICS AND BUSINESS LA English DT Article DE Loan loss provisioning; Earnings management; Ownership structure; Privately held banks; Financial institutions; Banking regulation ID EARNINGS MANAGEMENT; MODEL AB We examine bank-level changes in the relationship between earnings and loan loss provisioning, a measure of earnings management, following the tightening of accounting constraints associated with the SEC's 1998 SunTrust Bank decision. By exploiting both temporal variation in the regulatory environment and cross-sectional variation in bank ownership structure, we find evidence that shortly after the SEC action, the relationship between earnings and provisions weakened for publicly-held banks but not for privatelyheld banks, consistent with reduced earnings management among publicly-held banks only. This difference does not persist over time, with evidence indicating a weakening of the relationship for both ownership types. Published by Elsevier Inc. C1 [Balla, Eliana] Fed Reserve Bank Richmond, Baltimore, MD 21201 USA. [Rose, Morgan J.] UMBC, Baltimore, MD 21250 USA. [Rose, Morgan J.] OCC, Baltimore, MD 21250 USA. RP Rose, MJ (reprint author), UMBC, 1000 Hilltop Circle, Baltimore, MD 21250 USA. EM mrose@umbc.edu NR 39 TC 0 Z9 0 U1 2 U2 6 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 0148-6195 J9 J ECON BUS JI J. Econ. Bus. PD MAR-APR PY 2015 VL 78 BP 92 EP 117 DI 10.1016/j.jeconbus.2014.12.003 PG 26 WC Business, Finance SC Business & Economics GA CW1XL UT WOS:000364785200005 ER PT J AU Jutte, DP Miller, JL Erickson, DJ AF Jutte, Douglas P. Miller, Jennifer L. Erickson, David J. TI Neighborhood Adversity, Child Health, and the Role for Community Development SO PEDIATRICS LA English DT Article DE allostatic load; community; community development; intervention; neighborhood; public health; social determinants of health; toxic stress ID ALLOSTATIC LOAD; SOCIOECONOMIC-STATUS; AFRICAN-AMERICAN; IMPROVE HEALTH; RISK-FACTORS; POVERTY; FAMILY; DISADVANTAGE; ADOLESCENTS; PEDIATRICS AB Despite medical advances, childhood health and well-being have not been broadly achieved due to rising chronic diseases and conditions related to child poverty. Family and neighborhood living conditions can have lasting consequences for health, with community adversity affecting health outcomes in significant part through stress response and increased allostatic load. Exposure to this "toxic stress" influences gene expression and brain development with direct and indirect negative consequences for health. Ensuring healthy child development requires improving conditions in distressed, high-poverty neighborhoods by reducing children's exposure to neighborhood stressors and supporting good family and caregiver functioning. The community development industry invests more than $200 billion annually in low-income neighborhoods, with the goal of improving living conditions for residents. The most impactful investments have transformed neighborhoods by integrating across sectors to address both the built environment and the social and service environment. By addressing many facets of the social determinants of health at once, these efforts suggest substantial results for children, but health outcomes generally have not been considered or evaluated. Increased partnership between the health sector and community development can bring health outcomes explicitly into focus for community development investments, help optimize intervention strategies for health, and provide natural experiments to build the evidence base for holistic interventions for disadvantaged children. The problems and potential solutions are beyond the scope of practicing pediatricians, but the community development sector stands ready to engage in shared efforts to improve the health and development of our most at-risk children. C1 [Jutte, Douglas P.] Univ Calif Berkeley, Sch Publ Hlth, UC Berkeley UCSF Joint Med Program, Berkeley, CA 94720 USA. [Jutte, Douglas P.; Miller, Jennifer L.] Build Hlth Places Network, San Francisco, CA 94102 USA. [Jutte, Douglas P.; Miller, Jennifer L.] Inst Publ Hlth, Oakland, CA USA. [Erickson, David J.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Jutte, DP (reprint author), Build Hlth Places Network, 870 Market St,Suite 1255, San Francisco, CA 94102 USA. EM dpjutte@berkeley.edu FU Robert Wood Johnson Foundation FX Drs Jutte and Miller were supported by funding from the Robert Wood Johnson Foundation. NR 55 TC 5 Z9 5 U1 2 U2 18 PU AMER ACAD PEDIATRICS PI ELK GROVE VILLAGE PA 141 NORTH-WEST POINT BLVD,, ELK GROVE VILLAGE, IL 60007-1098 USA SN 0031-4005 EI 1098-4275 J9 PEDIATRICS JI Pediatrics PD MAR PY 2015 VL 135 SU 2 BP S48 EP S57 DI 10.1542/peds.2014-3549F PG 10 WC Pediatrics SC Pediatrics GA CO2OW UT WOS:000358997300005 PM 25733725 ER PT J AU Jagtiani, J Li, WL AF Jagtiani, Julapa Li, Wenli TI Credit Access After Consumer Bankruptcy Filing: New Evidence SO AMERICAN BANKRUPTCY LAW JOURNAL LA English DT Article ID PERSONAL BANKRUPTCY; CHAPTER CHOICE AB This article analyzes a unique data set to shed new light on credit availability to debtors who filed for consumer bankruptcy. In particular, our data set allows us to distinguish between Chapter 7 and Chapter 13 debtors, to observe changes in credit demand and credit supply, and to differentiate between existing and new credit accounts. The paper has four main findings. First, despite speedy recoveries in their credit scores after bankruptcy filings, most debtors have reduced access to credit after filing for bankruptcy including reduced limits. The impact seems to be long lasting well beyond the discharge date. Second, the reduction in credit access stems mainly from the supply side because credit demand by consumers recovers significantly after the filing, whereas credit supply by lenders remains low. Third, new lenders do not treat debtors who filed for Chapter 13 bankruptcy more favorably than debtors who filed for Chapter 7. In fact, debtors who filed for Chapter 13 are much less likely to receive new credit cards than debtors who filed for Chapter 7. Finally, we find that debtors who filed for Chapter 13 receive, on average, a slightly larger credit limit than debtors who filed for Chapter 7 bankruptcy (both after the filing and after discharge) because they are able to maintain more of their old credit that existed before bankruptcy. Our results suggest that although debtors receive a fresh start through bankruptcy (in the form of dischargeable debt), the fresh start they obtain does not necessarily guarantee new credit for them. C1 [Jagtiani, Julapa] Fed Reserve Bank Philadelphia, Supervis Regulat & Credit, Philadelphia, PA 19106 USA. [Li, Wenli] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Jagtiani, J (reprint author), Fed Reserve Bank Philadelphia, Supervis Regulat & Credit, Philadelphia, PA 19106 USA. EM Julapa.Jagtiani@phil.frb.org; Wenli.Li@phil.frb.org NR 24 TC 2 Z9 2 U1 0 U2 5 PU NATL CONF BANKRUPT J PI LEXINGTON PA 235 SECRET COVE DR, LEXINGTON, SC 29072 USA SN 0027-9048 J9 AM BANKRUPT LAW J JI Am. Bankruptcy Law J. PD SPR PY 2015 VL 89 IS 2 BP 327 EP 361 PG 35 WC Law SC Government & Law GA CM5WI UT WOS:000357759300005 ER PT J AU Agarwal, S Amromin, G Ben-David, I Chomsisengphet, S Evanoff, DD AF Agarwal, Sumit Amromin, Gene Ben-David, Itzhak Chomsisengphet, Souphala Evanoff, Douglas D. TI Financial literacy and financial planning: Evidence from India SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE Financial literacy; Financial education; Household finance; Consumer behavior ID KNOWLEDGE; SECURITY AB In this study we report findings about financial literacy and financial planning behavior based on a financial advisory program in India. We evaluate survey responses to three standard questions previously used to measure financial literacy. We then break down the data across particular demographic and socioeconomic groups and compare responses. Finally, we examine the investment behavior, liability choice, risk tolerance and insurance usage of program participants. We find that the vast majority of respondents appear to be financially literate based on their answers to questions concerning interest rates (numeracy), inflation, and risk/diversification. However, we do find variation across demographic and socioeconomic groups. We are also able to obtain additional information about the financial tendencies of the program participants (including risk tolerance, investment preferences, investment goals, etc.) and to relate those tendencies to financial literacy. (C) 2015 Elsevier Inc. All rights reserved. C1 [Agarwal, Sumit] Natl Univ Singapore, Singapore 117548, Singapore. [Amromin, Gene; Evanoff, Douglas D.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Ben-David, Itzhak] Ohio State Univ, Columbus, OH 43210 USA. [Chomsisengphet, Souphala] US Off Comptroller Currency, Washington, DC USA. RP Evanoff, DD (reprint author), Fed Reserve Bank Chicago, Res Dept, 230 South LaSalle St, Chicago, IL 60604 USA. RI Agarwal, Sumit/F-4836-2012; Ben-David, Itzhak/I-3233-2012; Ramalho, Thiago/E-4525-2016 FU Florida State University; Office of the Comptroller of the Currency FX The authors thank Carlo de Bassa Scheresberg for his constructive comments, as well as other participants at the April 25, 2014 Housing Finance Symposium sponsored by Florida State University and the Office of the Comptroller of the Currency. They also thank Tom Mayock and Keith Ihlanfeldt for coordinating this special issue of the Journal. Jacqui Barrett, Zach Duey and Robert McMenamin provided excellent research assistance. The views expressed are those of the authors and may not reflect the views of the Federal Reserve System, the Federal Reserve Bank of Chicago, or the Office of the Comptroller of the Currency. NR 48 TC 2 Z9 2 U1 2 U2 25 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 EI 1096-0791 J9 J HOUS ECON JI J. Hous. Econ. PD MAR PY 2015 VL 27 SI SI BP 4 EP 21 DI 10.1016/j.jhe.2015.02.003 PG 18 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA CJ6XE UT WOS:000355637700002 ER PT J AU Phelan, C Skrzypacz, A AF Phelan, Christopher Skrzypacz, Andrzej TI Recall and private monitoring SO GAMES AND ECONOMIC BEHAVIOR LA English DT Article DE Repeated games; Private monitoring ID REPEATED GAMES; FOLK THEOREM; EQUILIBRIA; ROBUST AB For a general class of games with private monitoring we show for any finite state strategy (or automaton strategy) with D-i states for players i is an element of {1,..., N}, if there exists a number of periods t such that it is possible on-path to reach any joint state from any joint state in t periods, the strategy is a strict correlated equilibrium only if each player's strategy is a function only of what the player observes in the last D-i - 1 periods. (C) 2015 Elsevier Inc. All rights reserved. C1 [Phelan, Christopher] Univ Minnesota, Fed Reserve Bank Minneapolis, NBER, Minneapolis, MN 55455 USA. [Skrzypacz, Andrzej] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA. RP Skrzypacz, A (reprint author), Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA. EM skrz@stanford.edu FU National Science Foundation [0721090] FX The authors thank Jeff Ely, Johannes Homer, Michihiro Kandori, George Mailath, Ichiro Obara, and Ofer Zeitouni for helpful conversations. Financial assistance from National Science Foundation Grant # 0721090 is gratefully acknowledged. The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis or the Federal Reserve System. NR 10 TC 0 Z9 0 U1 0 U2 2 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0899-8256 EI 1090-2473 J9 GAME ECON BEHAV JI Games Econ. Behav. PD MAR PY 2015 VL 90 BP 162 EP 170 DI 10.1016/j.geb.2015.02.010 PG 9 WC Economics SC Business & Economics GA CI2PU UT WOS:000354590300012 ER PT J AU Christensen, JHE Rudebusch, GD AF Christensen, Jens H. E. Rudebusch, Glenn D. TI Estimating Shadow-Rate Term Structure Models with Near-Zero Yields SO JOURNAL OF FINANCIAL ECONOMETRICS LA English DT Article DE affine dynamic term structure models; zero lower bound; monetary policy ID AFFINE MODELS; RISK; OPTIONS; PREMIA AB Standard Gaussian affine dynamic term structure models do not rule out negative nominal interest rates-a conspicuous defect with yields near zero in many countries. Alternative shadow-rate models, which respect the nonlinearity at the zero lower bound, have been rarely used because of the extreme computational burden of their estimation. However, by valuing the call option on negative shadow yields, we provide estimates of a three-factor shadow-rate model of Japanese yields. We validate our option-based results by closely matching them using a simulation-based approach. We also show that the shadow short rate is sensitive to model fit and specification. C1 [Christensen, Jens H. E.; Rudebusch, Glenn D.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Christensen, JHE (reprint author), Fed Reserve Bank San Francisco, 101 Market St MS 1130, San Francisco, CA 94105 USA. EM jens.christensen@sf.frb.org NR 31 TC 5 Z9 5 U1 0 U2 2 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1479-8409 EI 1479-8417 J9 J FINANC ECONOMET JI J. Financ. Econom. PD SPR PY 2015 VL 13 IS 2 BP 226 EP 259 DI 10.1093/jjfinec/nbu010 PG 34 WC Business, Finance; Economics SC Business & Economics GA CI4EF UT WOS:000354699200001 ER PT J AU Frame, WS Fuster, A Tracy, J Vickery, J AF Frame, W. Scott Fuster, Andreas Tracy, Joseph Vickery, James TI The Rescue of Fannie Mae and Freddie Mac SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article ID MORTGAGE; CRISIS; RATES; FIRE C1 [Frame, W. Scott] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Fuster, Andreas; Tracy, Joseph; Vickery, James] Fed Reserve Bank New York, New York, NY 10045 USA. RP Frame, WS (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. EM scott.frame@atl.frb.org; andreas.fuster@ny.frb.org; joseph.tracy@ny.frb.org; james.vickery@ny.frb.org NR 64 TC 4 Z9 4 U1 2 U2 12 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 EI 1944-7965 J9 J ECON PERSPECT JI J. Econ. Perspect. PD SPR PY 2015 VL 29 IS 2 BP 25 EP 52 DI 10.1257/jep.29.2.25 PG 28 WC Economics SC Business & Economics GA CH7LR UT WOS:000354218500002 ER PT J AU McDonald, R Paulson, A AF McDonald, Robert Paulson, Anna TI AIG in Hindsight SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article ID RISK C1 [McDonald, Robert] Northwestern Univ, JL Kellogg Grad Sch Management, Finance, Evanston, IL 60208 USA. [McDonald, Robert] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Paulson, Anna] Fed Reserve Bank Chicago, Chicago, IL USA. [Paulson, Anna] Fed Reserve Bank Chicago, Financial Res, Chicago, IL USA. RP McDonald, R (reprint author), Northwestern Univ, JL Kellogg Grad Sch Management, Finance, Evanston, IL 60208 USA. EM r-mcdonald@northwestern.edu; anna.paulson@chi.frb.org NR 33 TC 1 Z9 1 U1 1 U2 1 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 EI 1944-7965 J9 J ECON PERSPECT JI J. Econ. Perspect. PD SPR PY 2015 VL 29 IS 2 BP 81 EP 106 DI 10.1257/jep.29.2.81 PG 26 WC Economics SC Business & Economics GA CH7LR UT WOS:000354218500004 ER PT J AU Jones, LE Manuelli, RE McGrattan, ER AF Jones, Larry E. Manuelli, Rodolfo E. McGrattan, Ellen R. TI WHY ARE MARRIED WOMEN WORKING SO MUCH? SO JOURNAL OF DEMOGRAPHIC ECONOMICS LA English DT Article DE hours of work; gender wage gap; technological improvements ID LABOR-FORCE PARTICIPATION; HOUSEHOLD PRODUCTION; BUSINESS-CYCLE; FERTILITY; HOMEWORK; GROWTH; TRENDS; MODEL AB We study the large observed changes in labor supply by married women in the United States over the post-World War II period, a period that saw little change in the labor supply by single women. We investigate the effects of changes in the gender wage gap, the quantitative impact of technological improvements in the production of nonmarket goods, and the potential inferiority of nonmarket goods in explaining the dramatic change in labor supply. We find that small decreases in the gender wage gap can simultaneously explain the significant increases in the average hours worked by married women and the relative constancy in the hours worked by single women and by single and married men. We also find that the impact of technological improvements in the household on married female hours and on the relative wage of females to males is too small for realistic values. Some specifications of the inferiority of home goods match the hours patterns, but they have counterfactual predictions for wages and expenditure patterns. C1 [Jones, Larry E.; McGrattan, Ellen R.] Univ Minnesota, Minneapolis, MN 55455 USA. [Jones, Larry E.; McGrattan, Ellen R.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Manuelli, Rodolfo E.] Washington Univ, St Louis, MO 63130 USA. [Manuelli, Rodolfo E.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Jones, LE (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. EM lej@umn.edu FU National Science Foundation FX We thank Elizabeth Caucutt, Nezih Guner, John Kennan, Derek Neal, Ananth Seshadri, and Michele Tertilt for useful discussions and the National Science Foundation for financial support. The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis, the Federal Reserve Bank of St. Louis, or the Federal Reserve System. NR 33 TC 4 Z9 4 U1 4 U2 5 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA EDINBURGH BLDG, SHAFTESBURY RD, CB2 8RU CAMBRIDGE, ENGLAND SN 2054-0892 EI 2054-0906 J9 J DEMOGR ECON JI J.Demogr. Econ. PD MAR PY 2015 VL 81 IS 1 BP 75 EP 114 DI 10.1017/dem.2014.7 PG 40 WC Demography; Economics SC Demography; Business & Economics GA CH2GE UT WOS:000353842900011 ER PT J AU Benhabib, J Wang, PF Wen, Y AF Benhabib, Jess Wang, Pengfei Wen, Yi TI SENTIMENTS AND AGGREGATE DEMAND FLUCTUATIONS SO ECONOMETRICA LA English DT Article DE Keynesian self-fulfilling equilibria; sentiments; sunspots ID CORRELATED EQUILIBRIUM; SOCIAL VALUE; INFORMATION; SUNSPOTS; COORDINATION; CRISES; PRICES; GAMES AB We formalize the Keynesian insight that aggregate demand driven by sentiments can generate output fluctuations under rational expectations. When production decisions must be made under imperfect information about demand, optimal decisions based on sentiments can generate stochastic self-fulfilling rational expectations equilibria in standard economies without persistent informational frictions, externalities, nonconvexities, or strategic complementarities in production. The models we consider are deliberately simple, but could serve as benchmarks for more complicated equilibrium models with additional features. C1 [Benhabib, Jess] NYU, Dept Econ, New York, NY 10012 USA. [Wang, Pengfei] Hong Kong Univ Sci & Technol, Dept Econ, Hong Kong, Hong Kong, Peoples R China. [Wen, Yi] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Wen, Yi] Tsinghua Univ, Sch Econ & Management, Beijing 100084, Peoples R China. RP Benhabib, J (reprint author), NYU, Dept Econ, 19 West 4th St, New York, NY 10012 USA. EM jess.benhabib@nyu.edu; pfwang@ust.hk; yi.wen@stls.frb.org RI Wen, Yi/I-5756-2016; OI Wen, Yi/0000-0001-5658-1578; Wang, Pengfei/0000-0002-8686-4787 FU Research Grants Council of Hong Kong [693513] FX We are indebted to George-Maria Angeletos, Larry Christiano, George Evans, Jean-Michel Grandmont, Boyan Jovanovic, Guy Laroque, Gaetano Gaballo, John Leahy, Jennifer Lao, Stephen Morris, Heraklis Polemarchakis, Edouard Schaal, Martin Schneider, Karl Shell, Michal Lukasz Szkup, Laura Veldkamp, and Michael Woodford for very enlightening comments. We would like to thank the participants at the conference organized by the International Network on Expectational Coordination at the College de France on June 27-29, 2012 in Paris and at the Northwestern-Tsinghua Conference on "Financial Frictions, Sentiments and Aggregate Fluctuations" on August 21-24, 2012 in Beijing for their valuable insights. In particular, we are grateful for discussions with Gaetano Gaballo that were very helpful. Wang acknowledges financial support from the Research Grants Council of Hong Kong under Project 693513. NR 31 TC 4 Z9 4 U1 4 U2 14 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0012-9682 EI 1468-0262 J9 ECONOMETRICA JI Econometrica PD MAR PY 2015 VL 83 IS 2 BP 549 EP 585 DI 10.3982/ECTA11085 PG 37 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA CF5VQ UT WOS:000352625700006 ER PT J AU Cacciatore, M Ghironi, F Stebunovs, V AF Cacciatore, Matteo Ghironi, Fabio Stebunovs, Viktors TI The domestic and international effects of interstate US banking SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Business cycle volatility; Current account; Deregulation; Interstate banking; Producer entry; Real exchange rate ID BUSINESS CYCLES; MARKET-STRUCTURE; MONOPOLISTIC COMPETITION; INDUSTRY STRUCTURE; GLOBAL IMBALANCES; PRODUCTIVITY; TRADE; MODEL; ENTRY; DEREGULATION AB This paper studies the domestic and international effects of national bank market integration in a two-country, dynamic, stochastic, general equilibrium model with endogenous producer entry. Integration of banking across localities reduces the degree of local monopoly power of financial intermediaries. The economy that implements this form of deregulation experiences increased producer entry, real exchange rate appreciation, and a current account deficit. The foreign economy experiences a long-run increase in GDP and consumption. Less monopoly power in financial intermediation results in less volatile business creation, reduced markup countercyclicality, and weaker substitution effects in labor supply in response to productivity shocks. Bank market integration thus contributes to moderation of firm-level and aggregate output volatility. In turn, trade and financial ties allow also the foreign economy to enjoy lower GDP volatility in most scenarios we consider. These results are consistent with features of U.S. and international fluctuations after the United States began its transition to interstate banking in the late 1970s. (C) 2014 Elsevier B.V. All rights reserved. C1 [Cacciatore, Matteo] HEC Montreal, Inst Appl Econ 3000, Montreal, PQ, Canada. [Ghironi, Fabio] Univ Washington, Dept Econ, Seattle, WA 98195 USA. [Ghironi, Fabio] Ctr Econ Policy Res, Washington, DC USA. [Ghironi, Fabio] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Stebunovs, Viktors] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Cacciatore, M (reprint author), HEC Montreal, Inst Appl Econ 3000, Chemin Cote St Catherine, Montreal, PQ, Canada. EM matteo.cacciatore@hec.ca; ghiro@uw.edu; Viktors.Stebunovs@frb.gov FU NSF FX This paper was circulated previously under the title "The Domestic and International Effects of Financial Deregulation." First draft: July 21, 2007. For helpful comments, we thank Giancarlo Corsetti, two anonymous referees, Alessandro Barattieri, Rucha Bhate, Claudia Buch, Silvio Contessi, Mathias Hoffmann, Michael Koetter, Guay Lim, Federico Mandelman, Alan Sutherland, Cedric Tille, and conference and seminar participants at Atlanta Fed, Boston Fed (seminar and Dynare Conference 2008), Bundesbank Spring Conference 2010 (International Risk Sharing and Global Imbalances), ECB Financial Markets and Macroeconomic Stability Conference, Econometric Society NASM 2008, EEA 2008, ESEM 2009, Federal Reserve Board, HEC Montreal, IMF, Kansas City Fed (System Conference on Macroeconomics 2008), LACEA 2008, MIT, NBER IFM Spring 2008, Pacific Rim Conference 2013, Reserve Bank of Australia 2007 Research Workshop on Monetary Policy in Open Economies, SED 2008, University of Connecticut, University of Houston, University of Maryland, University of Wisconsin-Madison, and Vanderbilt University. We are grateful to Alessandro Barattieri and Rucha Bhate for outstanding research assistance. All remaining errors are ours. Ghironi thanks. the NSF for financial support through a grant to the NBER. Work on this paper was done while Ghironi was a Visiting Scholar at the Federal Reserve Bank of Boston. The support of this institution is also acknowledged with gratitude. The views presented in this paper are solely of the authors and do not necessarily represent the views or policy of the CEPR, the Federal Reserve Bank of Boston, the Federal Reserve Board, or the NBER. NR 66 TC 3 Z9 3 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD MAR PY 2015 VL 95 IS 2 BP 171 EP 187 DI 10.1016/j.jinteco.2014.12.001 PG 17 WC Economics SC Business & Economics GA CE7TL UT WOS:000352044600001 ER PT J AU Guerrieri, L Iacoviello, M AF Guerrieri, Luca Iacoviello, Matteo TI OccBin: A toolkit for solving dynamic models with occasionally binding constraints easily SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Occasionally binding constraints; DSGE models; Regime shifts; First-order perturbation ID OPTIMAL MONETARY-POLICY; RATIONAL-EXPECTATIONS; GROWTH-MODELS AB The toolkit adapts a first-order perturbation approach and applies it in a piecewise fashion to solve dynamic models with occasionally binding constraints. Our examples include a real business cycle model with a constraint on the level of investment and a New Keynesian model subject to the zero lower bound on nominal interest rates. Compared with a high-quality numerical solution, the piecewise linear perturbation method can adequately capture key properties of the models we consider. A key advantage of the piecewise linear perturbation method is its applicability to models with a large number of state variables. Published by Elsevier B.V. C1 [Guerrieri, Luca] Fed Reserve Board, Off Financial Stabil, Washington, DC 20551 USA. [Iacoviello, Matteo] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP Guerrieri, L (reprint author), Fed Reserve Board, Off Financial Stabil, 20th & C St NW, Washington, DC 20551 USA. EM luca.guerrieri@frb.gov; matteo.iacoviello@frb.gov NR 34 TC 16 Z9 16 U1 1 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2015 VL 70 BP 22 EP 38 DI 10.1016/j.jmoneco.2014.08.005 PG 17 WC Business, Finance; Economics SC Business & Economics GA CF1SP UT WOS:000352328500002 ER PT J AU Curdia, V Ferrero, A Ng, GC Tambalotti, A AF Curdia, Vasco Ferrero, Andrea Ng, Ging Cee Tambalotti, Andrea TI Has US monetary policy tracked the efficient interest rate? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE US monetary policy; Interest rate rules; DSGE models; Bayesian model comparison ID INFLATION; PRICES; STICKY; RULES AB Interest rate decisions by central banks are universally discussed in terms of Taylor rules, which describe policy rates as responding to inflation and some measure of the output gap. We show that an alternative specification of monetary policy, in which the interest rate tracks the Wicksellian efficient rate of return as the primary indicator of real activity, fits the U.S. data better than otherwise identical Taylor rules. This result holds for a variety of specifications of the other ingredients of the policy rule, including the output gap, and of private agents' behavior. (C) 2014 Elsevier B.V. All rights reserved. C1 [Curdia, Vasco] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Ferrero, Andrea] Univ Oxford, Oxford OX1 2JD, England. [Ng, Ging Cee] Univ Chicago, Chicago, IL 60637 USA. [Tambalotti, Andrea] Fed Reserve Bank New York, New York, NY 10045 USA. RP Tambalotti, A (reprint author), Fed Reserve Bank New York, 33 Liberty St,3rd Floor, New York, NY 10045 USA. EM andrea.tambalotti@ny.frb.org OI Tambalotti, Andrea/0000-0002-9323-2470 NR 28 TC 6 Z9 6 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2015 VL 70 BP 72 EP 83 DI 10.1016/j.jmoneco.2014.09.004 PG 12 WC Business, Finance; Economics SC Business & Economics GA CF1SP UT WOS:000352328500005 ER PT J AU Hubrich, K Tetlow, RJ AF Hubrich, Kirstin Tetlow, Robert J. TI Financial stress and economic dynamics: The transmission of crises SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Nonlinearity; Markov switching; Financial crises; Monetary policy ID MONETARY-POLICY; BUSINESS-CYCLE; MACROECONOMIC FLUCTUATIONS; REGIME SWITCHES; CREDIT; MODEL; INVESTMENT; LEVERAGE; CHANNEL; SHOCKS AB A financial stress index for the United States is introduced-one used by the staff of the Federal Reserve Board during the financial crisis of 2008-2009-and its' interaction with real activity, inflation and monetary policy is investigated using a Markov-switching VAR model, estimated with Bayesian methods. A "stress event" is defined as a period of adverse latent Markov states. Results show that time variation is statistically important, that stress events line up well with historical events, and that shifts to stress events are highly detrimental for the economy. Conventional monetary policy is shown to be weak during such periods. Published by Elsevier B.V. C1 [Hubrich, Kirstin] European Cent Bank, Directorate Gen Res, D-60311 Frankfurt, Germany. [Tetlow, Robert J.] Fed Reserve Board, Monetary Affairs, Washington, DC 20551 USA. RP Tetlow, RJ (reprint author), Fed Reserve Board, Monetary Affairs, Washington, DC 20551 USA. EM kirstin.hubrich@ecb.europa.eu; rtetlow@frb.gov NR 39 TC 15 Z9 16 U1 4 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2015 VL 70 BP 100 EP 115 DI 10.1016/j.jmoneco.2014.09.005 PG 16 WC Business, Finance; Economics SC Business & Economics GA CF1SP UT WOS:000352328500007 ER PT J AU Favara, G Imbs, J AF Favara, Giovanni Imbs, Jean TI Credit Supply and the Price of Housing SO AMERICAN ECONOMIC REVIEW LA English DT Article ID UNITED-STATES; DEREGULATION; FINANCE; COMPETITION; CRISIS; BANKS; CONSEQUENCES; INFORMATION; INTEGRATION; EFFICIENCY AB An exogenous expansion in mortgage credit has significant effects on house prices. This finding is established using US branching deregulations between 1994 and 2005 as instruments for credit. Credit increases for deregulated banks, but not in placebo samples. Such differential responses rule out demand-based explanations, and identify an exogenous credit supply shock. Because of geographic diversification, treated banks expand credit: housing demand increases, house prices rise, but to a lesser extent in areas with elastic housing supply, where the housing stock increases instead. In an instrumental variable sense, house prices are well explained by the credit expansion induced by deregulation. C1 [Favara, Giovanni] Board Governors Fed Reserve Syst, Div Res & Stat, Washington, DC 20551 USA. [Imbs, Jean] Paris Sch Econ, F-75013 Paris, France. [Imbs, Jean] CNRS, F-75700 Paris, France. RP Favara, G (reprint author), Board Governors Fed Reserve Syst, Div Res & Stat, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM giovanni.favara@frb.gov; jeanimbs@gmail.com FU Chaire Banque de France at the Paris School of Economics FX We are grateful to five referees for very useful comments. We also thank Dean Amel, Bruno Biais, Stijn Claessens, James Dow, John Driscoll, Antonio Falato, Jack Favilukis, Rafael Lalive, Augustin Landier, Karen Pence, Thomas Philippon, Giuseppe Ragusa, Romain Ranciere, Tara Rice, Thierry Tressel, Philip Valta, Dimitri Vayanos, Nancy Wallace, and participants of seminars at the IMF, INSEE-CREST, the Federal Reserve Board, the St. Louis Fed, the New York Fed, the Universidad Nova de Lisboa, the Bank of England, the European Central Bank, the Amsterdam Business School, the 2010 Conference of The Paul Woolley Centre at the LSE, the 2010 EFA meetings, the 2011 AEA meetings, the 2011 European Winter Finance Conference, the 2011 WFA meetings, the 2011 SED meetings, and the 2012 SIFR Conference on Real Estate Finance. Chris Gibson and Mihir Gandhi provided excellent research assistance. Financial support from the Chaire Banque de France at the Paris School of Economics is gratefully acknowledged. Any views expressed in this paper are our own, and do not necessarily reflect those of the Federal Reserve System or its Board of Governors. The authors declare that they have no relevant or material financial interests that relate to the research described in this paper. NR 50 TC 8 Z9 8 U1 12 U2 24 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAR PY 2015 VL 105 IS 3 BP 958 EP 992 DI 10.1257/aer.20121416 PG 35 WC Economics SC Business & Economics GA CE5KI UT WOS:000351872000002 ER PT J AU Bauer, MD AF Bauer, Michael D. TI Inflation Expectations and the News SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID MONETARY-POLICY RULES; US TREASURY MARKET; INTEREST-RATES; ECONOMIC-NEWS; RISK PREMIA; BOND; LIQUIDITY; MODELS; TESTS AB This paper provides new evidence on the importance of inflation expectations for variation in nominal interest rates, based on both market-based and survey-based measures of inflation expectations. Using the information in TIPS break-even rates and inflation swap rates, I document that movements in inflation compensation are important for explaining variation in long-term nominal interest rates, unconditionally as well as conditionally on macroeconomic data surprises. Daily changes in inflation compensation and changes in long-term nominal rates generally display a close statistical relationship. The sensitivity of inflation compensation to macroeconomic data surprises is substantial, and it explains a sizable share of the macro response of nominal rates. The paper also documents that survey expectations of inflation exhibit significant co-movement with variation in nominal interest rates, as well as significant responses to macroeconomic news. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Bauer, MD (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM michael.bauer@sf.frb.org NR 28 TC 1 Z9 1 U1 1 U2 2 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD MAR PY 2015 VL 11 IS 2 BP 1 EP 40 PG 40 WC Business, Finance SC Business & Economics GA CE7MJ UT WOS:000352024900001 ER PT J AU Tetlow, RJ AF Tetlow, Robert J. TI Real-Time Model Uncertainty in the United States: "Robust" Policies Put to the Test SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID OPTIMAL MONETARY-POLICY; RULES; INFLATION AB I study forty-six vintages of FRB/US, the principal macro model used by the Federal Reserve, as measures of real-time model uncertainty and examine the robustness of commonly applied, simple monetary policy rules. Model uncertainty turns out to be a substantial problem: key model properties differ in important ways across model vintages, as do the optimized parameterizations of candidate rules. Among the simple monetary policy rules considered are rules that eschew feedback on the output gap, rules that target nominal income growth, and rules that allow for time variation in the equilibrium real interest rate. Many rules that previous research has shown to be robust in artificial economies would have failed to provide adequate stabilization in the real-time, real-world environment seen by the Federal Reserve staff. I identify certain policy rules that would have performed relatively well, and characterize their key features to draw more general lessons about the design of monetary policy under model uncertainty. C1 [Tetlow, Robert J.] Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. RP Tetlow, RJ (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM rtetlow@frb.gov NR 50 TC 1 Z9 1 U1 0 U2 2 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD MAR PY 2015 VL 11 IS 2 BP 113 EP 155 PG 43 WC Business, Finance SC Business & Economics GA CE7MJ UT WOS:000352024900004 ER PT J AU Carpenter, S Ihrig, J Klee, E Quinn, D Boote, A AF Carpenter, Seth Ihrig, Jane Klee, Elizabeth Quinn, Daniel Boote, Alexander TI The Federal Reserve's Balance Sheet and Earnings: A Primer and Projections SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article AB Over the past few years, the Federal Reserve's use of unconventional monetary policy tools has received a vast amount of public attention, from discussing how these asset purchases have put downward pressure on longer-term interest rates and thus supported economic activity to evaluating the implications for Federal Reserve remittances to the Treasury and the effect on monetary and fiscal policy. As the economic recovery has gained some momentum of late, the focus has turned to issues associated with the normalization of monetary policy. In this paper, we begin by providing a primer for the Federal Reserve's balance sheet and income statement. With that foundation in place, we then consider a variety of scenarios consistent with statements by Federal Reserve officials about how the FOMC will normalize policy, including whether to sell mortgage-backed securities, whether to change the composition of Federal Reserve liabilities, and the timing of lifting the federal funds rate off from the zero lower bound. In each of these scenarios, we discuss the implications of these normalization policies on the size and composition of Federal Reserve asset and liability holdings and on remittances of earnings to the Treasury, which capture the interest rate risk of these normalization policies. We show that under a baseline normalization strategy described by policymakers, the balance sheet should slowly return to a more normal composition and size, while remittances should remain sizable. With some alternative normalization plans, especially if faced with high interest costs, remittances could drop to zero for some time. C1 [Carpenter, Seth; Ihrig, Jane; Klee, Elizabeth; Quinn, Daniel; Boote, Alexander] Fed Reserve Board, Washington, DC 20551 USA. RP Carpenter, S (reprint author), Fed Reserve Board, Washington, DC 20551 USA. NR 21 TC 4 Z9 4 U1 0 U2 1 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD MAR PY 2015 VL 11 IS 2 BP 237 EP 283 PG 47 WC Business, Finance SC Business & Economics GA CE7MJ UT WOS:000352024900007 ER PT J AU Neely, CJ AF Neely, Christopher J. TI Unconventional monetary policy had large international effects SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Large scale asset purchase; Quantitative easing; Event study; Monetary policy; Zero bound ID INTEREST-RATES; MARKET; IMPACT; NEWS; ANNOUNCEMENTS; PURCHASES; CHANNELS AB The Federal Reserve's unconventional monetary policy announcements in 2008-2009 substantially reduced international long-term bond yields and the spot value of the dollar. These changes closely followed announcements and were very unlikely to have occurred by chance. A simple portfolio choice model can produce quantitatively plausible changes in U.S. and foreign excess bond yields. The jump depreciations of the USD are fairly consistent with estimates of the impacts of previous equivalent monetary policy shocks. The policy announcements do not appear to have reduced yields by reducing expectations of real growth. Unconventional policy can reduce international long-term yields and the value of the dollar even at the zero bound. (C) 2014 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, Box 442, St Louis, MO 63166 USA. EM neely@stls.frb.org RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 37 TC 16 Z9 16 U1 4 U2 20 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD MAR PY 2015 VL 52 BP 101 EP 111 DI 10.1016/j.jbankfin.2014.11.019 PG 11 WC Business, Finance; Economics SC Business & Economics GA CE6PZ UT WOS:000351961700008 ER PT J AU Melnik, A Shy, O AF Melnik, Arie Shy, Oz TI Exclusion, competition, and regulation in the retail loan market SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Credit quality; Interest rate regulation; Lending; Exclusion of borrowers ID BANKING SERVICES; CREDIT MARKETS; COUNTRIES; ACCESS; RATES AB Exclusion of borrowers from credit markets became a primary concern for regulators during the recovery from the recent recession. The paper analyzes loan-making institutions that set both interest rates and minimum credit requirements. We propose analytical measures of the degree of borrower exclusion from receiving loans. We analyze five market structures: Single lender, regulated interest rate, entry, interest rate discrimination, and highly-competitive lenders. Interest rate regulation improves total welfare relative to a single lender market. However, entry of a second lender reduces exclusion and generates higher total welfare. In the absence of fixed costs, perfect and Bertrand competition are optimal. (C) 2014 Elsevier B.V. All rights reserved. C1 [Melnik, Arie] Univ Haifa, Dept Econ, IL-31905 Haifa, Israel. [Shy, Oz] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Shy, O (reprint author), Fed Reserve Bank Boston, Res Dept, 600 Atlantic Ave, Boston, MA 02210 USA. EM amelnik@econ.haifa.ac.il; ozshy@ozshy.com FU ICER in Torino FX We thank two anonymous referees, the participants at the 2013 AIDEA-FINEST conference in Lecce, Mitch Berlin, Gabriella Chiesa, Stuart Greenbaum, Giovanna Nicodano, Bruno Parigi, Alessandro Sembenelli, and Greg Udell for insightful conversations. Research support from ICER in Torino is gratefully acknowledged. The views expressed in this paper are those of the authors and do not necessarily represent the views of the Federal Reserve Bank of Boston or the Federal Reserve System. NR 33 TC 1 Z9 1 U1 3 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD MAR PY 2015 VL 52 BP 189 EP 198 DI 10.1016/j.jbankfin.2014.08.019 PG 10 WC Business, Finance; Economics SC Business & Economics GA CE6PZ UT WOS:000351961700016 ER PT J AU Carpenter, S Demiralp, S Ihrig, J Klee, E AF Carpenter, Seth Demiralp, Selva Ihrig, Jane Klee, Elizabeth TI Analyzing Federal Reserve asset purchases: From whom does the Fed buy? SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Unconventional monetary policy; Large-scale asset purchases; Portfolio reallocation AB Asset purchases have become an important monetary policy tool of the Federal Reserve in recent years. To date, most studies of the Federal Reserve's asset purchases have tried to measure the interest rate effects of the purchases, and several provide evidence that these purchases do have important effects on longer-term market interest rates. The theory of how asset purchases work, however, is less well developed. Some of the empirical studies point to "preferred habitat" models in which investors do not have the same objectives, and therefore prefer to hold different types and maturities of securities. To study this more closely, we exploit Flow of Funds data to assess the types of investors that are selling to the Federal Reserve and their portfolio adjustment after these sales, which could provide a view to the plausibility of preferred habitat models and the transmission of unconventional monetary policy across asset markets. We find that the Federal Reserve is ultimately buying from only a handful of investor types, primarily households (which includes hedge funds), with a different reaction to changes in Federal Reserve holdings of longer-term versus shorter-term assets. Although not evident for all investors, the key participants are shown to rebalance their portfolios toward more risky assets during this period. These results can be interpreted as supporting, at least in part, the preferred habit theory and the view that the monetary policy transmission is working across asset markets. Published by Elsevier B.V. C1 [Carpenter, Seth; Ihrig, Jane; Klee, Elizabeth] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Demiralp, Selva] Koc Univ, Istanbul, Turkey. RP Ihrig, J (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM seth.b.carptenter@frb.gov; sdemiralp@ku.edu.tr; jane.e.ihrig@frb.gov; elizabeth.c.klee@frb.gov RI Demiralp, Selva/L-6650-2016 OI Demiralp, Selva/0000-0003-4087-168X NR 9 TC 2 Z9 2 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD MAR PY 2015 VL 52 BP 230 EP 244 DI 10.1016/j.jbankfin.2014.04.029 PG 15 WC Business, Finance; Economics SC Business & Economics GA CE6PZ UT WOS:000351961700020 ER PT J AU Anjos, F Drexler, A AF Anjos, Fernando Drexler, Alejandro TI Inter-company matching and the supply of informed capital SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE Financial intermediation; Matching; Venture capital ID START-UP FIRMS; FINANCIAL DEVELOPMENT; PRIVATE FIRMS; VENTURE; NETWORKS; MARKET; PERFORMANCE; INNOVATION; INDUSTRY; GROWTH AB We model an economy where it is beneficial for high-type organizations to collaborate with other high types, and where this assortative-matching pattern allows informed financiers to provide inexpensive funds to partner companies of their high-type ventures. The expected funding benefit associated with finding high-type partners increases in the supply of informed capital, which creates an additional incentive for high types to search. Our main result is that, in such a setting, a critical mass of informed capital is sometimes required for an efficient equilibrium to obtain. We provide a novel channel for how the financial sector can impact real outcomes, specifically by affecting matching patterns. (C) 2015 Elsevier B.V. All rights reserved. C1 [Anjos, Fernando] Univ Texas Austin, McCombs Sch Business, Austin, TX 78712 USA. [Drexler, Alejandro] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Anjos, F (reprint author), Univ Texas Austin, McCombs Sch Business, 2110 Speedway,Stop 86600, Austin, TX 78712 USA. EM fernando.anjos@mccombs.utexas.edu; alejandro.h.drexler@chi.frb.org NR 31 TC 0 Z9 2 U1 3 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-2681 EI 1879-1751 J9 J ECON BEHAV ORGAN JI J. Econ. Behav. Organ. PD MAR PY 2015 VL 111 BP 119 EP 136 DI 10.1016/j.jebo.2014.12.028 PG 18 WC Economics SC Business & Economics GA CE6RC UT WOS:000351964600010 ER PT J AU Arezki, R Beck, T DeYoung, R Duca, JV Loungani, P Murphy, A AF Arezki, Rabah Beck, Thorsten DeYoung, Robert Duca, John V. Loungani, Prakash Murphy, Anthony TI Conference on Housing, Stability, and the Macroeconomy: International Perspectives SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E30; E50; G10; R21; R30; housing; macroeconomics; financial stability; global financial crisis AB This article provides an introduction to the JMCB special issue on housing bubbles, the global financial crisis, and the ensuing recessions in countries that experienced housing busts. We focus on five themes that are important for policymakers and researchers alike: the domestic and international factors driving housing booms and busts, the relevance of the housing sector for the real economy, how monetary policy should react to housing booms and busts, how housing and mortgage finance reform could affect financial stability, and the broad lessons learned for macroeconomics and macroprudential policy. C1 [Arezki, Rabah; Loungani, Prakash] Int Monetary Fund, Washington, DC 20431 USA. [Beck, Thorsten] City Univ London, Cass Business Sch, London, England. [Beck, Thorsten] CEPR, London, England. [DeYoung, Robert] Univ Kansas, Lawrence, KS 66045 USA. [Duca, John V.; Murphy, Anthony] Fed Reserve Bank Dallas, Dallas, TX USA. [Duca, John V.] So Methodist Univ, Dallas, TX 75275 USA. RP Arezki, R (reprint author), Int Monetary Fund, Washington, DC 20431 USA. EM rarezki@imf.org; TBeck@city.ac.uk; rdeyoung@ku.edu; john.v.duca@dal.frb.org; ploungani@imf.org; anthony.murphy@dal.frb.org NR 29 TC 0 Z9 0 U1 3 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2015 VL 47 SU 1 BP 1 EP 11 DI 10.1111/jmcb.12185 PG 11 WC Business, Finance; Economics SC Business & Economics GA CE7JF UT WOS:000352014600001 ER PT J AU Lansing, KJ AF Lansing, Kevin J. TI Explaining House Price Dynamics: Isolating the Role of Nonfundamentals Discussion of Ling, Ooi, and Le SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID POLICY; EXPECTATIONS; MONETARY; CRISIS; MARKET; RISK; US C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Lansing, KJ (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM kevin.j.lansing@sf.frb.org NR 22 TC 1 Z9 1 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2015 VL 47 SU 1 BP 127 EP 132 DI 10.1111/jmcb.12195 PG 6 WC Business, Finance; Economics SC Business & Economics GA CE7JF UT WOS:000352014600011 ER PT J AU Willen, P AF Willen, Paul TI Joint Dynamics of House Prices and Foreclosures Discussion of Arslan, Guler, and Taskin SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article C1 [Willen, Paul] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Willen, Paul] NBER, Cambridge, MA 02138 USA. RP Willen, P (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. EM Paul.Willen@bos.frb.org NR 6 TC 1 Z9 1 U1 1 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2015 VL 47 SU 1 BP 171 EP 174 DI 10.1111/jmcb.12197 PG 4 WC Business, Finance; Economics SC Business & Economics GA CE7JF UT WOS:000352014600013 ER PT J AU Brown, M Stein, S Zafar, B AF Brown, Meta Stein, Sarah Zafar, Basit TI The Impact of Housing Markets on Consumer Debt: Credit Report Evidence from 1999 to 2012 SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE D12; D14; D91; G01; housing; consumer finance; student loans ID CONSUMPTION; CRISIS; WEALTH; PRICES AB We estimate the response of consumer debt portfolios to pronounced housing market swings from 1999 to 2012 using Equifax-sourced credit report data and a variety of identification approaches. We find: (i) the extraordinary climb in home equity debt from 2002 to 2006 is an expression of a stable, longer-term relationship between house price growth and home equity borrowing; (ii) all preboom homeowners, and older and prime postboom homeowners, demonstrate near dollar-for-dollar substitution between (expensive) credit card and (cheap) home equity debt in response to home equity changes; and (iii) little evidence of substitution between home equity and student loan debt. C1 [Brown, Meta; Zafar, Basit] Fed Reserve Bank New York, Res Grp, New York, NY 10045 USA. [Stein, Sarah] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA. RP Brown, M (reprint author), Fed Reserve Bank New York, Res Grp, New York, NY 10045 USA. EM Meta.Brown@ny.frb.org; skstein@stanford.edu; Basit.Zafar@ny.frb.org NR 36 TC 4 Z9 4 U1 1 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2015 VL 47 SU 1 BP 175 EP 213 DI 10.1111/jmcb.12198 PG 39 WC Business, Finance; Economics SC Business & Economics GA CE7JF UT WOS:000352014600014 ER PT J AU Pence, K AF Pence, Karen TI The Impact of Housing Markets on Consumer Debt: Credit Report Evidence from 1999 to 2012 Discussion of Brown, Stein, and Zafar SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article C1 Fed Reserve Board, Washington, DC 20551 USA. RP Pence, K (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM Karen.pence@frb.gov NR 6 TC 1 Z9 1 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2015 VL 47 SU 1 BP 215 EP 220 DI 10.1111/jmcb.12199 PG 6 WC Business, Finance; Economics SC Business & Economics GA CE7JF UT WOS:000352014600015 ER PT J AU Liu, Z AF Liu, Zheng TI Optimal Monetary Policy Rules and House Prices: The Role of Financial Frictions Discussion of Notarpietro and Siviero SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Liu, Z (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM zheng.liu@sf.frb.org NR 17 TC 1 Z9 1 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2015 VL 47 SU 1 BP 411 EP 417 DI 10.1111/jmcb.12209 PG 7 WC Business, Finance; Economics SC Business & Economics GA CE7JF UT WOS:000352014600025 ER PT J AU Bord, VM Santos, JAC AF Bord, Vitaly M. Santos, Joao A. C. TI Does Securitization of Corporate Loans Lead to Riskier Lending? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE securitization; CLOs; loan performance; loan spreads ID FINANCIAL INTERMEDIATION; BANK LOANS; CRISIS; SALES; MARKET AB This paper finds that loans sold to collateralized loan obligations (CLOs) underperform matched unsecuritized loans originated by the same bank. We find that banks put less weight on the hard information on borrower risk available to them when they set interest rates on the loans they sell to CLOs, and that they retain less skin in the game on these loans, suggesting that lax underwriting standards contributed to the worse performance of securitized loans. We also find that the median non-CLO syndicate participant retains a lower stake in securitized loans when compared to loans that are not securitized, suggesting that these investors, like lead banks, expected securitized loans to perform worse. C1 [Bord, Vitaly M.] Harvard Univ, Cambridge, MA 02138 USA. [Santos, Joao A. C.] Fed Reserve Bank New York, New York, NY USA. [Santos, Joao A. C.] Nova Sch Business & Econ, Lisbon, Portugal. RP Bord, VM (reprint author), Harvard Univ, Cambridge, MA 02138 USA. EM vbord@fas.harvard.edu; joao.santos@ny.frb.org NR 28 TC 1 Z9 1 U1 1 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2015 VL 47 IS 2-3 BP 415 EP 444 DI 10.1111/jmcb.12181 PG 30 WC Business, Finance; Economics SC Business & Economics GA CE4ZQ UT WOS:000351839700007 ER PT J AU Fisher, JDM AF Fisher, Jonas D. M. TI On the Structural Interpretation of the Smets-Wouters "Risk Premium" Shock SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE Smets Wouters model; safe and liquid assets; money demand; risk premium shock; New Keynesian model; DSGE; flight to quality; liquidity preference ID MONETARY-POLICY AB This article shows that the risk premium shock in Smets and Wouters (2007) can be interpreted as a structural shock to the demand for safe and liquid assets such as short-term U.S. Treasury securities. Several implications of this interpretation are discussed. C1 Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL USA. RP Fisher, JDM (reprint author), Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL USA. EM jfisher@frbchi.org NR 11 TC 2 Z9 2 U1 0 U2 0 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2015 VL 47 IS 2-3 BP 511 EP 516 DI 10.1111/jmcb.12184 PG 6 WC Business, Finance; Economics SC Business & Economics GA CE4ZQ UT WOS:000351839700010 ER PT J AU Bauer, MD AF Bauer, Michael D. TI Nominal Interest Rates and the News SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE term structure of interest rates; no-arbitrage; news; monetary policy surprises; macroeconomic announcements; policy inertia ID TERM STRUCTURE MODELS; MONETARY-POLICY; STRUCTURE DYNAMICS; FUTURES PRICES; ECONOMIC-NEWS; MARKET; PURCHASES; FORECASTS; TESTS; BIAS AB This paper provides new estimates of the impact of monetary policy actions and macroeconomic news on the term structure of nominal interest rates. The key novelty is to parsimoniously capture the impact of news on all interest rates using a simple no-arbitrage model. The different types of news are analyzed in a common framework by recognizing their heterogeneity, which allows for a systematic comparison of their effects. This approach leads to novel empirical findings. First, monetary policy causes a substantial amount of volatility in both short-term and long-term interest rates. Second, macroeconomic data surprises have small and mostly insignificant effects on the long end of the term structure. Third, the term-structure response to macroeconomic news is consistent with considerable interest-rate smoothing by the Federal Reserve. Fourth, monetary policy surprises are multidimensional while macroeconomic surprises are one-dimensional. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Bauer, MD (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM michael.bauer@sf.frb.org NR 45 TC 3 Z9 3 U1 2 U2 3 PU WILEY PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2015 VL 47 IS 2-3 DI 10.1111/jmcb.12177 PG 37 WC Business, Finance; Economics SC Business & Economics GA CE4ZQ UT WOS:000351839700003 ER PT J AU Bhutta, N Skiba, PM Tobacman, J AF Bhutta, Neil Skiba, Paige Marta Tobacman, Jeremy TI Payday Loan Choices and Consequences SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE consumer credit; payday lending; credit scores; financial distress ID ACCESS AB High-cost consumer credit has proliferated in the past two decades, raising regulatory scrutiny. We match administrative data from a payday lender with nationally representative credit bureau files to examine the choices of payday loan applicants and assess whether payday loans help or harm borrowers. We find consumers apply for payday loans when they have limited access to mainstream credit. In addition, the weakness of payday applicants' credit histories is severe and longstanding. Based on regression discontinuity estimates, we show that the effects of payday borrowing on credit scores and other measures of financial well-being are close to zero. We test the robustness of these null effects to many factors, including features of the local market structure. C1 [Bhutta, Neil] Fed Reserve Board, Washington, DC 20551 USA. [Skiba, Paige Marta] Vanderbilt Law Sch, Nashville, TN 37203 USA. [Tobacman, Jeremy] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. RP Bhutta, N (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM neil.bhutta@frb.gov; paige.skiba@law.vanderbilt.edu; tobacman@wharton.upenn.edu NR 31 TC 3 Z9 3 U1 2 U2 18 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2015 VL 47 IS 2-3 DI 10.1111/jmcb.12175 PG 37 WC Business, Finance; Economics SC Business & Economics GA CE4ZQ UT WOS:000351839700001 ER PT J AU Trachter, N AF Trachter, Nicholas TI Stepping stone and option value in a model of postsecondary education SO QUANTITATIVE ECONOMICS LA English DT Article DE Stepping stone; investment under uncertainty; academic learning; postsecondary education; college education; returns to education; D83; I21; J24 ID BORROWING CONSTRAINTS; COLLEGE ENROLLMENT; CREDIT CONSTRAINTS; RETURNS; UNCERTAINTY; INVESTMENT; ATTAINMENT; DECISION; ABILITY; POLICY AB A stepping stone arises in risky environments with learning and transferrable human capital. An example is the role played by academic two-year colleges in postsecondary education: Students, as they learn about the uncertain educational outcomes, can drop out or transfer up to harder and more rewarding schools, carrying a fraction of the accumulated human capital. A theory of education is built and contrasted empirically to find that (i) option value explains a large part of returns to enrollment, (ii) enrollment in academic two-year colleges is driven by the option to transfer up, and (iii) the value of the stepping stone is small. C1 Fed Reserve Bank Richmond, Baltimore, MD 21201 USA. RP Trachter, N (reprint author), Fed Reserve Bank Richmond, Baltimore, MD 21201 USA. EM nicholas.trachter@rich.frb.org NR 27 TC 0 Z9 0 U1 1 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1759-7323 EI 1759-7331 J9 QUANT ECON JI Quant. Econ. PD MAR PY 2015 VL 6 IS 1 BP 223 EP 256 DI 10.3982/QE326 PG 34 WC Economics SC Business & Economics GA CE4YP UT WOS:000351836800007 ER PT J AU Loke, V Choi, L Libby, M AF Loke, Vernon Choi, Laura Libby, Margaret TI Increasing Youth Financial Capability: An Evaluation of the MyPath Savings Initiative SO JOURNAL OF CONSUMER AFFAIRS LA English DT Article ID INDIVIDUAL DEVELOPMENT ACCOUNTS; EDUCATION; PARTICIPATION; LITERACY; INCOME AB Although there has been mixed evidence from research on the efficacy of financial education efforts for youth, there is an emerging consensus that focusing on financial capability may be a more effective approach. This article examines the impact of the MyPath Savings pilot on 275 economically disadvantaged youth participating in a youth development and employment program. MyPath Savings targets youth earning their first paychecka critical teachable moment to promote savings and connect youth with mainstream financial products. The results indicate that MyPath Savings is highly relevant to participants' needs. In addition, youth experienced significant increases in financial knowledge, financial self-efficacy, and the frequency with which positive financial behaviors were carried out. Participants also saved an average of $507 through MyPath Savings. Gains in financial capability were mostly independent of the youths' race, gender, household income, and public benefits receipt. Possible factors for the promising results are discussed. C1 [Loke, Vernon] Eastern Washington Univ, Cheney, WA 99004 USA. [Choi, Laura] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Libby, Margaret] MyPath, Washington, DC USA. RP Loke, V (reprint author), Eastern Washington Univ, Cheney, WA 99004 USA. EM vloke@ewu.edu; laura.choi@sf.frb.org; mlibby@mission.coop NR 59 TC 4 Z9 4 U1 6 U2 13 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-0078 EI 1745-6606 J9 J CONSUM AFF JI J. Consum. Aff. PD SPR PY 2015 VL 49 IS 1 SI SI BP 97 EP 126 DI 10.1111/joca.12066 PG 30 WC Business; Economics SC Business & Economics GA CD6SI UT WOS:000351219200005 ER PT J AU Boshara, R Emmons, WR AF Boshara, Ray Emmons, William R. TI A Balance Sheet Perspective on Financial Success: Why Starting Early Matters SO JOURNAL OF CONSUMER AFFAIRS LA English DT Article ID CHILD-DEVELOPMENT ACCOUNTS; HOUSE PRICES; WEALTH; OUTCOMES; CRISIS; MARKET; RISK AB This paper offers four ideas. First, a balance sheet perspective on financial success is constructive, and that a meaningful measure of the success of financial capability efforts is the health of one's balance sheet. Second, given relatively weak balance sheets among younger Americans before and after the Great Recession, and given that economically vulnerable families assumed greater balance sheet risk heading into the recession, efforts to build healthy, diversified balance sheets early in life should be strongly considered. Third, policies that establish savings accounts at birth or when entering kindergarten, which have been enacted or proposed at the local, state and national levels, hold particular promise and thus merit further consideration by policymakers, researchers, and others. Fourth, efforts to build savings and assets early in life are likely to yield benefits to children, families, and the economy. Further research and demonstration efforts are critical to moving this agenda forward. C1 [Boshara, Ray; Emmons, William R.] Fed Reserve Bank St Louis, Ctr Household Financial Stabil, St Louis, MO 63102 USA. RP Boshara, R (reprint author), Fed Reserve Bank St Louis, Ctr Household Financial Stabil, St Louis, MO 63102 USA. EM Ray.J.Boshara@stls.frb.org; William.R.Emmons@stls.frb.org NR 50 TC 0 Z9 0 U1 1 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-0078 EI 1745-6606 J9 J CONSUM AFF JI J. Consum. Aff. PD SPR PY 2015 VL 49 IS 1 SI SI BP 267 EP 298 DI 10.1111/joca.12056 PG 32 WC Business; Economics SC Business & Economics GA CD6SI UT WOS:000351219200011 ER PT J AU Cooper, D Luengo-Prado, MJ AF Cooper, Daniel Luengo-Prado, Maria Jose TI House price growth when children are teenagers: A path to higher earnings? SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE House prices; Homeownership; Intergenerational earnings; Wealth effects; Home equity borrowing ID HOMEOWNERSHIP; IMPACT; INCOME; BENEFITS; WEALTH AB This paper examines whether rising house prices immediately prior to children entering college have an impact on their earnings as adults. Higher house prices provide homeowners with additional funding to invest in their children's human capital but also raise housing costs. The results show that a 1 percentage point increase in house prices, when children are 17 years-old, results in roughly 0.9 percent higher annual income for the children of homeowners, and 1.5 percent lower annual income for the children of renters. House price appreciation at age 17 also leads to higher college enrollment rates at age 19 and an increased likelihood of attendance at higher ranked post-secondary institutions for children of homeowners, as well as lower college enrollment rates for children of renters. (C) 2014 Elsevier Inc. All rights reserved. C1 [Cooper, Daniel; Luengo-Prado, Maria Jose] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Luengo-Prado, Maria Jose] Northeastern Univ, Boston, MA 02115 USA. RP Cooper, D (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 24 TC 2 Z9 2 U1 3 U2 6 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 EI 1095-9068 J9 J URBAN ECON JI J. Urban Econ. PD MAR PY 2015 VL 86 BP 54 EP 72 DI 10.1016/j.jue.2014.12.003 PG 19 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA CD6GX UT WOS:000351188700005 ER PT J AU Swamy, PAVB Tavlas, GS Hall, SG AF Swamy, P. A. V. B. Tavlas, G. S. Hall, S. G. TI MICROPRODUCTION FUNCTIONS WITH UNIQUE COEFFICIENTS AND ERRORS: A RECONSIDERATION AND RESPECIFICATION SO MACROECONOMIC DYNAMICS LA English DT Article DE Microproduction Function; Correct Functional Form; Cambridge Capital Controversy; Measurement Error; Sufficient Set of Excluded Regressors AB Estimated microproduction functions confront two major problems-those of (1) unknown functional forms and (2) the measurement of capital independent of the distribution of output among the factors of production. The latter problem has emerged unresolved from the earlier Cambridge capital controversy. In the presence of these two problems, all specifications of microproduction functions have involved nonunique coefficients and error terms. We provide a method of deriving time-varying coefficients that produces unique coefficients and error terms. Specifically, we respecify the microproduction function in such a way that its coefficients are the sums of (i) the appropriate partial derivatives and (ii) exact representations of excluded-variable biases. By decomposing the total coefficients, we obtain the unique coefficients and a unique error term. Our treatment of heterogeneous capital is not subject to the criticisms of that concept that emerged during the Cambridge controversy. C1 [Swamy, P. A. V. B.] Fed Reserve Board, Washington, DC 20551 USA. [Tavlas, G. S.; Hall, S. G.] Bank Greece, Athens, Greece. [Hall, S. G.] Univ Leicester, Leicester LE1 7RH, Leics, England. [Hall, S. G.] NIESR, London, England. EM swamyparavastu@hotmail.com NR 38 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 EI 1469-8056 J9 MACROECON DYN JI Macroecon. Dyn. PD MAR PY 2015 VL 19 IS 2 BP 311 EP 333 DI 10.1017/S1365100513000412 PG 23 WC Economics SC Business & Economics GA CD6UX UT WOS:000351226400004 ER PT J AU Abel, JR Deitz, R AF Abel, Jaison R. Deitz, Richard TI Agglomeration and job matching among college graduates SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE Agglomeration; Labor market matching; Productivity; Underemployment; Urban wage premium ID YOUNG MEN; PRODUCTIVITY; CITIES; MARKET; LABOR; ASTERISK; HETEROGENEITY; ECONOMIES; EDUCATION; EARNINGS AB We examine job matching as a potential source of urban agglomeration economies. Focusing on college graduates, we construct two direct measures of job matching based on how well an individual's job corresponds to their college education. Consistent with matching-based theories of urban agglomeration, we find evidence that larger and thicker local labor markets increase both the likelihood and quality of a job match for college graduates. We then assess the extent to which better job matching of college-educated workers increases individual-level wages and thereby contributes to the urban wage premium. We find that college graduates with better job matches do indeed earn higher wages on average, though the contribution of such job matching to aggregate urban productivity appears to be relatively modest. (C) 2014 Elsevier B.V. All rights reserved. C1 [Abel, Jaison R.; Deitz, Richard] Fed Reserve Bank New York, Res & Stat Grp, Buffalo, NY 14203 USA. RP Abel, JR (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 237 Main St,Suite 1200, Buffalo, NY 14203 USA. EM jaison.abel@ny.frb.org NR 35 TC 2 Z9 2 U1 3 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 EI 1879-2308 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD MAR PY 2015 VL 51 BP 14 EP 24 DI 10.1016/j.regsciurbeco.2014.12.001 PG 11 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA CE2KA UT WOS:000351643300003 ER PT J AU Pasquariello, P Vega, C AF Pasquariello, Paolo Vega, Clara TI Strategic Cross-Trading in the US Stock Market* SO REVIEW OF FINANCE LA English DT Article ID NYSE SPECIALIST FIRMS; IMPERFECT COMPETITION; EXECUTION COSTS; FINANCIAL CONTAGION; EMPIRICAL-ANALYSIS; TRANSACTION COSTS; ASSET PRICES; TIME-SERIES; ORDER FLOW; LIQUIDITY AB We model and test for the role of heterogeneously informed, strategic multi-asset speculation for cross-price impact-the impact of trades in one asset on the prices of other (even unrelated) assets-in the U.S. stock market. Our investigation of the trading activity in New York Stock Exchange (NYSE) and National Association of Securities Dealers Automated Quotation System (NASDAQ) stocks between 1993 and 2004 reveals that, consistent with our model, (1) daily order imbalance in one industry or random stock has a significant, persistent, and robust impact on daily returns of other (even unrelated) industries or random stocks; (2) cross-price impact is often negative; and (3) both direct (i.e., an asset's own) and absolute (i.e., unsigned) cross-price impact are smaller when speculators are more numerous, greater when market-wide dispersion of beliefs is higher, and greater among stocks dealt by the same specialist. C1 [Pasquariello, Paolo] Ross Sch Business, Ann Arbor, MI 48109 USA. [Vega, Clara] Fed Reserve Board Governors, Washington, DC USA. RP Pasquariello, P (reprint author), Ross Sch Business, Ann Arbor, MI 48109 USA. FU Mitsui Financial Research Center FX The authors thank the Mitsui Financial Research Center for financial support, Hien Tran for outstanding research assistance, and Thierry Foucault (the editor), an anonymous referee, Robert Battalio, Alessandro Beber, Paul Bennett, Sreedhar Bharath, Tarun Chordia, Shane Corwin, Diego Garcia, Robin Greenwood, Robert Jennings, Kenneth Lee, Bruce Lehmann, Bruce Mizrach, Pamela Moulton, Amiyatosh Purnanandam, Uday Rajan, Gideon Saar, Avanidhar Subrahmanyam, Hayong Yun, and seminar participants at the University of North Carolina, University of Amsterdam, Vanderbilt University, University of Toronto, University of Notre Dame, EPFL, 2008 NBER Market Microstructure meetings, Second Erasmus Liquidity Conference, and 2010 AFA meetings for comments. NR 78 TC 0 Z9 0 U1 3 U2 6 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1572-3097 EI 1573-692X J9 REV FINANC JI Rev. Financ. PD MAR PY 2015 VL 19 IS 1 BP 229 EP 282 DI 10.1093/rof/rft055 PG 54 WC Business, Finance; Economics SC Business & Economics GA CE0VF UT WOS:000351525900006 ER PT J AU Hore, S AF Hore, Satadru TI Equilibrium Predictability, Term Structure of Equity Premia, and Other Return Characteristics SO REVIEW OF FINANCE LA English DT Article ID PREDICTIVE REGRESSIONS; DIVIDEND YIELDS; EXPLANATION; PUZZLES AB This article presents a structural model of aggregate return characteristics based on a one-channel Bansal and Yaron (2004) economy under recursive preferences. The results rest on an endogenously determined price-dividend ratio that is not exponentially affine, which implies time-variation and predictability of equity premia. The predictability coefficient itself is stochastic. This provides theoretical foundations for recent works in predictability like Dangl and Halling (2011). In longer horizons, the predictability relationship is highly volatile making it difficult to make inferences about long-horizon predictability. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Hore, S (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 22 TC 0 Z9 0 U1 2 U2 3 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1572-3097 EI 1573-692X J9 REV FINANC JI Rev. Financ. PD MAR PY 2015 VL 19 IS 1 BP 423 EP 466 DI 10.1093/rof/rft061 PG 44 WC Business, Finance; Economics SC Business & Economics GA CE0VF UT WOS:000351525900011 ER PT J AU Khan, S Knotek, ES AF Khan, Shujaat Knotek, Edward S., II TI Drifting inflation targets and monetary stagflation SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Stagflation; Inflation; Time-varying inflation target; Monetary policy rules; Imperfect information ID TREND INFLATION; TERM STRUCTURE; POLICY; EXPECTATIONS; PERSISTENCE; MODELS; US AB This paper revisits the phenomenon of stagflation. Using a standard New Keynesian dynamic, stochastic general equilibrium model, we show that stagflation from monetary policy alone is a very common occurrence when the economy is subject to both deviations from the policy rule and a drifting inflation target. Once the inflation target is fixed, the incidence of stagflation in the baseline model is essentially eliminated. In contrast with several other recent papers that have focused on the connection between monetary policy and stagflation, we show that while high uncertainty about monetary policy actions can be conducive to the occurrence of stagflation, imperfect information more generally is not a requisite channel to generate stagflation. (C) 2014 Elsevier B.V. All rights reserved. C1 [Khan, Shujaat] Johns Hopkins Univ, Baltimore, MD 21218 USA. [Knotek, Edward S., II] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Knotek, ES (reprint author), Fed Reserve Bank Cleveland, Res Dept, POB 6387, Cleveland, OH 44101 USA. EM edward.knotek@clev.frb.org NR 29 TC 0 Z9 0 U1 2 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAR PY 2015 VL 52 BP 39 EP 54 DI 10.1016/j.jedc.2014.11.007 PG 16 WC Economics SC Business & Economics GA CD1KT UT WOS:000350834500004 ER PT J AU de Groot, O AF de Groot, Oliver TI Solving asset pricing models with stochastic volatility SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Endowment model; Price-dividend ratio; Closed-form solution; Numerical methods ID EQUITY PREMIUM; SHOCKS; PUZZLE; RISK AB This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The growth rate of the endowment is a first-order Gaussian autoregression, while the stochastic volatility innovations can be drawn from any distribution for which the moment-generating function exists. The solution is useful in allowing comparisons among numerical methods used to approximate the nontrivial closed form. The closed-form solution reveals that, when using perturbation methods around the deterministic steady state, the approximate solution needs to be sixth-order accurate in order for the parameter capturing the conditional standard deviation of the stochastic volatility process to be present. Published by Elsevier B.V. C1 Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP de Groot, O (reprint author), Board Governors Fed Reserve Syst, Washington, DC 20551 USA. EM oliver.v.degroot@frb.gov NR 21 TC 0 Z9 0 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAR PY 2015 VL 52 BP 308 EP 321 DI 10.1016/j.jedc.2015.01.001 PG 14 WC Economics SC Business & Economics GA CD1KT UT WOS:000350834500019 ER PT J AU Chauvet, M Senyuz, Z Yoldas, E AF Chauvet, Marcelle Senyuz, Zeynep Yoldas, Emre TI What does financial volatility tell us about macroeconomic fluctuations? SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Financial volatility; Real-time data; Predictive ability tests; Dynamic factor model; Markov switching ID STOCK-MARKET VOLATILITY; PREDICTIVE ABILITY; EXPECTED RETURNS; CREDIT SPREADS; BUSINESS-CYCLE; TIME; MODEL; RISK; BEHAVIOR; SHOCKS AB We provide an extensive analysis of the predictive ability of financial volatility for economic activity. We consider monthly measures of realized and implied volatility from the stock and bond markets. In a dynamic factor framework, we extract the common long-run component of volatility that is likely to be linked to economic fundamentals. Based on powerful in-sample predictive ability tests, we find that the stock volatility measures and the common factor significantly improve macroeconomic forecasts of conventional financial indicators, especially over short horizons. A real-time out of sample assessment yields similar conclusions under the assumption of noisy revisions in macroeconomic data. In a nonlinear extension of the dynamic factor model, we identify two distinct volatility regimes, and show that the high-volatility regime provides early signals of the Great Recession, which was associated with severe financial distress and credit disintermediation. Published by Elsevier B.V. C1 [Chauvet, Marcelle] Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA. [Senyuz, Zeynep; Yoldas, Emre] Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. RP Yoldas, E (reprint author), Fed Reserve Board, Div Monetary Affairs, 20th & C St NW, Washington, DC 20551 USA. EM chauvet@ucr.edu; zeynep.senyuz@frb.gov; emre.yoldas@frb.gov NR 39 TC 1 Z9 1 U1 4 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAR PY 2015 VL 52 BP 340 EP 360 DI 10.1016/j.jedc.2015.01.002 PG 21 WC Economics SC Business & Economics GA CD1KT UT WOS:000350834500021 ER PT J AU Fuerst, TS AF Fuerst, Timothy S. TI Monetary policy and the term premium SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Monetary policy; Financial markets; Term premium AB The term premium has become increasingly important in discussions of monetary policy formulation. This paper reviews two approaches to embedding a variable term premium into an otherwise standard modern DSGE model. The first approach maintains frictionless asset trade but alters preferences so that agents are more averse to the risk in long bonds. The second approach uses traditional preferences, but segments asset trade between long and short bonds. Policy issues are also discussed. (C) 2014 Elsevier B.V. All rights reserved. C1 [Fuerst, Timothy S.] Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. [Fuerst, Timothy S.] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Fuerst, TS (reprint author), Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. EM tfuerst@nd.edu NR 15 TC 0 Z9 0 U1 1 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAR PY 2015 VL 52 BP A1 EP A10 DI 10.1016/j.jedc.2014.09.027 PG 10 WC Economics SC Business & Economics GA CD1KT UT WOS:000350834500022 ER PT J AU Nalewaik, J Pinto, E AF Nalewaik, Jeremy Pinto, Eugenio TI The response of capital goods shipments to demand over the business cycle SO JOURNAL OF MACROECONOMICS LA English DT Article DE Shipments; Orders; Business investment; Business cycles; Threshold cointegration; Markov-switching models ID S INVENTORY POLICIES; THRESHOLD COINTEGRATION; AUTOMOBILE-INDUSTRY; EQUILIBRIUM; BEHAVIOR; FLUCTUATIONS; ADJUSTMENT; STOCK; PRICE; US AB We study how producers of capital goods set shipments in response to fluctuations in new orders. We find that shipments respond more to orders when new orders fall below a certain level relative to shipments, usually after orders plunge in recessions. This cyclical change in producers' behavior accounts for a considerable portion of the downturn in equipment investment in the 2001 and 2008-9 recessions. A simple model of production to order suggests that heightened persistence in new orders growth may explain the greater responsiveness of shipments, as may increases in the producers' target delivery lag. Published by Elsevier Inc. C1 [Nalewaik, Jeremy; Pinto, Eugenio] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Nalewaik, J (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW Stop 80, Washington, DC 20551 USA. EM jeremy.j.nalewaik@frb.gov; eugenio.p.pinto@frb.gov NR 31 TC 0 Z9 0 U1 2 U2 3 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD MAR PY 2015 VL 43 BP 62 EP 80 DI 10.1016/j.jmacro.2014.09.003 PG 19 WC Economics SC Business & Economics GA CD2TH UT WOS:000350931400005 ER PT J AU Mora, N AF Mora, Nada TI LENDER EXPOSURE AND EFFORT IN THE SYNDICATED LOAN MARKET SO JOURNAL OF RISK AND INSURANCE LA English DT Article ID FINANCIAL INTERMEDIATION; COVENANTS; SALES; SECURITIZATION; BANKS; ASYMMETRIES; CONTRACTS; CREDIT AB This article tests for asymmetric information problems between the lead arranger and the participants in a lending syndicate. One problem comes from adverse selection, whereby the lead has a private informational advantage over participants. A second problem comes from moral hazard, whereby the lead puts less effort in monitoring when it retains a smaller loan share. Applying an instrumental variables strategy using lending limits, borrower performance is improved by increasing the lead's share. The focus is on separating moral hazard from adverse selection and the results are consistently indicative of monitoring. First, the lead's share is more important for revocable credit lines than for fully funded term facilities. Second, a lead with greater liquidity risk reduces its share resulting in worse borrower performance, but its liquidity risk does not affect the quality of credits it chooses to syndicate in the first place. Third, covenants are paired with a higher lead share, and the sensitivity between share and borrower ex post performance is greater on loans with more covenants. C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Mora, N (reprint author), Fed Reserve Bank Kansas City, 1 Mem Dr, Kansas City, MO 64198 USA. EM nada.mora@kc.frb.org NR 46 TC 1 Z9 1 U1 8 U2 16 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-4367 EI 1539-6975 J9 J RISK INSUR JI J. Risk Insur. PD MAR PY 2015 VL 82 IS 1 BP 205 EP 252 DI 10.1111/jori.12020 PG 48 WC Business, Finance; Economics SC Business & Economics GA CC1YG UT WOS:000350140700008 ER PT J AU Mcelroy, T Trimbur, T AF Mcelroy, Tucker Trimbur, Thomas TI SIGNAL EXTRACTION FOR NON-STATIONARY MULTIVARIATE TIME SERIES WITH ILLUSTRATIONS FOR TREND INFLATION SO JOURNAL OF TIME SERIES ANALYSIS LA English DT Article DE co-integration; common trends; filters; multivariate models; stochastic trends; unobserved components ID COINTEGRATION AB This article advances the theory and methodology of signal extraction by developing the optimal treatment of difference stationary multivariate time-series models. Using a flexible time-series structure that includes co-integrated processes, we derive and prove formulas for minimum mean square error estimation of signal vectors in multiple series, from both a finite sample and a bi-infinite sample. As an illustration, we present econometric measures of the trend in total inflation that make optimal use of the signal content in core inflation. C1 [Mcelroy, Tucker] US Bur Census, Washington, DC 20233 USA. [Trimbur, Thomas] Fed Reserve Board, Washington, DC USA. [Trimbur, Thomas] Johns Hopkins Univ, Baltimore, MD 21218 USA. RP Trimbur, T (reprint author), Johns Hopkins Univ, Baltimore, MD 21218 USA. EM ttrimbu1@jhu.edu NR 21 TC 1 Z9 1 U1 1 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0143-9782 EI 1467-9892 J9 J TIME SER ANAL JI J. Time Ser. Anal. PD MAR PY 2015 VL 36 IS 2 BP 209 EP 227 DI 10.1111/jtsa.12102 PG 19 WC Mathematics, Interdisciplinary Applications; Statistics & Probability SC Mathematics GA CB7BZ UT WOS:000349782400004 ER PT J AU Fernandez-Villaverde, J Guerron-Quintana, P Rubio-Ramirez, JF AF Fernandez-Villaverde, Jesus Guerron-Quintana, Pablo Rubio-Ramirez, Juan F. TI Estimating dynamic equilibrium models with stochastic volatility SO JOURNAL OF ECONOMETRICS LA English DT Article DE Dynamic equilibrium models; Stochastic volatility; Parameter drifting; Bayesian methods ID MAXIMUM-LIKELIHOOD-ESTIMATION; BAYESIAN-INFERENCE; MONETARY-POLICY; APPROXIMATION; DIFFUSIONS; EXPANSIONS; FILTERS AB This paper develops a particle filtering algorithm to estimate dynamic equilibrium models with stochastic volatility using a likelihood-based approach. The algorithm, which exploits the structure and profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large-scale models. As an application, we use our algorithm and Bayesian methods to estimate a business cycle model of the US economy with both stochastic volatility and parameter drifting in monetary policy. Our application shows the importance of stochastic volatility in accounting for the dynamics of the data. (C) 2014 Elsevier B.V. All rights reserved. C1 [Fernandez-Villaverde, Jesus] Univ Penn, NBER, Philadelphia, PA 19104 USA. [Fernandez-Villaverde, Jesus] CEPR, Washington, DC USA. [Guerron-Quintana, Pablo] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Rubio-Ramirez, Juan F.] Duke Univ, Fed Reserve Bank Atlanta, BBVA Res, Durham, NC 27706 USA. [Rubio-Ramirez, Juan F.] FEDEA, Houston, TX USA. RP Guerron-Quintana, P (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. EM jesusfv@econ.upenn.edu; pablo.guerron@phil.frb.org; juan.rubio-ramirez@duke.edu FU Institute for Economic Analysis (IAE); "Programa de Excelencia en Educacion e Investigacion" of the Bank of Spain; spanish ministry of science and technology [ECO2011-30323-c03-01]; NSF [0719405] FX We thank Andre Kurmann, Jim Nason, Frank Schorfheide, Neil Shephard, Tao Zha, the editor Yacine Ait-Sahalia, two referees, and participants at several seminars for useful comments, and Bela Szemely for invaluable research assistance. This paper borrows material from our manuscript "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in US Data". Beyond the usual disclaimer, we must note that any views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Atlanta, the Federal Reserve Bank of Philadelphia, or the Federal Reserve System. Juan F. Rubio-Ramirez also thanks the Institute for Economic Analysis (IAE) and the "Programa de Excelencia en Educacion e Investigacion" of the Bank of Spain, and the spanish ministry of science and technology Ref. ECO2011-30323-c03-01 for support. Finally, we also thank the NSF grant no. 0719405 for financial support. NR 35 TC 3 Z9 3 U1 1 U2 4 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 EI 1872-6895 J9 J ECONOMETRICS JI J. Econom. PD MAR PY 2015 VL 185 IS 1 BP 216 EP 229 DI 10.1016/j.jeconom.2014.08.010 PG 14 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA CB4IH UT WOS:000349590900012 ER PT J AU Angelini, P Clerc, L Curdia, V Gambacorta, L Gerali, A Locarno, A Motto, R Roeger, W Van den Heuvel, S Vlcek, J AF Angelini, Paolo Clerc, Laurent Curdia, Vasco Gambacorta, Leonardo Gerali, Andrea Locarno, Alberto Motto, Roberto Roeger, Werner Van den Heuvel, Skander Vlcek, Jan TI BASEL III: LONG-TERM IMPACT ON ECONOMIC PERFORMANCE AND FLUCTUATIONS SO MANCHESTER SCHOOL LA English DT Article ID BANK CAPITAL REQUIREMENTS; RATIOS; CREDIT; CYCLES; COST AB Using a wide range of macroeconomic and econometric models we assess the long-term economic impact of the Basel III reform. Our main results are the following. (1) The economic costs of the new regulatory standards for bank capital and liquidity are considerably below existing estimates of the benefits that the reform should have by reducing the probability of banking crises (Basel Committee on Banking Supervision (2010) An Assessment of the Long-term Impact of Stronger Capital and Liquidity Requirements', Basel). (2) The reform dampens output volatility modestly, although there is some heterogeneity across models. (3) The adoption of countercyclical capital buffers can substantially amplify the dampening effect on output volatility. C1 [Angelini, Paolo; Gerali, Andrea; Locarno, Alberto] Bank Italy, San Francisco, CA 94111 USA. [Clerc, Laurent] Banque France, Paris, France. [Curdia, Vasco] Fed Reserve Bank New York, New York, NY USA. [Gambacorta, Leonardo] Bank Int Settlements, Basel, Switzerland. [Motto, Roberto] European Cent Bank, Frankfurt, Germany. [Roeger, Werner] European Commiss, Ispra, Italy. [Van den Heuvel, Skander] Fed Reserve Syst, Board Governors, Washington, DC USA. [Vlcek, Jan] Int Monetary Fund, Washington, DC 20431 USA. RP Angelini, P (reprint author), Bank Italy, San Francisco, CA 94111 USA. NR 46 TC 4 Z9 4 U1 2 U2 12 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1463-6786 EI 1467-9957 J9 MANCH SCH JI Manch. Sch. PD MAR PY 2015 VL 83 IS 2 BP 217 EP 251 DI 10.1111/manc.12056 PG 35 WC Economics SC Business & Economics GA AZ9XQ UT WOS:000348568000004 ER PT J AU Anderson, RG Chauvet, M Jones, B AF Anderson, Richard G. Chauvet, Marcelle Jones, Barry TI Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy SO ECONOMETRIC REVIEWS LA English DT Article DE Turning-point analysis; Transitory component; Markov switching; Permanent component; Divisia monetary aggregates; Prices; Unobserved components; Income ID MARKOV-SWITCHING MODEL; LIKELIHOOD RATIO TEST; LINEAR-MODELS; CHANGE-POINT; MONEY; DIVISIA; CYCLES; TRENDS; COINTEGRATION; TRANSMISSION AB This paper uses several methods to study the interrelationship among Divisia monetary aggregates, prices, and income, allowing for nonstationary, nonlinearities, asymmetries, and time-varying relationships among the series. We propose a multivariate regime switching unobserved components model to obtain transitory and permanent components for each series, allowing for potential recurrent and structural changes in their dynamics. Each component follows distinct two-state Markov processes representing low or high phases. Since the lead-lag relationship between the phases can vary over time, rather than pre-imposing a structure to their linkages, the proposed flexible framework enables us to study their specific lead-lag relationship over each one of their cycles and over each U.S. recession in the last 40 years. The decomposition of the series into permanent and transitory components reveals striking results. First, we find a strong nonlinear association between the components of money and prices-all low phases of the transitory component of prices were preceded by tight transitory and permanent money phases. We also find that most recessions were preceded by tight money phases (its cyclical and permanent components) and high transitory price phases (with the exception of the 2001 and 2009-2010 recessions). In addition, all recessions were associated with a decrease in transitory and permanent income. C1 [Anderson, Richard G.] Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. [Chauvet, Marcelle] Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA. [Jones, Barry] SUNY Binghamton, Dept Econ, Binghamton, NY 13902 USA. RP Jones, B (reprint author), SUNY Binghamton, Dept Econ, POB 6000, Binghamton, NY 13902 USA. EM bjones@binghamton.edu NR 51 TC 8 Z9 8 U1 8 U2 29 PU TAYLOR & FRANCIS INC PI PHILADELPHIA PA 530 WALNUT STREET, STE 850, PHILADELPHIA, PA 19106 USA SN 0747-4938 EI 1532-4168 J9 ECONOMET REV JI Econom. Rev. PD FEB 7 PY 2015 VL 34 IS 1-2 SI SI BP 228 EP 254 DI 10.1080/07474938.2014.945386 PG 27 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA AR0DO UT WOS:000343237200011 ER PT J AU Chakrabarti, R Roy, J AF Chakrabarti, Rajashri Roy, Joydeep TI Housing markets and residential segregation: Impacts of the Michigan school finance reform on inter- and intra-district sorting SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE Spatial segregation; School finance reform; Tiebout sorting; Peer effects ID PUBLIC-SCHOOLS; STRATIFICATION; HETEROGENEITY; EDUCATION; STUDENTS AB Local financing of public schools in the U.S. leads to a bundling of two distinct choices - residential choice and school choice - and has been argued to increase the degree of socioeconomic segregation across school districts. A school finance reform, aimed at equalization of school finances, can in principle weaken this link between housing choice and choice of schools. In this paper, we study the impacts of the Michigan school finance reform of 1994 (Proposal A) on spatial segregation. The reform was a state initiative intended to equalize per pupil expenditures between Michigan school districts and reduce the role of local financing. We find that Proposal A led to a decline in neighborhood sorting within education markets, as measured by changes in the value of housing stock and several socioeconomic indicators. We also find that the reform affected the dispersion of incomes and educational attainment within school districts, increasing within-district heterogeneity in the lowest spending school districts, while decreasing the same in the highest spending districts. However, there is a continued high demand for residence in the highest spending communities. These findings are robust to various alternative definitions of "education market", and survive several sensitivity checks. These spatial segregation patterns are not replicated in neighboring Ohio that did not face similar school finance equalization. (C) 2014 Elsevier B.V. All rights reserved. C1 [Chakrabarti, Rajashri] Fed Reserve Bank New York, New York, NY 10045 USA. [Roy, Joydeep] Columbia Univ, New York, NY 10027 USA. [Roy, Joydeep] Independent Budget Off, Washington, DC USA. RP Chakrabarti, R (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM Rajashri.Chakrabarti@ny.frb.org; jr3137@columbia.edu NR 26 TC 0 Z9 0 U1 7 U2 23 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD FEB PY 2015 VL 122 BP 110 EP 132 DI 10.1016/j.pubeco.2014.08.007 PG 23 WC Economics SC Business & Economics GA CE7US UT WOS:000352047900009 ER PT J AU Matthes, C AF Matthes, Christian TI Figuring Out the Fed-Beliefs about Policymakers and Gains from Transparency SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE learning; Federal Reserve; commitment; discretion ID OPTIMAL MONETARY-POLICY; NOMINAL INTEREST-RATES; INCOMPLETE INFORMATION; REGIME SWITCHES; US INFLATION; DSGE MODELS; COMMITMENT; EXPECTATIONS; PERSISTENCE; RIGIDITIES AB In this paper, I use a Markov chain Monte Carlo algorithm to estimate a model of private-sector behavior that does not feature private-sector knowledge of the monetary policymaking process and, instead, leaves firms and households uncertain about how monetary policy is set. The private sector entertains two competing views of monetary policymaking, which I estimate. Firms and households use Bayes' law on a rolling data sample to distinguish between those two models. I use this setup to study the evolution of beliefs about the Federal Reserve and the possible gains from transparency. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. RP Matthes, C (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. EM christian.matthes@rich.frb.org NR 50 TC 2 Z9 2 U1 1 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2015 VL 47 IS 1 BP 1 EP 29 DI 10.1111/jmcb.12167 PG 29 WC Business, Finance; Economics SC Business & Economics GA CE0RX UT WOS:000351514200001 ER PT J AU Boz, E Durdu, CB Li, N AF Boz, Emine Durdu, C. Bora Li, Nan TI Emerging Market Business Cycles: The Role of Labor Market Frictions SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE emerging markets; labor markets; business cycles; search frictions ID SMALL OPEN-ECONOMY; EQUILIBRIUM UNEMPLOYMENT; CYCLICAL BEHAVIOR; SUDDEN STOPS; SEARCH; FLUCTUATIONS; COUNTRIES; MODELS; VACANCIES; DEFAULT AB Emerging economies are characterized by higher variability of consumption and real wages relative to output and a strongly countercyclical current account. A small open economy model with search-matching frictions and countercyclical interest rate shocks can account for these regularities. Search-matching frictions affect permanent income, and increase future employment uncertainty, heightening workers' incentives to save and generating a greater response of consumption and the current account. The greater consumption response feeds into larger fluctuations in workers' willingness to work, while interest rate shocks lead to variations in firms' willingness to hire; both of these outcomes contribute to highly variable wages. C1 [Boz, Emine] Int Monetary Fund, Res Dept, Washington, DC 20431 USA. [Durdu, C. Bora] Fed Reserve Board, Res & Stat Div, Washington, DC USA. [Li, Nan] Int Monetary Fund, Inst Capac Dev, Washington, DC 20431 USA. RP Boz, E (reprint author), Int Monetary Fund, Res Dept, Washington, DC 20431 USA. EM EBoz@imf.org; Bora.Durdu@frb.gov; nli@imf.org NR 44 TC 4 Z9 4 U1 2 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2015 VL 47 IS 1 BP 31 EP 72 DI 10.1111/jmcb.12168 PG 42 WC Business, Finance; Economics SC Business & Economics GA CE0RX UT WOS:000351514200002 ER PT J AU Trehan, B AF Trehan, Bharat TI Survey Measures of Expected Inflation and the Inflation Process SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE inflation; inflation expectations ID UNITED-STATES; EXPECTATIONS; FORECAST; POLICY AB The accuracy of inflation forecasts obtained from household and professional surveys has deteriorated noticeably of late, to the extent that a simple autoregressive specification outperforms survey forecasts. The decline in (absolute and relative) accuracy has taken place at about the same time as an apparent change in the inflation process. Projections of household forecasts on realized inflation suggests that households have not recognized this change. For the professionals, projections of expected inflation on headline inflation have changed, but on core inflation have not. By contrast, projections of realized headline inflation on core have changed sharply. C1 Fed Reserve Bank, Econ Res Dept, San Francisco, CA 94105 USA. RP Trehan, B (reprint author), Fed Reserve Bank, Econ Res Dept, San Francisco, CA 94105 USA. EM bharat.trehan@sf.frb.org NR 25 TC 1 Z9 1 U1 1 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2015 VL 47 IS 1 BP 207 EP 222 DI 10.1111/jmcb.12174 PG 16 WC Business, Finance; Economics SC Business & Economics GA CE0RX UT WOS:000351514200008 ER PT J AU Dupor, B Li, R AF Dupor, Bill Li, Rong TI The expected inflation channel of government spending in the postwar US SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Monetary policy; Fiscal policy; Output multipliers; 2009 Recovery Act ID MONETARY-POLICY; SHOCKS; MULTIPLIER AB There exist sticky price models in which the output response to a government spending change can be large if the central bank is nonresponsive to inflation. According to this "expected inflation channel," government spending drives up expected inflation, which in turn, reduces the real interest rate and leads to an increase in private consumption. This paper examines whether the channel was important in the post-WWII U.S., with particular attention to the 2009 Recovery Act period. First, we show that a model calibrated to have a large output multiplier requires a large response of expected inflation to a government spending shock. Next, we show that this large response is inconsistent with structural vector autoregression evidence from the Federal Reserve's passive policy period (1959-1979). Then, we study expected inflation measures during the Recovery Act period in conjunction with a panel of professional forecaster surveys, a cross-country comparison of bond yields and fiscal policy news announcements. We show that the expected inflation response was too small to engender a large output multiplier. (C) 2014 Elsevier B.V. All rights reserved. C1 [Dupor, Bill] Fed Reserve Bank St Louis, Washington, DC USA. [Li, Rong] Renmin Univ China, Sch Finance, Beijing, Peoples R China. RP Dupor, B (reprint author), Fed Reserve Bank St Louis, Washington, DC USA. EM william.d.dupor@stls.frb.org; lirong.sf@ruc.edu.cn RI Dupor, William/I-5742-2016; OI Dupor, William/0000-0002-2407-2792; Li, Rong/0000-0002-5174-2691 NR 35 TC 3 Z9 3 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD FEB PY 2015 VL 74 BP 36 EP 56 DI 10.1016/j.euroecorev.2014.11.004 PG 21 WC Economics SC Business & Economics GA CC1GJ UT WOS:000350088900003 ER PT J AU Hale, G Minoiu, C AF Hale, Galina Minoiu, Camelia TI MACROECONOMICS OF LOW-INCOME COUNTRIES: NEW PERSPECTIVES SO PACIFIC ECONOMIC REVIEW LA English DT Editorial Material C1 [Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Minoiu, Camelia] Int Monetary Fund, Washington, DC 20431 USA. RP Hale, G (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1361-374X EI 1468-0106 J9 PAC ECON REV JI Pac. Econ. Rev. PD FEB PY 2015 VL 20 IS 1 BP 45 EP 48 DI 10.1111/1468-0106.12093 PG 4 WC Economics SC Business & Economics GA CC2VL UT WOS:000350202700003 ER PT J AU Houssa, R Mohimont, J Otrok, C AF Houssa, Romain Mohimont, Jolan Otrok, Christopher TI SOURCES OF BUSINESS CYCLES IN A LOW INCOME COUNTRY SO PACIFIC ECONOMIC REVIEW LA English DT Article ID EXCHANGE-RATE REGIMES; SUB-SAHARAN AFRICA; MACROECONOMIC FLUCTUATIONS; MONETARY-POLICY; TRADE SHOCKS; CREDIT; TERMS; MODEL; TRANSMISSION; MARKET AB We examine the role of global and domestic shocks in driving macroeconomic fluctuations for Ghana. We are able to study the impact of exogenous shocks, including productivity, credit supply and commodity price shocks. We identify the shocks using a combination of sign and recursive restrictions within Bayesian vector autoregressive models. As a benchmark we provide results for South Africa to document the difference between two economies with similar structures but at different stages of development. We find that global shocks play a more dominant role in South Africa than in Ghana. These shocks operate through three channels: trade, credit and commodity prices. C1 [Houssa, Romain; Mohimont, Jolan] Univ Namur, Namur, Belgium. [Houssa, Romain] Univ Leuven, Leuven, Belgium. [Otrok, Christopher] Univ Missouri, Columbia, MO 65211 USA. [Otrok, Christopher] Fed Reserve Bank St Louis, St Louis, MO USA. RP Houssa, R (reprint author), Univ Namur, Ctr Res Finance & Management, Ctr Res Econ Dev, Dept Econ, Rempart Vierge 8, B-5000 Namur, Belgium. EM romain.houssa@Unamur.be FU UK's Department for International Development (DFID) FX Address for Correspondence: Department of Economics, Centre of Research in the Economics of Development, Center for Research in Finance and Management, University of Namur, Rempart de la Vierge 8, 5000 Namur, Belgium. E-mail: romain.houssa@Unamur.be. This paper is part of a research project on macroeconomic policy in low-income countries supported by the UK's Department for International Development (DFID). The paper was presented at the Conference on 'Macroeconomic Challenges Facing Low-Income Countries: New Perspectives' (Washington, DC, 30-31 January 2014). The views expressed herein are those of the authors and should not be attributed to the IMF, its Executive Board, or its management, or to DFID, or to the Federal Reserve Bank of St Louis. NR 33 TC 0 Z9 0 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1361-374X EI 1468-0106 J9 PAC ECON REV JI Pac. Econ. Rev. PD FEB PY 2015 VL 20 IS 1 BP 125 EP 148 DI 10.1111/1468-0106.12097 PG 24 WC Economics SC Business & Economics GA CC2VL UT WOS:000350202700007 ER PT J AU Swamy, PAVB Mehta, JS Tavlas, GS Hall, SG AF Swamy, P. A. V. B. Mehta, J. S. Tavlas, G. S. Hall, S. G. TI Two applications of the random coefficient procedure: Correcting for misspecifications in a small area level model and resolving Simpson's paradox SO ECONOMIC MODELLING LA English DT Article DE Specification error; False model; Unique coefficient; Unique error term AB We apply a random-coefficient framework to deal with two problems frequently encountered in applied work. First, we use a real-world relationship to derive a sub-relationship among fewer variables without introducing any specification error to correct misspecifications in a small area level model. Second, we then use this framework to resolve Simpson's paradox. We show that this paradox does not arise if a statistical relationship between a pair of variables is derived from the corresponding real-world relationship involving all relevant variables, including the original pair, without introducing a single specification error. (C) 2014 Elsevier B.V. All rights reserved. C1 [Swamy, P. A. V. B.] Fed Reserve Board, Kingstowne, VA 22315 USA. [Mehta, J. S.] Temple Univ, Dept Math, Philadelphia, PA 19122 USA. [Tavlas, G. S.] Bank Greece, Econ Res Dept, Athens 10250, Greece. [Hall, S. G.] Univ Leicester, Leicester LE1 7RH, Leics, England. [Hall, S. G.] Bank Greece, Leicester LE1 7RH, Leics, England. RP Tavlas, GS (reprint author), Bank Greece, Econ Res Dept, 21 El Venizelos Ave, Athens 10250, Greece. EM swamyparavastu@hotmail.com; mehta1007@comcast.net; gtavlas@bankofgreece.gr; s.g.hall@le.ac.uk NR 20 TC 0 Z9 0 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0264-9993 EI 1873-6122 J9 ECON MODEL JI Econ. Model. PD FEB PY 2015 VL 45 BP 93 EP 98 DI 10.1016/j.econmod.2014.10.053 PG 6 WC Economics SC Business & Economics GA CB4HX UT WOS:000349589900008 ER PT J AU Acharya, VV Mora, N AF Acharya, Viral V. Mora, Nada TI A Crisis of Banks as Liquidity Providers SO JOURNAL OF FINANCE LA English DT Article ID COMMERCIAL PAPER MARKET; FINANCIAL CRISIS; DEPOSIT INSURANCE; LAST RESORT; RISK; MANAGEMENT; LENDER; SYSTEM; FUNDS; SAFE AB Can banks maintain their advantage as liquidity providers when exposed to a financial crisis? While banks honored credit lines drawn by firms during the 2007 to 2009 crisis, this liquidity provision was only possible because of explicit, large support from the government and government-sponsored agencies. At the onset of the crisis, aggregate deposit inflows into banks weakened and their loan-to-deposit shortfalls widened. These patterns were pronounced at banks with greater undrawn commitments. Such banks sought to attract deposits by offering higher rates, but the resulting private funding was insufficient to cover shortfalls and they reduced new credit. C1 [Acharya, Viral V.] NYU, New York, NY 10003 USA. [Acharya, Viral V.] NBER, Cambridge, MA 02138 USA. [Mora, Nada] Fed Reserve Bank Kansas City, Kansas City, KS USA. RP Acharya, VV (reprint author), NYU, New York, NY 10003 USA. NR 36 TC 13 Z9 13 U1 5 U2 53 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-1082 EI 1540-6261 J9 J FINANC JI J. Financ. PD FEB PY 2015 VL 70 IS 1 BP 1 EP 43 DI 10.1111/jofi.12182 PG 43 WC Business, Finance; Economics SC Business & Economics GA CA2GB UT WOS:000348725800001 ER PT J AU Lucca, DO Moench, E AF Lucca, David O. Moench, Emanuel TI The Pre-FOMC Announcement Drift SO JOURNAL OF FINANCE LA English DT Article ID MONETARY-POLICY; STOCK RETURNS; NEWS; INFORMATION; VOLATILITY; MARKET; US AB We document large average excess returns on U.S. equities in anticipation of monetary policy decisions made at scheduled meetings of the Federal Open Market Committee (FOMC) in the past few decades. These pre-FOMC returns have increased over time and account for sizable fractions of total annual realized stock returns. While other major international equity indices experienced similar pre-FOMC returns, we find no such effect in U.S. Treasury securities and money market futures. Other major U.S. macroeconomic news announcements also do not give rise to preannouncement excess equity returns. We discuss challenges in explaining these returns with standard asset pricing theory. C1 [Lucca, David O.; Moench, Emanuel] Fed Reserve Bank New York, New York, NY 10045 USA. RP Lucca, DO (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 40 TC 17 Z9 16 U1 9 U2 25 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-1082 EI 1540-6261 J9 J FINANC JI J. Financ. PD FEB PY 2015 VL 70 IS 1 BP 329 EP 371 DI 10.1111/jofi.12196 PG 43 WC Business, Finance; Economics SC Business & Economics GA CA2GB UT WOS:000348725800009 ER PT J AU Abdymomunov, A Blei, S Ergashev, B AF Abdymomunov, Azamat Blei, Sharon Ergashev, Bakhodir TI Integrating Stress Scenarios into Risk Quantification Models SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article DE Stress test; Scenarios; VaR; Interest rate risk; Operational risk; Credit risk ID CREDIT RISK AB We enhance the method of integrating scenarios proposed in Ergashev (J Financ Serv Res 41(3):145-161, 2012) into risk models. In particular, we provide additional theoretical insights of the method with focus on stress testing Value-at-Risk models. We extend the application of the method, which is originally proposed for scenario analysis in the operational risk context, to market and credit risks. We provide detailed application guidance of the method for market, credit, and operational risks. The method (i) ensures that a stressed model produces a higher risk estimate than the model based on historical data only and (ii) does not require assumptions on stressed loss distributions, thereby simplifying the scenario generation process. C1 [Abdymomunov, Azamat; Blei, Sharon] Fed Reserve Bank Richmond, Charlotte, NC 28202 USA. [Ergashev, Bakhodir] Off Comptroller Currency, Washington, DC 20024 USA. RP Abdymomunov, A (reprint author), Fed Reserve Bank Richmond, 530 East Trade St, Charlotte, NC 28202 USA. EM Azamat.Abdymomunov@rich.frb.org; sharon.blei@rich.frb.org; bakhodir.ergashev@occ.treas.gov NR 26 TC 0 Z9 0 U1 2 U2 4 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0920-8550 EI 1573-0735 J9 J FINANC SERV RES JI J. Financ. Serv. Res. PD FEB PY 2015 VL 47 IS 1 BP 57 EP 79 DI 10.1007/s10693-014-0194-6 PG 23 WC Business, Finance SC Business & Economics GA CA5WB UT WOS:000348977400003 ER PT J AU Feldman, NE Ruffle, BJ AF Feldman, Naomi E. Ruffle, Bradley J. TI The Impact of Including, Adding, and Subtracting a Tax on Demand SO American Economic Journal-Economic Policy LA English DT Article ID SALIENCE AB We test the equivalence of tax-inclusive, tax-exclusive and tax-rebate prices through a series of experiments differing only in their handling of the tax. Subjects receive a cash budget and decide how much to keep and how much to spend on various attractively priced goods. Subjects spend significantly more under tax-exclusive prices whereas total purchases under tax-inclusive and tax-rebate prices are similar. These results persist throughout most of the ten rounds despite feedback and the ability to revise purchases. The asymmetric response to tax liabilities and rebates highlights consumers' ability both to internalize and to willfully ignore hidden price components. (JEL D12, H25, H31) C1 [Feldman, Naomi E.] Fed Reserve Board, Div Res, Washington, DC 20551 USA. [Ruffle, Bradley J.] Wilfrid Laurier Univ, Dept Econ, Waterloo, ON N2L 3C5, Canada. RP Feldman, NE (reprint author), Fed Reserve Board, Div Res, 20th & C St NW, Washington, DC 20551 USA. EM naomi.e.feldman@frb.gov; bradleyruffle@gmail.com FU Ben-Gurion University FX We are grateful to Ben-Gurion University for funding the experiments. The analysis and conclusions set forth are those of the authors and do not indicate concurrence by the Board of Governors of the Federal Reserve Board or members of the research staff. Each author declares that s/he has no relevant or material financial interests that relate to the research described in this paper. All errors are our own. NR 14 TC 5 Z9 5 U1 2 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 EI 1945-774X J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD FEB PY 2015 VL 7 IS 1 BP 95 EP 118 DI 10.1257/pol.20130101 PG 24 WC Economics SC Business & Economics GA CA4XA UT WOS:000348909500004 ER PT J AU Fisher, LM Lambie-Hanson, L Willen, P AF Fisher, Lynn M. Lambie-Hanson, Lauren Willen, Paul TI The Role of Proximity in Foreclosure Externalities: Evidence from Condominiums SO American Economic Journal-Economic Policy LA English DT Article ID MORTGAGE FORECLOSURES; EQUITY; MARKET; TENURE AB We measure the effect of foreclosures on the sale prices of nearby properties using a dataset of condominiums in Boston. A foreclosure in the same association and at the same address depresses the sale price by 2.5 percent, but properties in the same association but located at a different address have an effect that is tightly estimated at zero. Since properties in the same association are close substitutes, we argue that the evidence points against the pecuniary externality of property coming on the market and toward a physical externality as the source of measured foreclosure externalities. C1 [Fisher, Lynn M.] Univ N Carolina, Kenan Flagler Business Sch, Chapel Hill, NC 27599 USA. [Lambie-Hanson, Lauren] Fed Reserve Bank Philadelphia, Risk Assessment Data Anal & Res Grp, Philadelphia, PA 19106 USA. [Willen, Paul] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Fisher, LM (reprint author), Univ N Carolina, Kenan Flagler Business Sch, CB 3490,McColl Bldg, Chapel Hill, NC 27599 USA. EM lynn_fisher@unc.edu; lauren.lambie-hanson@phil.frb.org; paul.willen@bos.frb.org NR 21 TC 4 Z9 4 U1 1 U2 1 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 EI 1945-774X J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD FEB PY 2015 VL 7 IS 1 BP 119 EP 140 DI 10.1257/pol.20130102 PG 22 WC Economics SC Business & Economics GA CA4XA UT WOS:000348909500005 ER PT J AU Klier, T Linn, J AF Klier, Thomas Linn, Joshua TI Using Taxes to Reduce Carbon Dioxide Emissions Rates of New Passenger Vehicles: Evidence from France, Germany, and Sweden SO American Economic Journal-Economic Policy LA English DT Article ID HYBRID VEHICLES; UNITED-STATES; FUEL; SALIENCE; PRICES; GREEN AB France, Germany, and Sweden link taxes to passenger vehicles' carbon dioxide (CO2) emissions rates. Based on new vehicle registration data from 2005 to 2010, we find that CO2 taxes reduce registrations. The effect is larger in France than in either Germany or Sweden, and the French results are robust to alternative estimation models. Compared with those of France, the German results vary somewhat more, and the Swedish estimates are the least robust. We find some evidence that the French tax affected the mix of new vehicles that vehicle manufacturers offered in the French market. C1 [Klier, Thomas] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Linn, Joshua] Resources Future Inc, Washington, DC 20036 USA. RP Klier, T (reprint author), Fed Reserve Bank Chicago, 230 South LaSalle St, Chicago, IL 60604 USA. EM thomas.klier@chi.frb.gov; linn@rff.org FU Massachusetts Institute of Technology Center for Energy and Environmental Policy Research; Center for Climate and Electricity Policy at Resources for the Future; Swedish Energy Agency FX We thank participants at the summer conference of the Association of Environmental and Resource Economists, the Bergen Economics of Energy and Environment Research Conference, and University of Gothenburg seminars. Linn is grateful to the Massachusetts Institute of Technology Center for Energy and Environmental Policy Research, the Center for Climate and Electricity Policy at Resources for the Future, and the Swedish Energy Agency for supporting the research. Wenfei Du, Jeffrey Ferris, and Taft Foster provided excellent research assistance. NR 18 TC 3 Z9 3 U1 4 U2 20 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 EI 1945-774X J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD FEB PY 2015 VL 7 IS 1 BP 212 EP 242 DI 10.1257/pol.20120256 PG 31 WC Economics SC Business & Economics GA CA4XA UT WOS:000348909500008 ER PT J AU Lutz, B AF Lutz, Byron TI Quasi-Experimental Evidence on the Connection between Property Taxes and Residential Capital Investment SO AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY LA English DT Article ID LOCAL PUBLIC-SECTOR; INTERGOVERNMENTAL GRANTS; TIEBOUT HYPOTHESIS; URBAN-GROWTH; SCHOOLS; PRICES; LAND; EFFICIENCY; VALUATION; TAXATION AB Do low property taxes attract new home construction? This question is answered using a large shock to property tax burdens caused by an unusual school finance reform in the state of New Hampshire. The estimates suggest that, in most of the state, communities with a reduced tax burden experience a substantial increase in residential construction. In the area of the state near the region's primary urban center (Boston), however, the shock clears through a price adjustment-i.e., by capitalizing into property values. The differing responses are attributed to differing housing supply elasticities. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Lutz, B (reprint author), Fed Reserve Syst, Board Governors, MS 83,20th & C St NW, Washington, DC 20551 USA. EM Byron.F.Lutz@frb.gov FU National Science Foundation FX The early stages of this research were supported by the National Science Foundation. NR 61 TC 2 Z9 2 U1 3 U2 12 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 EI 1945-774X J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD FEB PY 2015 VL 7 IS 1 BP 300 EP 330 DI 10.1257/pol.20120017 PG 31 WC Economics SC Business & Economics GA CA4XA UT WOS:000348909500011 ER PT J AU Kollmann, R AF Kollmann, Robert TI Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation and Pruning SO COMPUTATIONAL ECONOMICS LA English DT Article DE Latent state filtering; DSGE model estimation; Second-order approximation; Pruning; Quadratic Kalman filter ID EQUILIBRIUM-MODELS; BUSINESS CYCLES AB This paper develops a novel approach for estimating latent state variables of Dynamic Stochastic General Equilibrium (DSGE) models that are solved using a second-order accurate approximation. I apply the Kalman filter to a state-space representation of the second-order solution based on the 'pruning' scheme of Kim et al. (J Econ Dyn Control 32:3397-3414, 2008). By contrast to particle filters, no stochastic simulations are needed for the deterministic filter here; the present method is thus much faster; in terms of estimation accuracy for latent states it is competitive with the standard particle filter. Use of the pruning scheme distinguishes the filter here from the deterministic Quadratic Kalman filter presented by Ivashchenko (Comput Econ, 43:71-82, 2014). The filter here performs well even in models with big shocks and high curvature. C1 [Kollmann, Robert] Univ Libre Bruxelles, ECARES, B-1050 Brussels, Belgium. [Kollmann, Robert] CEPR, London, England. [Kollmann, Robert] Univ Paris Est, Creteil, France. [Kollmann, Robert] Australian Natl Univ, CAMA, Canberra, ACT, Australia. [Kollmann, Robert] Fed Reserve Bank Dallas, Globalizat & Monetary Policy Inst, Dallas, TX USA. RP Kollmann, R (reprint author), Univ Libre Bruxelles, ECARES, 50 Av Franklin Roosevelt,CP 114, B-1050 Brussels, Belgium. EM robert_kollmann@yahoo.com FU National Bank of Belgium; 'Action de recherche concertee' [ARC-AUWB/2010-15/ULB-11] FX I am very grateful to three anonymous referees for detailed and constructive comments. I also thank Martin Andreasen, Sergey Ivashchenko, Jinill Kim and Raf Wouters for useful discussions. Financial support from the National Bank of Belgium and from 'Action de recherche concertee' ARC-AUWB/2010-15/ULB-11 is gratefully acknowledged. NR 22 TC 2 Z9 2 U1 0 U2 0 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0927-7099 EI 1572-9974 J9 COMPUT ECON JI Comput. Econ. PD FEB PY 2015 VL 45 IS 2 BP 239 EP 260 DI 10.1007/s10614-013-9418-3 PG 22 WC Economics; Management; Mathematics, Interdisciplinary Applications SC Business & Economics; Mathematics GA AZ7RW UT WOS:000348416500004 ER PT B AU Cooper, RN AF Cooper, Richard N. BE Fanelli, JM TI Demography, Economic Growth, and Capital Flows SO ASYMMETRIC DEMOGRAPHY AND THE GLOBAL ECONOMY: GROWTH OPPORTUNITIES AND MACROECONOMIC CHALLENGES IN AN AGEING WORLD LA English DT Article; Book Chapter C1 [Cooper, Richard N.] Harvard Univ, Int Econ, Cambridge, MA 02138 USA. [Cooper, Richard N.] State Econ Affairs, Cambridge, MA USA. [Cooper, Richard N.] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Cooper, Richard N.] Global Dev Network, New Delhi, India. RP Cooper, RN (reprint author), Harvard Univ, Int Econ, Cambridge, MA 02138 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-1-137-48143-6; 978-1-137-48645-5 PY 2015 BP 107 EP 126 D2 10.1057/9781137481436 PG 20 WC Demography; Economics SC Demography; Business & Economics GA BG2ZF UT WOS:000387787400005 ER PT J AU Robinson, S AF Robinson, Sarah BE Robinson, S Pallasmaa, J TI INTRODUCTION: SURVIVAL THROUGH DESIGN SO MIND IN ARCHITECTURE: NEUROSCIENCE, EMBODIMENT, AND THE FUTURE OF DESIGN LA English DT Editorial Material; Book Chapter C1 [Robinson, Sarah] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 4 TC 0 Z9 0 U1 0 U2 0 PU MIT PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 978-0-262-02887-5 PY 2015 BP 1 EP 7 PG 7 WC Architecture SC Architecture GA BE8GN UT WOS:000376452000001 ER PT J AU Robinson, S AF Robinson, Sarah BE Robinson, S Pallasmaa, J TI NESTED BODIES SO MIND IN ARCHITECTURE: NEUROSCIENCE, EMBODIMENT, AND THE FUTURE OF DESIGN LA English DT Article; Book Chapter C1 [Robinson, Sarah] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 34 TC 2 Z9 2 U1 0 U2 0 PU MIT PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 978-0-262-02887-5 PY 2015 BP 137 EP 159 PG 23 WC Architecture SC Architecture GA BE8GN UT WOS:000376452000008 ER PT J AU Foote, CL Ryan, RW AF Foote, Christopher L. Ryan, Richard W. TI Labor-Market Polarization over the Business Cycle SO NBER MACROECONOMICS ANNUAL LA English DT Article ID WAGE STICKINESS; KEYNESIAN MODEL; UNEMPLOYMENT; FLUCTUATIONS AB Job losses in the Great Recession were concentrated among middle-skill workers, the same group that has suffered the most over the long run from automation and international trade. How might long-run occupational polarization be related to cyclical changes in middle-skill employment? We find that middle-skill jobs have traditionally been more cyclical than other jobs, in part because of the volatile industries that tend to employ middle-skill workers. Also, unemployed middle-skill workers appear to have few attractive or feasible employment alternatives outside of their skill class, and the drop in male participation rates during the past several decades can be explained in part by a drying-up of middle-skill job opportunities. Taken together, these results imply that any model relating polarization to middle-skill employment fluctuations must go beyond pure search motives to include industry-level effects as well as a labor-force participation margin. The results thus provide encouragement for a growing literature that integrates "macro-labor" search models with "macro-macro" models featuring differential industry cyclicalities and convex preferences over consumption and leisure. C1 [Foote, Christopher L.] Fed Reserve Bank Boston, Boston, MA USA. [Ryan, Richard W.] Univ Michigan, Ann Arbor, MI 48109 USA. RP Foote, CL (reprint author), Fed Reserve Bank Boston, Boston, MA USA. EM Chris.Foote@bos.frb.org; RichRyan@umich.edu NR 34 TC 0 Z9 0 U1 2 U2 9 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0889-3365 EI 1537-2642 J9 NBER MACROECON ANNU JI NBER Macroecon. Ann. PY 2015 VL 29 IS 1 BP 371 EP 413 DI 10.1086/680656 PG 43 WC Economics SC Business & Economics GA CU8IU UT WOS:000363786400022 ER PT J AU Fernald, JG AF Fernald, John G. TI Productivity and Potential Output before, during, and after the Great Recession SO NBER MACROECONOMICS ANNUAL LA English DT Article ID US ECONOMIC-GROWTH; INFORMATION-TECHNOLOGY; BUSINESS CYCLES; CONTRACTIONARY; IMPROVEMENTS; AGE AB US labor and total-factor productivity growth slowed prior to the Great Recession. The timing rules out explanations that focus on disruptions during or since the recession, and industry and state data rule out "bubble economy" stories related to housing or finance. The slow-down is located in industries that produce information technology (IT) or that use IT intensively, consistent with a return to normal productivity growth after nearly a decade of exceptional IT-fueled gains. A calibrated growth model suggests trend productivity growth has returned close to its 1973-1995 pace. Slower underlying productivity growth implies less economic slack than recently estimated by the Congressional Budget Office. As of 2013, about three-fourths of the shortfall of actual output from (overly optimistic) prerecession trends reflects a reduction in the level of potential. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Fernald, JG (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM John.Fernald@sf.frb.org NR 81 TC 4 Z9 4 U1 3 U2 6 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0889-3365 EI 1537-2642 J9 NBER MACROECON ANNU JI NBER Macroecon. Ann. PY 2015 VL 29 IS 1 BP 1 EP + DI 10.1086/680580 PG 52 WC Economics SC Business & Economics GA CU8IU UT WOS:000363786400002 ER PT J AU Kocherlakota, N AF Kocherlakota, Narayana TI Quantifying the Lasting Harm to the US Economy from the Financial Crisis Comment SO NBER MACROECONOMICS ANNUAL LA English DT Editorial Material ID FISCAL-POLICY C1 [Kocherlakota, Narayana] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Kocherlakota, Narayana] NBER, Cambridge, MA 02138 USA. RP Kocherlakota, N (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN USA. NR 9 TC 0 Z9 0 U1 0 U2 0 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0889-3365 EI 1537-2642 J9 NBER MACROECON ANNU JI NBER Macroecon. Ann. PY 2015 VL 29 IS 1 BP 146 EP 152 DI 10.1086/680586 PG 7 WC Economics SC Business & Economics GA CU8IU UT WOS:000363786400008 ER PT J AU Barsky, RB Basu, S Lee, K AF Barsky, Robert B. Basu, Susanto Lee, Keyoung TI Whither News Shocks? SO NBER MACROECONOMICS ANNUAL LA English DT Article ID BUSINESS-CYCLE; FLUCTUATIONS; TECHNOLOGY; EXPLORATION; RIGIDITIES; INFLATION; PRICES AB Does news about future productivity cause business-cycle fluctuations? What other effects might it have? We explore the answer to this question using semistructural vector autoregressions (VARs), where "news" is defined as the innovation in the expectation of total factor productivity (TFP) at a fixed horizon in the future. We find that systems incorporating a number of forward-looking variables, including stock prices, consumption, and consumer confidence and inflation robustly predict three outcomes. First, following a news shock, TFP rises for several years. Second, inflation falls immediately and substantially, and stays low, often for 10 quarters or more. Third, there is a sharp increase in a forward-looking measure of consumer confidence. Consumption typically rises following good news, but investment, consumer durables purchases, and hours worked typically fall on impact. All the quantity variables subsequently rise, as does TFP. Depending on the specification of the reduced form VAR, the activity variables may lead TFP to some extent-possibly lending some support to the hypothesis of news-driven business cycles-or they may move in lockstep with productivity. For the most part, the quantity and inflation responses are quite consistent with the predictions of a standard New Keynesian model augmented with real wage inertia. C1 [Barsky, Robert B.; Lee, Keyoung] Fed Reserve Bank Chicago, Chicago, IL USA. [Barsky, Robert B.; Basu, Susanto] NBER, Cambridge, MA 02138 USA. [Basu, Susanto] Boston Coll, Chestnut Hill, MA 02167 USA. RP Barsky, RB (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 40 TC 3 Z9 3 U1 0 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0889-3365 EI 1537-2642 J9 NBER MACROECON ANNU JI NBER Macroecon. Ann. PY 2015 VL 29 IS 1 BP 225 EP + DI 10.1086/680625 PG 42 WC Economics SC Business & Economics GA CU8IU UT WOS:000363786400014 ER PT J AU Chung, H Herbst, E Kiley, MT AF Chung, Hess Herbst, Edward Kiley, Michael T. TI Effective Monetary Policy Strategies in New Keynesian Models: A Reexamination SO NBER MACROECONOMICS ANNUAL LA English DT Article ID STICKY-INFORMATION; UNITED-STATES; DSGE MODELS; PRICES; INFLATION; RULES AB We explore the importance of the nature of nominal price and wage adjustment for the design of effective monetary policy strategies, especially at the zero lower bound. Our analysis suggests that sticky-price and sticky-information models fit standard macroeconomic time series comparably well. However, the model with information rigidity responds differently to anticipated shocks and persistent zero lower bound episodes-to a degree important for monetary policy and for understanding the effects of fundamental disturbances when monetary policy cannot adjust. These differences may be important for understanding other policy issues as well, such as fiscal multipliers. Despite these differences, many aspects of effective policy strategy are common across the two models: in particular, highly inertial interest rate rules that respond to nominal income or the price level perform well, even when hit by adverse supply shocks or large demand shocks that induce the zero-lower bound. Rules that respond to the level or change in the output gap can perform poorly under those conditions. C1 [Chung, Hess; Herbst, Edward; Kiley, Michael T.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Chung, H (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM hess.t.chung@frb.gov; edward.p.herbst@frb.gov; michael.t.kiley@frb.gov OI Kiley, Michael/0000-0003-0427-0131 NR 63 TC 1 Z9 1 U1 1 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0889-3365 EI 1537-2642 J9 NBER MACROECON ANNU JI NBER Macroecon. Ann. PY 2015 VL 29 IS 1 BP 289 EP 344 DI 10.1086/680629 PG 56 WC Economics SC Business & Economics GA CU8IU UT WOS:000363786400018 ER PT J AU Wheelock, DC AF Wheelock, David C. TI Economics and Politics in Selecting Federal Reserve Cities: Why Missouri Has Two Reserve Banks SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB Missouri is the only state with two Federal Reserve Banks, and it has long been alleged that political influence explains why Reserve Banks were placed in both St. Louis and Kansas City. Both the Speaker of the U.S. House of Representatives and a powerful member of the Senate Banking Committee hailed from Missouri, which at the time was a solidly Democratic state. The committee charged with selecting cities for Reserve Banks and drawing the boundaries of Federal Reserve Districts claimed that its decisions were based solely on economic grounds, including existing banking and business ties, transportation and communications networks, and the convenience and preferences of the Fed's future member banks. Both St. Louis and Kansas City were among the top choices of bankers, many of whom had established correspondent relationships with banks in the two cities. St. Louis and Kansas City also served distinct markets-St. Louis to the south and east, and Kansas City to the west and southwest. Moreover, Kansas City dominated its rivals for a Reserve Bank serving western states, especially in terms of banker preferences and railroad connections. Thus, while it is impossible to rule out a role for politics in the selection of either city for a Reserve Bank, let alone both of them, both cities were reasonable choices for Banks on the basis of the stated criteria of the System's founders. (JEL E58, G21, N22) C1 [Wheelock, David C.] Fed Reserve Bank St Louis, Res, St Louis, MO 63102 USA. [Wheelock, David C.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Wheelock, DC (reprint author), Fed Reserve Bank St Louis, Res, St Louis, MO 63102 USA. RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 22 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 4 BP 269 EP 288 PG 20 WC Business, Finance; Economics SC Business & Economics GA DC0HL UT WOS:000368897700001 ER PT J AU Waller, CJ AF Waller, Christopher J. TI Microfoundations of Money: Why They Matter SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-ECONOMICS; SEARCH; MODEL; EQUILIBRIUM; LIQUIDITY; EXCHANGE; PRICES; POLICY; BONDS AB What is the value of having microfoundations for monetary exchange in a macro model? In this article, the author attempts to answer this question by listing what he considers the major accomplishments of the field. He argues that the evidence overwhelmingly shows that microfoundations matter for many questions of first-order importance in macroeconomics. (JEL E41, E47) C1 [Waller, Christopher J.] Fed Reserve Bank St Louis, Res, St Louis, MO 63102 USA. RP Waller, CJ (reprint author), Fed Reserve Bank St Louis, Res, St Louis, MO 63102 USA. RI Waller, Christopher/I-5755-2016 OI Waller, Christopher/0000-0003-2406-9910 NR 37 TC 0 Z9 0 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 4 BP 289 EP 301 PG 13 WC Business, Finance; Economics SC Business & Economics GA DC0HL UT WOS:000368897700002 ER PT J AU Kool, CJM Thornton, DL AF Kool, Clemens J. M. Thornton, Daniel L. TI How Effective Is Central Bank Forward Guidance? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY; PUBLIC INFORMATION; SOCIAL VALUE; TRANSPARENCY; COMMUNICATION AB This paper investigates the effectiveness of forward guidance for the central banks of New Zealand, Norway, Sweden, and the United States. The authors test whether forward guidance improved market participants' ability to forecast future short-term and long-term rates relative to several benchmarks. They find some evidence that forward guidance improved market participants' ability to forecast short-term rates over relatively short forecast horizons for New Zealand, Norway, and Sweden but not the United States. However, the effects are typically small and frequently not statistically significant. Moreover, in no case are the results uniform across the benchmarks used. In addition, the authors find evidence of convergence of survey forecasters for New Zealand but less so for the other countries and no evidence of convergence for the United States. (JEL E52, E43, E47) C1 [Kool, Clemens J. M.] CPB Netherlands Bur Econ Policy Anal, The Hague, Netherlands. [Kool, Clemens J. M.] Univ Utrecht, Finance & Financial Markets, NL-3508 TC Utrecht, Netherlands. [Thornton, Daniel L.] Fed Reserve Bank St Louis, St Louis, MO USA. [Thornton, Daniel L.] DL Thornton Econ LLC, St Louis, MO USA. RP Kool, CJM (reprint author), CPB Netherlands Bur Econ Policy Anal, The Hague, Netherlands. NR 47 TC 0 Z9 0 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 4 BP 303 EP 322 PG 20 WC Business, Finance; Economics SC Business & Economics GA DC0HL UT WOS:000368897700003 ER PT J AU Mutreja, P Ravikumar, B Riezman, RG Sposi, MJ AF Mutreja, Piyusha Ravikumar, B. Riezman, Raymond G. Sposi, Michael J. TI Price Equalization Does Not Imply Free Trade SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB In this article, the authors demonstrate the possibility of price equalization in a two-country world with barriers to international trade. For price equalization to occur when the countries are asymmetric, the country with higher productivity must also be the one with the lower trade barrier. A corollary of the authors' result is that small departures from purchasing power parity do not necessarily imply that world trade is mostly integrated. (JEL F11, F13, F14) C1 [Mutreja, Piyusha] Syracuse Univ, Syracuse, NY 13244 USA. [Ravikumar, B.] Fed Reserve Bank St Louis, Res, St Louis, MO USA. [Riezman, Raymond G.] Univ Iowa, Tippie Coll Business, Econ, Iowa City, IA 52242 USA. [Sposi, Michael J.] Fed Reserve Bank Dallas, Dallas, TX USA. RP Mutreja, P (reprint author), Syracuse Univ, Syracuse, NY 13244 USA. RI Ravikumar, B./K-6862-2016 OI Ravikumar, B./0000-0001-6991-4677 NR 8 TC 0 Z9 0 U1 4 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 4 BP 323 EP 339 PG 17 WC Business, Finance; Economics SC Business & Economics GA DC0HL UT WOS:000368897700004 ER PT J AU De Haan, J Hale, G Russ, K AF De Haan, Jakob Hale, Galina Russ, Katheryn TI Understanding Global Banking INTRODUCTION SO IMF ECONOMIC REVIEW LA English DT Editorial Material ID FOREIGN BANKS C1 [Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [De Haan, Jakob] De Nederlandsche Bank, Amsterdam, Netherlands. [De Haan, Jakob] Univ Groningen, Polit Econ, NL-9700 AB Groningen, Netherlands. [Russ, Katheryn] Univ Calif Davis, Econ Specializing Int Macroecon & Trade, Davis, CA 95616 USA. [Russ, Katheryn] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP De Haan, J (reprint author), De Nederlandsche Bank, Amsterdam, Netherlands. NR 2 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PY 2015 VL 63 IS 4 BP 693 EP 697 DI 10.1057/imfer.2015.36 PG 5 WC Business, Finance; Economics SC Business & Economics GA DC3KL UT WOS:000369118100001 ER PT J AU Kerl, C Niepmann, F AF Kerl, Cornelia Niepmann, Friederike TI What Determines the Composition of International Bank Flows? SO IMF ECONOMIC REVIEW LA English DT Article ID LIQUIDITY SHOCKS EVIDENCE; FINANCIAL CRISIS; MULTINATIONAL BANKS; EMERGING MARKET; GLOBAL BANKS; TRANSMISSION; COMPETITION; ACCESS; IMPACT; TRADE AB This paper studies how frictions to foreign bank operations affect the sectoral composition of banks' foreign positions, their funding sources, and international bank flows. It presents a parsimonious model of banking across borders, which is matched to bank-level data and used to quantify cross-border frictions. The counterfactual analysis shows how higher barriers to foreign bank entry alter the composition of international bank flows and may reverse the direction of net interbank flows. It also highlights that interbank lending and lending to non banking firms respond differently to changes in foreign and domestic conditions. Ultimately, the analysis suggests that policies that change cross-border banking frictions and, thereby, the composition of banks' foreign activities affect how shocks are transmitted across borders. C1 [Niepmann, Friederike] Board Governors Fed Reserve System, Int Finance Div, Washington, DC USA. [Kerl, Cornelia] Tufts Univ, Univ Tubingen, Medford, MA 02155 USA. [Kerl, Cornelia] London Sch Econ, London, England. RP Kerl, C (reprint author), Tufts Univ, Univ Tubingen, Medford, MA 02155 USA. NR 44 TC 0 Z9 0 U1 1 U2 1 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PY 2015 VL 63 IS 4 BP 792 EP 829 DI 10.1057/imfer.2015.39 PG 38 WC Business, Finance; Economics SC Business & Economics GA DC3KL UT WOS:000369118100004 ER PT J AU Corbae, D D'Erasmo, P AF Corbae, Dean D'Erasmo, Pablo TI Foreign Competition and Banking Industry Dynamics: An Application to Mexico SO IMF ECONOMIC REVIEW LA English DT Article ID MARKETS; CONSOLIDATION; TRANSMISSION; DEREGULATION; RISK AB Our paper develops a simple general equilibrium framework to study the effects of global competition on banking industry dynamics and welfare. It applies the framework to the Mexican banking industry, which underwent a major structural change in the 1990s as a consequence of both government policy and external shocks. Given high concentration in the Mexican banking industry, domestic and foreign banks act strategically in the framework After calibrating the model to Mexican data, the paper examines the welfare consequences of government policies which promote global competition. It finds relatively high economy-wide welfare gains from allowing foreign bank entry. C1 [Corbae, Dean] Univ Wisconsin Madison, Finance, Madison, WI 53706 USA. [Corbae, Dean] Univ Wisconsin Madison, Econ, Madison, WI USA. [D'Erasmo, Pablo] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Corbae, D (reprint author), Univ Wisconsin Madison, Finance, Madison, WI 53706 USA. FU Consortium for Financial Systems and Poverty at the University of Chicago FX Dean Corbae is US Bank Professor of Finance and Professor of Economics at the University of Wisconsin-Madison. Pablo D'Erasmo is Senior Economist at the Federal Reserve Bank of Philadelphia. The authors wish to thank the editors Pierre-Olivier Gourinchas, Galina Hale, Katheryn Russ, and two anonymous referees for helpful comments on an earlier version of the paper. They also thank Linda Goldberg, Vincenzo Quadrini, and Robert Townsend for their comments and the Consortium for Financial Systems and Poverty at the University of Chicago for early financial support of this project, as well as participants at the IMF/De Nederlansche Bank Conference, Bank of Chile, and SED 2015. Finally, they thank Shu Lin Wee, Anton Babkin, and Neeraj Goyal for excellent research assistance. This paper is available free of charge at www.philadelphiafed.org/research-and-data/publications/working-papers/. The views expressed in this paper are those of the authors and do note necessarily reflect the views of the Federal Reserve Bank of Philadelphia or the Federal Reserve System. NR 30 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PY 2015 VL 63 IS 4 BP 830 EP 867 DI 10.1057/imfer.2015.40 PG 38 WC Business, Finance; Economics SC Business & Economics GA DC3KL UT WOS:000369118100005 ER PT J AU Dev, A AF Dev, Ashish TI Untitled SO JOURNAL OF CREDIT RISK LA English DT Editorial Material C1 [Dev, Ashish] Fed Reserve Board, Washington, DC 20551 USA. RP Dev, A (reprint author), Fed Reserve Board, Washington, DC 20551 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU INCISIVE MEDIA PI LONDON PA HAYMARKET HOUSE, 28-29 HAYMARKET, LONDON, SW1Y 4RX, ENGLAND SN 1744-6619 EI 1755-9723 J9 J CREDIT RISK JI J. Credit Risk PY 2015 VL 11 IS 4 BP VII EP VIII PG 2 WC Business, Finance SC Business & Economics GA DB5AU UT WOS:000368526000001 ER PT S AU Benzoni, L Chyruk, O AF Benzoni, Luca Chyruk, Olena BE Lo, AW Merton, RC TI The Value and Risk of Human Capital SO ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 7 SE Annual Review of Financial Economics LA English DT Article; Book Chapter DE human capital; labor income risk; life-cycle earnings; human capital investment; aggregate versus idiosyncratic shocks ID NONCOGNITIVE SKILL FORMATION; LIFE-CYCLE; PORTFOLIO CHOICE; LABOR INCOME; RETIREMENT BEHAVIOR; CREDIT CONSTRAINTS; HEALTH; EARNINGS; CONSUMPTION; TECHNOLOGY AB Human capital embodies the knowledge, skills, health, and values that contribute to making people productive. These qualities, however, are hard to measure, and quantitative studies of human capital are typically based on the valuation of the lifetime income that a person generates in the labor market. This article surveys the theoretical and empirical literature that models a worker's life-cycle earnings and identifies appropriate discount rates to translate those cash flows into a certainty equivalent of wealth. We begin with an overview of a stylized model of human capital valuation with exogenous labor income. We then discuss extensions to this framework that study the underlying economic sources of labor income shocks, the choices that people make during their lives (such as about work, leisure, retirement, and investment in education), and the implications of these factors for human capital valuation and risk. C1 [Benzoni, Luca; Chyruk, Olena] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Benzoni, L (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM lbenzoni@frbchi.org; ochyruk@frbchi.org NR 80 TC 0 Z9 0 U1 1 U2 2 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1367 BN 978-0-8243-4807-6 J9 ANNU REV FINANC ECON JI Annu. Rev. Financ. Econ. PY 2015 VL 7 BP 179 EP 200 DI 10.1146/annurev-financial-111914-034406 PG 22 WC Business, Finance; Economics SC Business & Economics GA BE0XD UT WOS:000367291500006 ER PT S AU Hirtle, B Lehnert, A AF Hirtle, Beverly Lehnert, Andreas BE Lo, AW Merton, RC TI Supervisory Stress Tests SO ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 7 SE Annual Review of Financial Economics LA English DT Article; Book Chapter DE bank stress testing; bank capital; bank supervision ID INFORMATION AB We describe the background, design choices, and particular details of stress tests used as part of an overall supervisory regime, that is, their formal integration into the ongoing prudential supervision of banks and other large financial institutions. We then describe how the US Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act stress testing (DFAST) regime is designed and what that means for the macroprudential versus microprudential nature of US supervisory exercises. We argue that routine stress tests have the potential to substantially change the nature of the supervisory process. We also argue that a great deal depends on the philosophy underpinning modeling; decisions, which has not received as much attention as scenario design, disclosure, or other stress test design choices. C1 [Hirtle, Beverly] Fed Reserve Bank New York, New York, NY 10045 USA. [Lehnert, Andreas] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Hirtle, B (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM beverly.hirtle@ny.frb.org; andreas.lehnert@frb.gov NR 37 TC 0 Z9 0 U1 4 U2 5 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1367 BN 978-0-8243-4807-6 J9 ANNU REV FINANC ECON JI Annu. Rev. Financ. Econ. PY 2015 VL 7 BP 339 EP 355 DI 10.1146/annurev-financial-111914-042040 PG 17 WC Business, Finance; Economics SC Business & Economics GA BE0XD UT WOS:000367291500012 ER PT S AU Adrian, T Covitz, D Liang, N AF Adrian, Tobias Covitz, Daniel Liang, Nellie BE Lo, AW Merton, RC TI Financial Stability Monitoring SO ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 7 SE Annual Review of Financial Economics LA English DT Article; Book Chapter DE financial stability; systemic risk; shadow banking; asset valuations; macroprudential policies ID COUNTERCYCLICAL CAPITAL BUFFERS; SHADOW BANKING; INTEREST-RATES; HOUSEHOLD LEVERAGE; MONETARY-POLICY; MARKET; CRISIS; LIQUIDITY; SECURITIZATION; EXPECTATIONS AB We present a forward-looking monitoring program to identify and track the sources of systemic risk over time and to facilitate the development of preemptive policies to promote financial stability. We offer a framework that distinguishes between shocks, which are difficult to prevent, and vulnerabilities, which amplify shocks. Building on substantial research, we focus on leverage, maturity transformation, interconnectedness, complexity, and the pricing of risk as the primary vulnerabilities in the financial system. The monitoring program tracks these vulnerabilities in four areas: the banking sector, shadow banking, asset markets, and the nonfinancial sector. The framework also highlights the policy trade-off between reducing systemic risk and raising the cost of financial intermediation by taking preemptive actions to reduce vulnerabilities. C1 [Adrian, Tobias] Fed Reserve Bank New York, Res & Stat, New York, NY 10045 USA. [Covitz, Daniel] Fed Reserve Syst, Board Governors, Res & Stat, Washington, DC 20551 USA. [Liang, Nellie] Fed Reserve Syst, Board Governors, Off Financial Stabil Policy & Res, Washington, DC 20551 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, Res & Stat, New York, NY 10045 USA. EM tobias.adrian@ny.frb.org; daniel.m.covitz@frb.gov; jnellie.liang@frb.gov NR 104 TC 2 Z9 2 U1 2 U2 8 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1367 BN 978-0-8243-4807-6 J9 ANNU REV FINANC ECON JI Annu. Rev. Financ. Econ. PY 2015 VL 7 BP 357 EP 395 DI 10.1146/annurev-financial-111914-042008 PG 39 WC Business, Finance; Economics SC Business & Economics GA BE0XD UT WOS:000367291500013 ER PT S AU Claessens, S AF Claessens, Stijn BE Lo, AW Merton, RC TI An Overview of Macroprudential Policy Tools SO ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 7 SE Annual Review of Financial Economics LA English DT Article; Book Chapter DE financial stability; financial intermediation; externalities; market failures; procyclicality; systemic risks; macroprudential policies ID LIQUIDITY REGULATION; MONETARY-POLICY; SHADOW BANKING; ASSET PRICES; RISK; MODEL; VOLATILITY; STABILITY; STANDARDS; FREEZES AB Macroprudential policies caps on loan to value ratios, limits on credit growth and other balance-sheet restrictions, (countercyclical) capital and reserve requirements and surcharges, and Pigouvian levies have become part of the policy paradigm in emerging markets and developed countries alike. But knowledge of these tools is still limited. Macroprudential policies ought to be motivated by market failures and externalities, but these can be hard to identify. They may also interact with various other policies, such as monetary and microprudential, raising coordination issues. Countries, especially emerging markets, have used these tools, and analyses suggest that some of those tools reduce procyclicality and crisis risks. Yet, much remains to be studied, including the costs of such tools, as they may adversely affect resource allocations; how best to adapt these tools to a country's circumstances; and preferred institutional designs, including how to address political economy risks. As such, policy makers should move carefully in adopting these tools. C1 [Claessens, Stijn] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Claessens, S (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. EM stijn.claessens@frb.gov NR 166 TC 2 Z9 2 U1 6 U2 11 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1367 BN 978-0-8243-4807-6 J9 ANNU REV FINANC ECON JI Annu. Rev. Financ. Econ. PY 2015 VL 7 BP 397 EP 422 DI 10.1146/annurev-financial-111914-041807 PG 26 WC Business, Finance; Economics SC Business & Economics GA BE0XD UT WOS:000367291500014 ER PT B AU Devaux, SA AF Devaux, Stephen A. BA Devaux, SA BF Devaux, SA TI Redefining projects SO MANAGING PROJECTS AS INVESTMENTS: EARNED VALUE TO BUSINESS VALUE SE Industrial Innovation Series LA English DT Article; Book Chapter C1 [Devaux, Stephen A.] APM, London, England. [Devaux, Stephen A.] Fidel Investments, Boston, MA USA. [Devaux, Stephen A.] Citicorp, New York, NY USA. [Devaux, Stephen A.] Fed Reserve Bank Boston, Boston, MA USA. [Devaux, Stephen A.] PSDI, Rome, Italy. [Devaux, Stephen A.] Suffolk Univ, Grad Project Management Course, Boston, MA USA. [Devaux, Stephen A.] Brandeis Univ, Grad Project Management Course, Waltham, MA 02254 USA. [Devaux, Stephen A.] Univ West Indies Barbados, Grad Project Management Course, Wanstead, Barbados. [Devaux, Stephen A.] Bentley Univ, Execut Educ Program, Bentley, WA, Australia. [Devaux, Stephen A.] Univ Massachusetts Lowell, Execut Educ Program, Lowell, MA USA. RP Devaux, SA (reprint author), APM, London, England. NR 2 TC 0 Z9 0 U1 0 U2 0 PU CRC PRESS-TAYLOR & FRANCIS GROUP PI BOCA RATON PA 6000 BROKEN SOUND PARKWAY NW, STE 300, BOCA RATON, FL 33487-2742 USA BN 978-1-4822-1272-3; 978-1-4822-1270-9 J9 IND INNOV SER PY 2015 BP 1 EP 27 PG 27 WC Engineering, Multidisciplinary; Management SC Engineering; Business & Economics GA BD7SN UT WOS:000363516900003 ER PT B AU Devaux, SA AF Devaux, Stephen A. BA Devaux, SA BF Devaux, SA TI Managing Projects as Investments Earned Value to Business Value Preface SO MANAGING PROJECTS AS INVESTMENTS: EARNED VALUE TO BUSINESS VALUE SE Industrial Innovation Series LA English DT Editorial Material; Book Chapter C1 [Devaux, Stephen A.] APM, London, England. [Devaux, Stephen A.] Fidel Investments, Boston, MA USA. [Devaux, Stephen A.] Citicorp, New York, NY USA. [Devaux, Stephen A.] Fed Reserve Bank Boston, Boston, MA USA. [Devaux, Stephen A.] PSDI, Rome, Italy. [Devaux, Stephen A.] Suffolk Univ, Grad Project Management Course, Boston, MA USA. [Devaux, Stephen A.] Brandeis Univ, Grad Project Management Course, Waltham, MA 02254 USA. [Devaux, Stephen A.] Univ West Indies Barbados, Grad Project Management Course, Wanstead, Barbados. [Devaux, Stephen A.] Bentley Univ, Execut Educ Program, Bentley, WA, Australia. [Devaux, Stephen A.] Univ Massachusetts Lowell, Execut Educ Program, Lowell, MA USA. RP Devaux, SA (reprint author), APM, London, England. NR 2 TC 0 Z9 0 U1 0 U2 0 PU CRC PRESS-TAYLOR & FRANCIS GROUP PI BOCA RATON PA 6000 BROKEN SOUND PARKWAY NW, STE 300, BOCA RATON, FL 33487-2742 USA BN 978-1-4822-1272-3; 978-1-4822-1270-9 J9 IND INNOV SER PY 2015 BP XI EP XV PG 5 WC Engineering, Multidisciplinary; Management SC Engineering; Business & Economics GA BD7SN UT WOS:000363516900001 ER PT B AU Devaux, SA AF Devaux, Stephen A. BA Devaux, SA BF Devaux, SA TI Managing Projects as Investments Earned Value to Business Value Introduction SO MANAGING PROJECTS AS INVESTMENTS: EARNED VALUE TO BUSINESS VALUE SE Industrial Innovation Series LA English DT Editorial Material; Book Chapter C1 [Devaux, Stephen A.] APM, London, England. [Devaux, Stephen A.] Fidel Investments, Boston, MA USA. [Devaux, Stephen A.] Citicorp, New York, NY USA. [Devaux, Stephen A.] Fed Reserve Bank Boston, Boston, MA USA. [Devaux, Stephen A.] PSDI, Rome, Italy. [Devaux, Stephen A.] Suffolk Univ, Grad Project Management Course, Boston, MA USA. [Devaux, Stephen A.] Brandeis Univ, Grad Project Management Course, Waltham, MA 02254 USA. [Devaux, Stephen A.] Univ West Indies Barbados, Grad Project Management Course, Wanstead, Barbados. [Devaux, Stephen A.] Bentley Univ, Execut Educ Program, Bentley, WA, Australia. [Devaux, Stephen A.] Univ Massachusetts Lowell, Execut Educ Program, Lowell, MA USA. RP Devaux, SA (reprint author), APM, London, England. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CRC PRESS-TAYLOR & FRANCIS GROUP PI BOCA RATON PA 6000 BROKEN SOUND PARKWAY NW, STE 300, BOCA RATON, FL 33487-2742 USA BN 978-1-4822-1272-3; 978-1-4822-1270-9 J9 IND INNOV SER PY 2015 BP XXI EP XXIV PG 4 WC Engineering, Multidisciplinary; Management SC Engineering; Business & Economics GA BD7SN UT WOS:000363516900002 ER PT B AU Devaux, SA AF Devaux, Stephen A. BA Devaux, SA BF Devaux, SA TI Of time and timing SO MANAGING PROJECTS AS INVESTMENTS: EARNED VALUE TO BUSINESS VALUE SE Industrial Innovation Series LA English DT Article; Book Chapter C1 [Devaux, Stephen A.] APM, London, England. [Devaux, Stephen A.] Fidel Investments, Boston, MA USA. [Devaux, Stephen A.] Citicorp, New York, NY USA. [Devaux, Stephen A.] Fed Reserve Bank Boston, Boston, MA USA. [Devaux, Stephen A.] PSDI, Rome, Italy. [Devaux, Stephen A.] Suffolk Univ, Grad Project Management Course, Boston, MA USA. [Devaux, Stephen A.] Brandeis Univ, Grad Project Management Course, Waltham, MA 02254 USA. [Devaux, Stephen A.] Univ West Indies Barbados, Grad Project Management Course, Wanstead, Barbados. [Devaux, Stephen A.] Bentley Univ, Execut Educ Program, Bentley, WA, Australia. [Devaux, Stephen A.] Univ Massachusetts Lowell, Execut Educ Program, Lowell, MA USA. RP Devaux, SA (reprint author), APM, London, England. NR 1 TC 0 Z9 0 U1 0 U2 0 PU CRC PRESS-TAYLOR & FRANCIS GROUP PI BOCA RATON PA 6000 BROKEN SOUND PARKWAY NW, STE 300, BOCA RATON, FL 33487-2742 USA BN 978-1-4822-1272-3; 978-1-4822-1270-9 J9 IND INNOV SER PY 2015 BP 29 EP 40 PG 12 WC Engineering, Multidisciplinary; Management SC Engineering; Business & Economics GA BD7SN UT WOS:000363516900004 ER PT B AU Devaux, SA AF Devaux, Stephen A. BA Devaux, SA BF Devaux, SA TI Tracking projects by investment value SO MANAGING PROJECTS AS INVESTMENTS: EARNED VALUE TO BUSINESS VALUE SE Industrial Innovation Series LA English DT Article; Book Chapter C1 [Devaux, Stephen A.] APM, London, England. [Devaux, Stephen A.] Fidel Investments, Boston, MA USA. [Devaux, Stephen A.] Citicorp, New York, NY USA. [Devaux, Stephen A.] Fed Reserve Bank Boston, Boston, MA USA. [Devaux, Stephen A.] PSDI, Rome, Italy. [Devaux, Stephen A.] Suffolk Univ, Grad Project Management Course, Boston, MA USA. [Devaux, Stephen A.] Brandeis Univ, Grad Project Management Course, Waltham, MA 02254 USA. [Devaux, Stephen A.] Univ West Indies Barbados, Grad Project Management Course, Wanstead, Barbados. [Devaux, Stephen A.] Bentley Univ, Execut Educ Program, Bentley, WA, Australia. [Devaux, Stephen A.] Univ Massachusetts Lowell, Execut Educ Program, Lowell, MA USA. RP Devaux, SA (reprint author), APM, London, England. NR 3 TC 0 Z9 0 U1 0 U2 0 PU CRC PRESS-TAYLOR & FRANCIS GROUP PI BOCA RATON PA 6000 BROKEN SOUND PARKWAY NW, STE 300, BOCA RATON, FL 33487-2742 USA BN 978-1-4822-1272-3; 978-1-4822-1270-9 J9 IND INNOV SER PY 2015 BP 41 EP 57 PG 17 WC Engineering, Multidisciplinary; Management SC Engineering; Business & Economics GA BD7SN UT WOS:000363516900005 ER PT B AU Devaux, SA AF Devaux, Stephen A. BA Devaux, SA BF Devaux, SA TI Managing project time SO MANAGING PROJECTS AS INVESTMENTS: EARNED VALUE TO BUSINESS VALUE SE Industrial Innovation Series LA English DT Article; Book Chapter C1 [Devaux, Stephen A.] APM, London, England. [Devaux, Stephen A.] Fidel Investments, Boston, MA USA. [Devaux, Stephen A.] Citicorp, New York, NY USA. [Devaux, Stephen A.] Fed Reserve Bank Boston, Boston, MA USA. [Devaux, Stephen A.] PSDI, Rome, Italy. [Devaux, Stephen A.] Suffolk Univ, Grad Project Management Course, Boston, MA USA. [Devaux, Stephen A.] Brandeis Univ, Grad Project Management Course, Waltham, MA 02254 USA. [Devaux, Stephen A.] Univ West Indies Barbados, Grad Project Management Course, Wanstead, Barbados. [Devaux, Stephen A.] Bentley Univ, Execut Educ Program, Bentley, WA, Australia. [Devaux, Stephen A.] Univ Massachusetts Lowell, Execut Educ Program, Lowell, MA USA. RP Devaux, SA (reprint author), APM, London, England. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CRC PRESS-TAYLOR & FRANCIS GROUP PI BOCA RATON PA 6000 BROKEN SOUND PARKWAY NW, STE 300, BOCA RATON, FL 33487-2742 USA BN 978-1-4822-1272-3; 978-1-4822-1270-9 J9 IND INNOV SER PY 2015 BP 59 EP 80 PG 22 WC Engineering, Multidisciplinary; Management SC Engineering; Business & Economics GA BD7SN UT WOS:000363516900006 ER PT B AU Devaux, SA AF Devaux, Stephen A. BA Devaux, SA BF Devaux, SA TI Optimizing the schedule with drag and drag cost SO MANAGING PROJECTS AS INVESTMENTS: EARNED VALUE TO BUSINESS VALUE SE Industrial Innovation Series LA English DT Article; Book Chapter C1 [Devaux, Stephen A.] APM, London, England. [Devaux, Stephen A.] Fidel Investments, Boston, MA USA. [Devaux, Stephen A.] Citicorp, New York, NY USA. [Devaux, Stephen A.] Fed Reserve Bank Boston, Boston, MA USA. [Devaux, Stephen A.] PSDI, Rome, Italy. [Devaux, Stephen A.] Suffolk Univ, Grad Project Management Course, Boston, MA USA. [Devaux, Stephen A.] Brandeis Univ, Grad Project Management Course, Waltham, MA 02254 USA. [Devaux, Stephen A.] Univ West Indies Barbados, Grad Project Management Course, Wanstead, Barbados. [Devaux, Stephen A.] Bentley Univ, Execut Educ Program, Bentley, WA, Australia. [Devaux, Stephen A.] Univ Massachusetts Lowell, Execut Educ Program, Lowell, MA USA. RP Devaux, SA (reprint author), APM, London, England. NR 1 TC 0 Z9 0 U1 0 U2 0 PU CRC PRESS-TAYLOR & FRANCIS GROUP PI BOCA RATON PA 6000 BROKEN SOUND PARKWAY NW, STE 300, BOCA RATON, FL 33487-2742 USA BN 978-1-4822-1272-3; 978-1-4822-1270-9 J9 IND INNOV SER PY 2015 BP 81 EP 106 PG 26 WC Engineering, Multidisciplinary; Management SC Engineering; Business & Economics GA BD7SN UT WOS:000363516900007 ER PT B AU Devaux, SA AF Devaux, Stephen A. BA Devaux, SA BF Devaux, SA TI Combining project investment tools SO MANAGING PROJECTS AS INVESTMENTS: EARNED VALUE TO BUSINESS VALUE SE Industrial Innovation Series LA English DT Article; Book Chapter C1 [Devaux, Stephen A.] APM, London, England. [Devaux, Stephen A.] Fidel Investments, Boston, MA USA. [Devaux, Stephen A.] Citicorp, New York, NY USA. [Devaux, Stephen A.] Fed Reserve Bank Boston, Boston, MA USA. [Devaux, Stephen A.] PSDI, Rome, Italy. [Devaux, Stephen A.] Suffolk Univ, Grad Project Management Course, Boston, MA USA. [Devaux, Stephen A.] Brandeis Univ, Grad Project Management Course, Waltham, MA 02254 USA. [Devaux, Stephen A.] Univ West Indies Barbados, Grad Project Management Course, Wanstead, Barbados. [Devaux, Stephen A.] Bentley Univ, Execut Educ Program, Bentley, WA, Australia. [Devaux, Stephen A.] Univ Massachusetts Lowell, Execut Educ Program, Lowell, MA USA. RP Devaux, SA (reprint author), APM, London, England. NR 2 TC 0 Z9 0 U1 0 U2 0 PU CRC PRESS-TAYLOR & FRANCIS GROUP PI BOCA RATON PA 6000 BROKEN SOUND PARKWAY NW, STE 300, BOCA RATON, FL 33487-2742 USA BN 978-1-4822-1272-3; 978-1-4822-1270-9 J9 IND INNOV SER PY 2015 BP 107 EP 129 PG 23 WC Engineering, Multidisciplinary; Management SC Engineering; Business & Economics GA BD7SN UT WOS:000363516900008 ER PT B AU Devaux, SA AF Devaux, Stephen A. BA Devaux, SA BF Devaux, SA TI Of resources and rightsizing SO MANAGING PROJECTS AS INVESTMENTS: EARNED VALUE TO BUSINESS VALUE SE Industrial Innovation Series LA English DT Article; Book Chapter C1 [Devaux, Stephen A.] APM, London, England. [Devaux, Stephen A.] Fidel Investments, Boston, MA USA. [Devaux, Stephen A.] Citicorp, New York, NY USA. [Devaux, Stephen A.] Fed Reserve Bank Boston, Boston, MA USA. [Devaux, Stephen A.] PSDI, Rome, Italy. [Devaux, Stephen A.] Suffolk Univ, Grad Project Management Course, Boston, MA USA. [Devaux, Stephen A.] Brandeis Univ, Grad Project Management Course, Waltham, MA 02254 USA. [Devaux, Stephen A.] Univ West Indies Barbados, Grad Project Management Course, Wanstead, Barbados. [Devaux, Stephen A.] Bentley Univ, Execut Educ Program, Bentley, WA, Australia. [Devaux, Stephen A.] Univ Massachusetts Lowell, Execut Educ Program, Lowell, MA USA. RP Devaux, SA (reprint author), APM, London, England. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CRC PRESS-TAYLOR & FRANCIS GROUP PI BOCA RATON PA 6000 BROKEN SOUND PARKWAY NW, STE 300, BOCA RATON, FL 33487-2742 USA BN 978-1-4822-1272-3; 978-1-4822-1270-9 J9 IND INNOV SER PY 2015 BP 131 EP 152 PG 22 WC Engineering, Multidisciplinary; Management SC Engineering; Business & Economics GA BD7SN UT WOS:000363516900009 ER PT B AU Devaux, SA AF Devaux, Stephen A. BA Devaux, SA BF Devaux, SA TI Fundamentals of earned value SO MANAGING PROJECTS AS INVESTMENTS: EARNED VALUE TO BUSINESS VALUE SE Industrial Innovation Series LA English DT Article; Book Chapter C1 [Devaux, Stephen A.] APM, London, England. [Devaux, Stephen A.] Fidel Investments, Boston, MA USA. [Devaux, Stephen A.] Citicorp, New York, NY USA. [Devaux, Stephen A.] Fed Reserve Bank Boston, Boston, MA USA. [Devaux, Stephen A.] PSDI, Rome, Italy. [Devaux, Stephen A.] Suffolk Univ, Grad Project Management Course, Boston, MA USA. [Devaux, Stephen A.] Brandeis Univ, Grad Project Management Course, Waltham, MA 02254 USA. [Devaux, Stephen A.] Univ West Indies Barbados, Grad Project Management Course, Wanstead, Barbados. [Devaux, Stephen A.] Bentley Univ, Execut Educ Program, Bentley, WA, Australia. [Devaux, Stephen A.] Univ Massachusetts Lowell, Execut Educ Program, Lowell, MA USA. RP Devaux, SA (reprint author), APM, London, England. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CRC PRESS-TAYLOR & FRANCIS GROUP PI BOCA RATON PA 6000 BROKEN SOUND PARKWAY NW, STE 300, BOCA RATON, FL 33487-2742 USA BN 978-1-4822-1272-3; 978-1-4822-1270-9 J9 IND INNOV SER PY 2015 BP 153 EP 177 PG 25 WC Engineering, Multidisciplinary; Management SC Engineering; Business & Economics GA BD7SN UT WOS:000363516900010 ER PT B AU Devaux, SA AF Devaux, Stephen A. BA Devaux, SA BF Devaux, SA TI Advanced earned value SO MANAGING PROJECTS AS INVESTMENTS: EARNED VALUE TO BUSINESS VALUE SE Industrial Innovation Series LA English DT Article; Book Chapter C1 [Devaux, Stephen A.] APM, London, England. [Devaux, Stephen A.] Fidel Investments, Boston, MA USA. [Devaux, Stephen A.] Citicorp, New York, NY USA. [Devaux, Stephen A.] Fed Reserve Bank Boston, Boston, MA USA. [Devaux, Stephen A.] PSDI, Rome, Italy. [Devaux, Stephen A.] Suffolk Univ, Grad Project Management Course, Boston, MA USA. [Devaux, Stephen A.] Brandeis Univ, Grad Project Management Course, Waltham, MA 02254 USA. [Devaux, Stephen A.] Univ West Indies Barbados, Grad Project Management Course, Wanstead, Barbados. [Devaux, Stephen A.] Bentley Univ, Execut Educ Program, Bentley, WA, Australia. [Devaux, Stephen A.] Univ Massachusetts Lowell, Execut Educ Program, Lowell, MA USA. RP Devaux, SA (reprint author), APM, London, England. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CRC PRESS-TAYLOR & FRANCIS GROUP PI BOCA RATON PA 6000 BROKEN SOUND PARKWAY NW, STE 300, BOCA RATON, FL 33487-2742 USA BN 978-1-4822-1272-3; 978-1-4822-1270-9 J9 IND INNOV SER PY 2015 BP 179 EP 192 PG 14 WC Engineering, Multidisciplinary; Management SC Engineering; Business & Economics GA BD7SN UT WOS:000363516900011 ER PT B AU Devaux, SA AF Devaux, Stephen A. BA Devaux, SA BF Devaux, SA TI Managing Projects as Investments Earned Value to Business Value Conclusion SO MANAGING PROJECTS AS INVESTMENTS: EARNED VALUE TO BUSINESS VALUE SE Industrial Innovation Series LA English DT Editorial Material; Book Chapter C1 [Devaux, Stephen A.] APM, London, England. [Devaux, Stephen A.] Fidel Investments, Boston, MA USA. [Devaux, Stephen A.] Citicorp, New York, NY USA. [Devaux, Stephen A.] Fed Reserve Bank Boston, Boston, MA USA. [Devaux, Stephen A.] PSDI, Rome, Italy. [Devaux, Stephen A.] Suffolk Univ, Grad Project Management Course, Boston, MA USA. [Devaux, Stephen A.] Brandeis Univ, Grad Project Management Course, Waltham, MA 02254 USA. [Devaux, Stephen A.] Univ West Indies Barbados, Grad Project Management Course, Wanstead, Barbados. [Devaux, Stephen A.] Bentley Univ, Execut Educ Program, Bentley, WA, Australia. [Devaux, Stephen A.] Univ Massachusetts Lowell, Execut Educ Program, Lowell, MA USA. RP Devaux, SA (reprint author), APM, London, England. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CRC PRESS-TAYLOR & FRANCIS GROUP PI BOCA RATON PA 6000 BROKEN SOUND PARKWAY NW, STE 300, BOCA RATON, FL 33487-2742 USA BN 978-1-4822-1272-3; 978-1-4822-1270-9 J9 IND INNOV SER PY 2015 BP 193 EP 195 PG 3 WC Engineering, Multidisciplinary; Management SC Engineering; Business & Economics GA BD7SN UT WOS:000363516900012 ER PT J AU Wasi, N Flaaen, A AF Wasi, Nada Flaaen, Aaron TI Record linkage using Stata: Preprocessing, linking, and reviewing utilities SO Stata Journal LA English DT Review DE dm0082; reclink2; clrevmatch; reclink; stnd_compname; stnd_address; record linkage; fuzzy matching; string standardization AB In this article, we describe Stata utilities that facilitate probabilistic record linkage-the technique typically used for merging two datasets with no common record identifier. While the preprocessing tools are developed specifically for linking two company databases, the other tools can be used for many different types of linkage. Specifically, the stnd_compname and stnd_address commands parse and standardize company names and addresses to improve the match quality when linking. The reclink2 command is a generalized version of Blasnik's reclink (2010, Statistical Software Components S456876, Department of Economics, Boston College) that allows for many-to-one matching. Finally, clrevmatch is an interactive tool that allows the user to review matched results in an efficient and seamless manner. Rather than exporting results to another file format (for example, Excel), inputting clerical reviews, and importing back into Stata, one can use the clrevmatch tool to conduct all of these steps within Stata. This helps improve the speed and flexibility of matching, which often involves multiple runs. C1 [Wasi, Nada] Univ Michigan, Inst Social Res, Survey Res Ctr, Ann Arbor, MI 48109 USA. [Flaaen, Aaron] Fed Reserve Board Governors, Div Res & Stat, Washington, DC USA. RP Wasi, N (reprint author), Univ Michigan, Inst Social Res, Survey Res Ctr, Ann Arbor, MI 48109 USA. EM nwasi@umich.edu; aaron.b.flaaen@frb.gov FU National Science Foundation [SES1131500]; Alfred P. Sloan Foundation FX The Summer Working Group for Employer List Linking-a collaboration between researchers at the U.S. Census Bureau, University of Michigan, and Cornell University-provided several useful suggestions for the stnd_compname command. Ann Rodgers contributed to the agg_acronym subcommand. We gratefully acknowledge support by the Alfred P. Sloan Foundation for the University of Michigan's Census-Enhanced Health and Retirement Study project and the National Science Foundation (SES1131500) for the University of Michigan node of the National Science Foundation-Census Research Network. NR 5 TC 1 Z9 1 U1 1 U2 2 PU STATA PRESS PI COLLEGE STATION PA 4905 LAKEWAY PARKWAY, COLLEGE STATION, TX 77845 USA SN 1536-867X J9 STATA J JI Stata J. PY 2015 VL 15 IS 3 BP 672 EP 697 PG 26 WC Social Sciences, Mathematical Methods; Statistics & Probability SC Mathematical Methods In Social Sciences; Mathematics GA CV6CU UT WOS:000364359100004 ER PT J AU Williamson, SD AF Williamson, Stephen D. TI Monetary Policy Normalization in the United States SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB Because of the Federal Reserve's unconventional approaches to monetary policy during the Great Recession and recovery, the Fed now finds itself in an unconventional situation. Short-term nominal interest rates have been close to zero for more than six years, and the Fed's balance sheet is currently more than four times as large as in 2007. This article explains how and why the Fed got into this situation and the challenges this creates in returning Fed policy to "normal"-a state in which the Fed's nominal interest rate target is above zero and its balance sheet is reduced in size. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Williamson, SD (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RI Williamson, Stephen/I-5759-2016 OI Williamson, Stephen/0000-0001-8490-1719 NR 20 TC 4 Z9 4 U1 0 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 2 BP 87 EP 108 PG 22 WC Business, Finance; Economics SC Business & Economics GA CT3MJ UT WOS:000362710500001 ER PT J AU Neely, CJ Rapach, DE AF Neely, Christopher J. Rapach, David E. TI Common Fluctuations in OECD Budget Balances SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID BUSINESS CYCLES; FISCAL DEFICITS; DETERMINANTS; COUNTRIES; GROWTH; POLICY; WORLD AB The authors use a dynamic latent factor model to analyze comovements in OECD surpluses. The world factor underlying common fluctuations in budget surpluses across countries explains an average of 28 to 44 percent of the variation in individual country surpluses. The world factor, which can be interpreted as a global budget surplus index, declines substantially in the 1980s, rises throughout much of the 1990s, peaks in 2000, and declines again after the financial crisis of 2008. The authors then estimate similar world factors in national output gaps, dividend-to-price ratios, and military spending that significantly explain the variation in the world budget surplus factor. Idiosyncratic components of national budget surpluses correlate with well-known "unusual" country circumstances, such as the Swedish banking crisis of the early 1990s. C1 [Neely, Christopher J.; Rapach, David E.] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Rapach, David E.] St Louis Univ, Dept Econ, St Louis, MO 63103 USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 31 TC 0 Z9 0 U1 2 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 2 BP 109 EP 132 PG 24 WC Business, Finance; Economics SC Business & Economics GA CT3MJ UT WOS:000362710500002 ER PT J AU Francis, N Owyang, MT Soques, D AF Francis, Neville Owyang, Michael T. Soques, Daniel TI Does the United States Lead Foreign Business Cycles? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID US MONETARY-POLICY; SYNCHRONIZATION; FLUCTUATIONS; RECESSIONS; COUNTRIES; SHOCKS AB The U.S. financial crisis of 2007- 08 had detrimental and lasting effects on the economies of other nations, reinforcing the leading role played by the United States in the global economy. The authors assess this role by determining whether U.S. output growth informs business cycle turning points in the economies of other nations. They find that U.S. economic growth influences both the timing and duration of business cycle phases for Canada, Germany, the United Kingdom, and, to a lesser extent, Mexico. However, they find no relationship between U.S. output growth and the business cycles of France, Italy, and Japan. C1 [Francis, Neville; Soques, Daniel] Univ N Carolina, Dept Econ, Chapel Hill, NC 27599 USA. [Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Francis, N (reprint author), Univ N Carolina, Dept Econ, Chapel Hill, NC 27599 USA. RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 28 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 2 BP 133 EP 158 PG 26 WC Business, Finance; Economics SC Business & Economics GA CT3MJ UT WOS:000362710500003 ER PT J AU Espino, E Sanchez, JM AF Espino, Emilio Sanchez, Juan M. TI How Does Informal Employment Affect the Design of Unemployment Insurance and Employment Protection? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The authors use a simple model to study the optimal design of unemployment insurance and employment protection. Workers are risk averse and face the possibility of unemployment. Firms are risk neutral and face random shocks to productivity. Workers can participate in a shadow economy, or informal sector. The model yields several lessons. First, countries should encourage formal employment to address the issue of informal employment. In extreme cases, such encouragement translates into high severance payments and negative payroll taxes. Along these same lines, unemployment payments cannot be too large. In fact, when the risk of informality is extreme, the authors find that unemployment benefits should be negative, which is (in effect) a positive tax on the lack of formal employment. C1 [Espino, Emilio] Univ Torcuato Di Tella, Dept Econ, Buenos Aires, DF, Argentina. [Sanchez, Juan M.] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Espino, E (reprint author), Univ Torcuato Di Tella, Dept Econ, Buenos Aires, DF, Argentina. RI Sanchez, Juan/I-5752-2016 OI Sanchez, Juan/0000-0003-0048-9128 NR 7 TC 0 Z9 0 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 2 BP 159 EP 172 PG 14 WC Business, Finance; Economics SC Business & Economics GA CT3MJ UT WOS:000362710500004 ER PT J AU Manuelli, RE AF Manuelli, Rodolfo E. TI Human Capital and Development SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID GROWTH AB Perhaps no question has attracted as much attention in the economics literature as "Why are some countries richer than others?" In this article, the author revisits the "development problem" and provides some estimates of the importance of human capital in accounting for cross-country differences in output per worker. His results suggest that human capital has a central role in determining the wealth of nations and that the quality of human capital varies systematically with the level of development. C1 [Manuelli, Rodolfo E.] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Manuelli, Rodolfo E.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Manuelli, RE (reprint author), Washington Univ, Dept Econ, St Louis, MO 63130 USA. NR 20 TC 0 Z9 0 U1 1 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 3 BP 197 EP 216 PG 20 WC Business, Finance; Economics SC Business & Economics GA CT3NQ UT WOS:000362713900002 ER PT J AU Santacreu, AM AF Santacreu, Ana Maria TI Monetary Policy in Small Open Economies: The Role of Exchange Rate Rules SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID TIME-VARYING RISK AB Understanding the costs and benefits of alternative monetary policy rules is important for economic welfare. Within the context of a small open economy model and building on the work of Mihov and Santacreu (2013), the author analyzes the economic implications of two monetary policy rules. The first is a rule in which the central bank uses the nominal exchange rate as its policy instrument and adjusts the rate whenever there are changes in the economic environment. The second is a standard interest rate rule in which the central bank adjusts the short-term nominal interest rate to changes in the economic environment. The main finding of the analysis is that, if the uncovered interest parity condition that establishes a tight link between the interest rate differential in two countries and the expected rate of depreciation of their currencies does not hold, the exchange rate rule outperforms the standard interest rate rule in lowering the volatility of key economic variables. There are two main reasons for this: First, the actual implementation of the exchange rate rule avoids the overshooting effect on exchange rates characteristic of an interest rate rule. And second, the risk premium that generates deviations from the uncovered interest parity condition is smaller and less volatile under an exchange rate rule. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Santacreu, AM (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Santacreu, Ana Maria/I-5753-2016 OI Santacreu, Ana Maria/0000-0002-3788-4511 NR 20 TC 1 Z9 1 U1 1 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 3 BP 217 EP 232 PG 16 WC Business, Finance; Economics SC Business & Economics GA CT3NQ UT WOS:000362713900003 ER PT J AU Andolfatto, D AF Andolfatto, David TI A Model of US Monetary Policy Before and After the Great Recession SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID RESERVES AB The author studies a simple dynamic general equilibrium monetary model to interpret key macroeconomic developments in the U.S. economy both before and after the Great Recession. In normal times, when the Federal Reserve's policy rate is above the interest paid on reserves, countercyclical monetary policy works in a textbook manner. When a shock drives the policy rate to the zero lower bound, the economy enters a liquidity-trap scenario in which open market purchases of government securities have no real or nominal effects, apart from expanding the supply of excess reserves in the banking sector. In a liquidity trap, the Fed loses all control of inflation, which is now determined entirely by the fiscal authority. In normal times, raising the interest paid on reserves stimulates economic activity, but in a liquidity trap, raising the interest paid on reserves retards economic activity. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Andolfatto, D (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Andolfatto, David/I-5738-2016 OI Andolfatto, David/0000-0003-0703-3967 NR 17 TC 0 Z9 0 U1 1 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 3 BP 233 EP 256 PG 24 WC Business, Finance; Economics SC Business & Economics GA CT3NQ UT WOS:000362713900004 ER PT J AU Badel, A AF Badel, Alejandro TI Quantitative Macro Versus Sufficient Statistic Approach: A Laffer Curve Dilemma? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID INEQUALITY; INCOME; TAX AB This article highlights two approaches to tax policy for the top 1 percent of earners. On the one hand are dynamic general equilibrium models requiring complicated calibration and simulation algorithms and strong structural assumptions. On the other hand is the sufficient statistic approach, which attempts to parsimoniously reach the trinity of empirical, theoretical, and policy relevance. The author illustrates ongoing work highlighting explicit connections between these two approaches. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Badel, A (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 18 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 3 BP 257 EP 267 PG 11 WC Business, Finance; Economics SC Business & Economics GA CT3NQ UT WOS:000362713900005 ER PT S AU Buera, FJ Kaboski, JP Shin, Y AF Buera, Francisco J. Kaboski, Joseph P. Shin, Yongseok BE Arrow, KJ Bresnahan, TF TI Entrepreneurship and Financial Frictions: A Macrodevelopment Perspective SO ANNUAL REVIEW OF ECONOMICS, VOL 7 SE Annual Review of Economics LA English DT Article; Book Chapter DE productivity; misallocation; firm growth ID ECONOMIC-DEVELOPMENT; FIRM DYNAMICS; OCCUPATIONAL CHOICE; AGGREGATE PRODUCTIVITY; LIQUIDITY CONSTRAINTS; INDUSTRY PRODUCTIVITY; MICROFINANCE EVIDENCE; MICROCREDIT EVIDENCE; WEALTH DISTRIBUTION; SIZE DISTRIBUTION AB We review both the theoretical and empirical literature on entrepreneurship and financial frictions, with an emphasis on the heterogeneous and dynamic microlevel implications of financial frictions for macrodevelopment. C1 [Buera, Francisco J.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Kaboski, Joseph P.] Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. [Kaboski, Joseph P.; Shin, Yongseok] Natl Bur Econ Res, Cambridge, MA 01238 USA. [Shin, Yongseok] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Shin, Yongseok] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Buera, FJ (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM francisco.buera@chi.frb.org; jkaboski@nd.edu; yshin@wustl.edu NR 122 TC 0 Z9 0 U1 5 U2 13 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1383 BN 978-0-8243-4607-2 J9 ANNU REV ECON JI Annu. Rev. Econ. PY 2015 VL 7 BP 409 EP 436 DI 10.1146/annurev-economics-080614-115348 PG 28 WC Economics SC Business & Economics GA BD2OF UT WOS:000358981000017 ER PT S AU Barrow, L Malamud, O AF Barrow, Lisa Malamud, Ofer BE Arrow, KJ Bresnahan, TF TI Is College a Worthwhile Investment? SO ANNUAL REVIEW OF ECONOMICS, VOL 7 SE Annual Review of Economics LA English DT Article; Book Chapter DE human capital; rate of return; postsecondary schooling ID REGRESSION DISCONTINUITY DESIGNS; CREDIT CONSTRAINTS; HIGHER-EDUCATION; ECONOMIC RETURN; AMERICAN MALES; SELECTION BIAS; STUDENT LOANS; GENDER-GAP; EARNINGS; SAMPLE AB This article surveys the existing evidence on the return to a college education and offers new calculations based on recent data. We focus on an individual's decision and outline the standard conceptual framework used by economists to analyze investments in education. We then compare alternative estimates of the value of a college education in the literature and reconcile them with our own preferred estimates. We also conduct a selective review of the literature seeking to estimate the causal effects of college on pecuniary and nonpecuniary outcomes. Finally, we provide additional calculations showing the heterogeneity in returns to college across certain institutional and demographic characteristics, review the related academic literature, and discuss the risk associated with a college investment. We conclude that college is certainly a worthwhile investment on average and likely worthwhile for many subgroups, although not necessarily for everyone. C1 [Barrow, Lisa] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Malamud, Ofer] Univ Chicago, Harris Sch Publ Policy, Chicago, IL 60637 USA. [Malamud, Ofer] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Barrow, L (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM lbarrow@frbchi.org; malamud@uchicago.edu NR 106 TC 1 Z9 1 U1 3 U2 21 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1383 BN 978-0-8243-4607-2 J9 ANNU REV ECON JI Annu. Rev. Econ. PY 2015 VL 7 BP 519 EP + DI 10.1146/annurev-economics-080614-115510 PG 43 WC Economics SC Business & Economics GA BD2OF UT WOS:000358981000021 ER PT S AU Martinez-Garcia, E AF Martinez-Garcia, Enrique BE Barnett, WA Jawadi, F TI The Global Component of Local Inflation: Revisiting the Empirical Content of the Global Slack Hypothesis with Bayesian Methods SO MONETARY POLICY IN THE CONTEXT OF THE FINANCIAL CRISIS: NEW CHALLENGES AND LESSONS SE International Symposia in Economic Theory and Econometrics LA English DT Proceedings Paper CT 3rd International Symposium in Computational Economics and Finance CY APR 10-12, 2014 CL Paris, FRANCE DE global slack hypothesis; new open economy macroeconomics; open-economy Phillips curves; Bayesian estimation ID ECONOMY DSGE MODEL; FRAMEWORK; MONETARY; PRICES; POLICY AB The global slack hypothesis is central to the discussion of the trade-offs that monetary policy faces in an increasingly more integrated world. The workhorse New Open Economy Macro (NOEM) model of Martinez-Garcia and Wynne (2010), which fleshes out this hypothesis, shows how expected future local inflation and global slack affect current local inflation. In this chapter, I propose the use of the orthogonalization method of Aoki (1981) and Fukuda (1993) on the workhorse NOEM model to further decompose local inflation into a global component and an inflation differential component. I find that the log-linearized rational expectations model of Martinez-Garcia and Wynne (2010) can be solved with two separate subsystems to describe each of these two components of inflation. I estimate the full NOEM model with Bayesian techniques using data for the United States and an aggregate of its 38 largest trading partners from 1980Q1 until 2011Q4. The Bayesian estimation recognizes the parameter uncertainty surrounding the model and calls on the data (inflation and output) to discipline the parameterization. My findings show that the strength of the international spillovers through trade - even in the absence of common shocks - is reflected in the response of global inflation and is incorporated into local inflation dynamics. Furthermore, I find that key features of the economy can have different impacts on global and local inflation - in particular, I show that the parameters that determine the import share and the price-elasticity of trade matter in explaining the inflation differential component but not the global component of inflation. C1 [Martinez-Garcia, Enrique] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. [Martinez-Garcia, Enrique] So Methodist Univ, Dept Econ, Dallas, TX 75275 USA. RP Martinez-Garcia, E (reprint author), Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. EM enrique.martinez-garcia@dal.frb.org OI Martinez-Garcia, Enrique/0000-0001-5736-361X NR 30 TC 0 Z9 0 U1 0 U2 0 PU EMERALD GROUP PUBLISHING LTD PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND SN 1571-0386 BN 978-1-78441-779-6; 978-1-78441-780-2 J9 INT SYMP EC PY 2015 VL 24 BP 51 EP 112 DI 10.1108/S1571-038620150000024016 PG 62 WC Business, Finance; Economics SC Business & Economics GA BD1ZZ UT WOS:000358537900005 ER PT B AU Brooks, A Berkeley, A Katz, G O'Brien, W Redfearn, B Sarkar, A AF Brooks, Andrew Berkeley, Alfred Katz, Gary O'Brien, William Redfearn, Brett Sarkar, Asani BE Schwartz, RA Byrne, JA Wheatley, L TI WHAT MAKES AN EXCHANGE A UNIQUE INSTITUTION? SO ECONOMIC FUNCTION OF A STOCK EXCHANGE SE Zicklin School of Business Financial Markets Series LA English DT Proceedings Paper CT Conference on Economic Function of a Stock Exchange CY OCT 04, 2011 CL Baruch Coll Zicklin Sch Business, New York, NY SP AX Trading Network, BIDS Trading, Bloomberg Tradebook LLC, Chicago Board Opt, Direct Edge, Int Securities Exchange, ITG, Liquidnet, NASDAQ OMX, NYSE Euronext, Pipeline Trading Syst, TABB Grp HO Baruch Coll Zicklin Sch Business C1 [Brooks, Andrew] T Rowe Price Associates Inc, Baltimore, MD 21289 USA. [Berkeley, Alfred] Pipeline Trading Syst LLC, New York, NY USA. [Katz, Gary] Int Secur Exchange, New York, NY USA. [O'Brien, William] Direct Edge, La Verne, CA USA. [Redfearn, Brett] JP Morgan Secur, Los Angeles, CA USA. [Sarkar, Asani] Fed Reserve Bank New York, New York, NY USA. RP Brooks, A (reprint author), T Rowe Price Associates Inc, Baltimore, MD 21289 USA. NR 7 TC 0 Z9 0 U1 1 U2 1 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013, UNITED STATES BN 978-3-319-10350-1; 978-3-319-10349-5 J9 ZI SCH BUS FIN MA PY 2015 BP 13 EP 32 DI 10.1007/978-3-319-10350-1_2 PG 20 WC Business, Finance; Economics SC Business & Economics GA BD0OP UT WOS:000357507700002 ER PT J AU Chang, YS Hornstein, A AF Chang, Yongsung Hornstein, Andreas TI Transition dynamics in the neoclassical growth model: the case of South Korea SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE industrialization; neoclassical growth model; price of capital; South Korea; transition dynamics ID ECONOMIC-GROWTH; RELATIVE PRICES; JAPANESE AB Many successful examples of economic development, such as South Korea, exhibit long periods of sustained capital accumulation. This process is characterized by a gradually rising investment rate along with a moderate rate of return to capital, both of which are strongly at odds with the standard neoclassical growth model that predicts an initially high and then declining investment rate with an extremely high return to capital. We show that minor modifications of the neoclassical model go a long way toward accounting for the capital accumulation path of the South Korean economy. Our modifications recognize that (i) agriculture (which makes up a large share of the aggregate economy in the early stage of development) does not rely much on capital and (ii) the relative price of capital declined substantially during the transition period. C1 [Chang, Yongsung] Univ Rochester, Rochester, NY 14627 USA. [Chang, Yongsung] Univ Rochester, Dept Econ, Yonsei Univ, Rochester, NY 14627 USA. [Hornstein, Andreas] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. RP Chang, YS (reprint author), Univ Rochester, 601 Elmwood Ave, Rochester, NY 14627 USA. EM yongsung.chang@gmail.com NR 35 TC 0 Z9 0 U1 1 U2 4 PU WALTER DE GRUYTER GMBH PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2015 VL 15 IS 2 BP 649 EP 676 DI 10.1515/bejm-2014-0089 PG 28 WC Economics SC Business & Economics GA CK6LA UT WOS:000356338400006 ER PT J AU Fischer, S AF Fischer, Stanley TI The Federal Reserve and the Global Economy SO IMF ECONOMIC REVIEW LA English DT Editorial Material ID MONETARY-POLICY C1 Fed Reserve Syst, Board Governors, Washington, DC USA. RP Fischer, S (reprint author), Fed Reserve Syst, Board Governors, Washington, DC USA. NR 41 TC 1 Z9 1 U1 1 U2 3 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PY 2015 VL 63 IS 1 BP 8 EP 21 DI 10.1057/imfer.2015.4 PG 14 WC Business, Finance; Economics SC Business & Economics GA CJ5ZI UT WOS:000355572400002 ER PT J AU English, WB Lopez-Salido, JD Tetlow, RJ AF English, William B. Lopez-Salido, J. David Tetlow, Robert J. TI The Federal Reserve's Framework for Monetary Policy: Recent Changes and New Questions SO IMF ECONOMIC REVIEW LA English DT Article ID INSTRUMENT RULES AB The Federal Reserve has made substantial changes to its framework for monetary policy in recent years. On balance, the Federal Reserve has moved closer to the "flexible inflation targeting" used, in some form or another, by many foreign central banks. The Federal Reserve's approach, however, includes a balanced approach to its dual objectives and uses a flexible horizon over which policy aims to foster its objectives. The paper uses a small-scale macro model to help illuminate the Federal Reserve's use of forward guidance. It also examines the case for establishing a different policy objective, such as a higher inflation target or a nominal income target. The paper finds that such changes might be beneficial, but also have potentially significant drawbacks. C1 [English, William B.] Fed Reserve Syst, Board Governors, Off Board Members, Washington, DC USA. [Lopez-Salido, J. David; Tetlow, Robert J.] Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC USA. RP English, WB (reprint author), Fed Reserve Syst, Board Governors, Off Board Members, Washington, DC USA. NR 57 TC 1 Z9 1 U1 0 U2 2 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PY 2015 VL 63 IS 1 BP 22 EP 70 DI 10.1057/imfer.2014.27 PG 49 WC Business, Finance; Economics SC Business & Economics GA CJ5ZI UT WOS:000355572400003 ER PT J AU Reifschneider, D Wascher, W Wilcox, D AF Reifschneider, Dave Wascher, William Wilcox, David TI Aggregate Supply in the United States: Recent Developments and Implications for the Conduct of Monetary Policy SO IMF ECONOMIC REVIEW LA English DT Article ID RESEARCH-AND-DEVELOPMENT; POTENTIAL OUTPUT; GROWTH; CYCLICALITY; INDICATOR; MODELS; CYCLES; RULES AB The recent financial crisis and ensuing recession appear to have put the productive capacity of the economy on a lower and shallower trajectory than the one that seemed to be in place prior to 2007. Using a version of an unobserved components model introduced by Fleischman and Roberts, we estimate that potential GDP in late 2014 was about 7 percent below the trajectory it appeared to be on prior to 2007. We argue that a significant portion of the recent damage to the supply side of the economy plausibly was endogenous to the weakness in aggregate demand. Endogeneity of supply with respect to demand provides a strong motivation for a vigorous policy response to a weakening in aggregate demand, and we present optimal-control simulations showing how monetary policy might respond to such endogeneity in the absence of other considerations. We then discuss how other considerations-such as increased risks of financial instability or inflation instability-could cause policymakers to exercise restraint in their response to cyclical weakness. C1 [Reifschneider, Dave] Fed Reserve Syst, Board Governors, Washington, DC USA. [Wascher, William; Wilcox, David] Board Governors, Div Res & Stat, Washington, DC USA. RP Reifschneider, D (reprint author), Fed Reserve Syst, Board Governors, Washington, DC USA. NR 55 TC 1 Z9 1 U1 1 U2 5 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PY 2015 VL 63 IS 1 BP 71 EP 109 DI 10.1057/imfer.2015.1 PG 39 WC Business, Finance; Economics SC Business & Economics GA CJ5ZI UT WOS:000355572400004 ER PT J AU Cooke, DA Gavin, WT AF Cooke, Diana A. Gavin, William T. TI Three Scenarios for Interest Rates in the Transition to Normalcy SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID FORECASTING ACCURACY; INFLATION; POLICY AB In this article, time-series models are developed to represent three alternative, potential monetary policy regimes as monetary policy returns to normal. The first regime is a return to the high and volatile inflation rate of the 1970s. The second regime, the one expected by most Federal Reserve officials and business economists, is a return to the credible low inflation policy that characterized the U.S. economy from 1983 to 2007, a period known as the Great Moderation. The third regime is one in which policymakers keep policy interest rates at or near zero for the foreseeable future; Japanese data are used to estimate this regime. These time-series models include four variables: per capita gross domestic product growth, consumer price index inflation, the policy rate, and the 10-year government bond rate. These models are used to forecast the U.S. economy from 2008 through 2013 and represent the possible outcomes for interest rates that may follow the return of monetary policy to normal. Here, "normal" depends on the policy regime that follows the liftoff of the federal funds rate target expected in mid-2015. C1 [Cooke, Diana A.; Gavin, William T.] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Cooke, DA (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 19 TC 0 Z9 0 U1 2 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 1 BP 1 EP 24 PG 24 WC Business, Finance; Economics SC Business & Economics GA CH0OT UT WOS:000353722000002 ER PT J AU Williamson, S AF Williamson, Stephen TI Untitled SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Williamson, S (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Williamson, Stephen/I-5759-2016 OI Williamson, Stephen/0000-0001-8490-1719 NR 0 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 1 BP III EP III PG 1 WC Business, Finance; Economics SC Business & Economics GA CH0OT UT WOS:000353722000001 ER PT J AU Jackson, LE Kliesen, KL Owyang, MT AF Jackson, Laura E. Kliesen, Kevin L. Owyang, Michael T. TI A Measure of Price Pressures SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY; REAL-TIME; FORECASTING INFLATION; OUTPUT AB The Federal Reserve devotes significant resources to forecasting key economic variables such as real gross domestic product growth, employment, and inflation. The outlook for these variables also matters a great deal to businesses and financial market participants. The authors present a factor-augmented Bayesian vector autoregressive forecasting model that significantly outperforms both a benchmark random walk model and a pure time-series model. They then use these factors in an ordered probit model to develop the probability distribution over a 12-month horizon. One distribution assesses the probability that inflation will exceed 2.5 percent over the next year; they term this probability a price pressure measure. This price pressure measure would provide policymakers and markets with a quantitative assessment of the probability that average inflation over the next 12 months will be higher than the Fed's long-term inflation target of 2 percent. C1 [Kliesen, Kevin L.; Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO USA. RI Owyang, Michael/I-5750-2016; Kliesen, Kevin/I-5746-2016 OI Owyang, Michael/0000-0002-2109-3432; Kliesen, Kevin/0000-0002-7166-6016 NR 20 TC 1 Z9 1 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 1 BP 25 EP 52 PG 28 WC Business, Finance; Economics SC Business & Economics GA CH0OT UT WOS:000353722000003 ER PT J AU Gandelman, N Hernandez-Murillo, R AF Gandelman, Nestor Hernandez-Murillo, Ruben TI Risk Aversion at the Country Level SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID ASSET RETURNS; INTERTEMPORAL SUBSTITUTION; TEMPORAL BEHAVIOR; PRICING MODEL; CONSUMPTION; HAPPINESS; UTILITY; VARIABLES; INCOME AB This article estimates the coefficient of relative risk aversion for 75 countries using data on self-reports of personal well-being from the 2006 Gallup World Poll. The analysis suggests that the coefficient of relative risk aversion varies closely around 1, which corresponds to a logarithmic utility function. The authors conclude that their results support the use of the log utility function in numerical simulations of economic models. C1 [Gandelman, Nestor] Univ ORT Uruguay, Econ, Montevideo, Uruguay. [Hernandez-Murillo, Ruben] Fed Reserve Bank St Louis, St Louis, MO USA. RP Gandelman, N (reprint author), Univ ORT Uruguay, Econ, Montevideo, Uruguay. NR 27 TC 1 Z9 1 U1 2 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 1 BP 53 EP 66 PG 14 WC Business, Finance; Economics SC Business & Economics GA CH0OT UT WOS:000353722000004 ER PT J AU Chien, YL AF Chien, YiLi TI The Welfare Cost of Business Cycles with Heterogeneous Trading Technologies SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID IDIOSYNCRATIC RISK; HOUSEHOLD FINANCE; ASSET PRICES; EQUILIBRIUM; INCOME AB The author investigates the welfare cost of business cycles in an economy where households have heterogeneous trading technologies. In an economy with aggregate risk, the different portfolio choices induced by heterogeneous trading technologies lead to a larger consumption inequality in equilibrium, while this source of inequality vanishes in an economy without business cycles. Put simply, the heterogeneity in trading technologies amplifies the effect of aggregate output fluctuation on consumption inequality. The welfare cost of business cycles is, therefore, larger in such an economy. In the benchmark economy with a reasonably low risk aversion rate, the business cycle cost is 6.49 percent per-period consumption for an average household when the model is calibrated to match the risk premium. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Chien, YL (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Chien, Yili/I-5741-2016 OI Chien, Yili/0000-0002-6820-1197 NR 21 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PY 2015 VL 97 IS 1 BP 67 EP 85 PG 19 WC Business, Finance; Economics SC Business & Economics GA CH0OT UT WOS:000353722000005 ER PT J AU Canals-Cerda, JJ Kerr, S AF Canals-Cerda, Jose J. Kerr, Sougata TI Forecasting credit card portfolio losses in the Great Recession: a study in model risk SO Journal of Credit Risk LA English DT Article DE credit cards; credit risk; stress test; regulatory capital; model risk ID UNEMPLOYMENT-INSURANCE; DURATION AB The Great US Recession of 2007-9 offers a unique opportunity to analyze the performance of credit risk models under conditions of economic stress. We evaluate three potential sources of model risk: model specification, sample selection and stress scenario selection applied to credit card portfolios, a major portion of a bank's balance sheet. Our analysis indicates that model specifications that incorporate interactions between macroeconomic variables and core account characteristics generate more accurate loss projections across risk segments than specifications that do not. The sensitivity of modeled losses to macroeconomic factors depends on the severity of the downturn in the model development sample. Pre-2007 models estimated over a period that included the 2001-2 recession fail to project levels of credit loss consistent with those experienced during the Great Recession. These models estimated over a time period that did not include a significant economic downturn severely underpredict credit loss for some segments and the levels of forecast error are significantly affected by model specification assumptions. Prime borrower segments of the portfolio are more severely affected by downturn economic conditions and model specification assumptions relative to the subprime or near-prime segments. The selection of the stress scenario can have a dramatic impact on projected loss. C1 [Canals-Cerda, Jose J.; Kerr, Sougata] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Canals-Cerda, JJ (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM Jose.Canals-Cerda@phil.frb.org; sougata.kerr@phil.frb.org NR 13 TC 0 Z9 0 U1 2 U2 7 PU INCISIVE MEDIA PI LONDON PA HAYMARKET HOUSE, 28-29 HAYMARKET, LONDON, SW1Y 4RX, ENGLAND SN 1744-6619 EI 1755-9723 J9 J CREDIT RISK JI J. Credit Risk PY 2015 VL 11 IS 1 BP 29 EP 57 PG 29 WC Business, Finance SC Business & Economics GA CG9PY UT WOS:000353650300003 ER PT J AU Harris, GR Wu, TL Yang, JR AF Harris, Geoffrey R. Wu, Tao L. Yang, Jiarui TI The relationship between counterparty default and interest rate volatility and its impact on the credit risk of interest rate derivatives SO JOURNAL OF CREDIT RISK LA English DT Article DE counterparty risk; over-the-counter (OTC) derivatives; stochastic interest rate volatility; hazard rate; correlation ID TERM STRUCTURE MODELS; STOCHASTIC VOLATILITY; HUMPED VOLATILITY; AFFINE MODELS; CLAIMS AB We present a unified framework to study the effect of the correlation between interest rate volatility and counterparty default probability on the credit risk of collateralized interest rate derivatives contracts. When interest rates are volatile, counterparties are potentially more likely to default. Large moves in interest rates accompanied by counterparty default may lead to losses on interest rate derivatives, even if they are collateralized. An interest rate model with stochastic volatility and a reduced-form default model, in which the default probability is correlated with interest rate volatility, are proposed and estimated from market data. We then analyze the effect of the correlation between interest rate volatility and a counterparty's default probability on the credit risk of collateralized interest rate derivatives contracts. Our results show that ignoring this correlation underestimates the credit risk, even with collateralized trades. C1 [Harris, Geoffrey R.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Wu, Tao L.] IIT, Stuart Sch Business, Chicago, IL 60661 USA. [Yang, Jiarui] FactSet Res Syst, Chicago, IL 60606 USA. RP Wu, TL (reprint author), IIT, Stuart Sch Business, 565 West Adams St,Suite 458, Chicago, IL 60661 USA. EM Geoffrey.Harris@chi.frb.org; tw33_99@yahoo.com; jyang31@iit.edu FU IIT-Stuart; IFSID; Illinois Institute of Technology FX We thank Darrel Duffie, J. Austin Murphy and an anonymous referee for very helpful comments. Tao L. Wu gratefully acknowledges financial support from IIT-Stuart and IFSID. Jiarui Yang would like to acknowledge the help and support of her thesis advisor, Jinqiao Duan, as well as financial support from the Illinois Institute of Technology. NR 36 TC 0 Z9 0 U1 0 U2 2 PU INCISIVE MEDIA PI LONDON PA HAYMARKET HOUSE, 28-29 HAYMARKET, LONDON, SW1Y 4RX, ENGLAND SN 1744-6619 EI 1755-9723 J9 J CREDIT RISK JI J. Credit Risk PY 2015 VL 11 IS 1 BP 93 EP 127 PG 35 WC Business, Finance SC Business & Economics GA CG9PY UT WOS:000353650300005 ER PT J AU Fogli, A Perri, F AF Fogli, Alessandra Perri, Fabrizio TI Macroeconomic volatility and external imbalances SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Business cycles; Current account; Global imbalances; Precautionary saving; Uncertainty ID BUSINESS CYCLES; GLOBAL IMBALANCES; RISK; GROWTH; SHOCKS; COST AB Does macroeconomic volatility/uncertainty affects accumulation of net foreign assets? In OECD economies over the period 1970-2012, changes in country specific aggregate volatility are, after controlling for a wide array of factors, significantly positively associated with net foreign asset position. A standard open economy model with time varying macroeconomic uncertainty can quantitatively account for this relationship. The key mechanism is precautionary motive: more uncertainty induces residents to save more, and higher savings are in part channeled into foreign assets. Data and theory suggest that volatility is an important determinant of the medium/long run evolution of external imbalances in developed countries. (C) 2015 Elsevier B.V. All rights reserved. C1 [Fogli, Alessandra; Perri, Fabrizio] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Fogli, Alessandra; Perri, Fabrizio] CEPR, Washington, DC USA. [Perri, Fabrizio] NBER, Cambridge, MA 02138 USA. RP Perri, F (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. FU European Research Council [313671] FX We thank Ctirad Slavik, Enoch Hill and especially Alberto Polo for outstanding research assistance, Javier Bianchi, Daniele Siena and Cedric Tille for insightful discussions, seminar participants at several institutions and conferences for helpful comments. We also thank the European Research Council for financial support under Grant 313671 "RESOCONBUCY". Data and codes used in this paper are available on the authors' websites. The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis or the Federal Reserve System. NR 40 TC 3 Z9 3 U1 2 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2015 VL 69 BP 1 EP 15 DI 10.1016/j.jmoneco.2014.12.003 PG 15 WC Business, Finance; Economics SC Business & Economics GA CF1TA UT WOS:000352329600001 ER PT J AU Bianchi, J AF Bianchi, Javier TI Discussion of "Macroeconomic volatility and external imbalances" by Alessandra Fogli and Fabrizio Perri SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material C1 [Bianchi, Javier] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Bianchi, Javier] Univ Wisconsin, Madison, WI 53706 USA. [Bianchi, Javier] NBER, Cambridge, MA 02138 USA. RP Bianchi, J (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. NR 13 TC 0 Z9 0 U1 1 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2015 VL 69 BP 16 EP 19 DI 10.1016/j.jmoneco.2014.11.005 PG 4 WC Business, Finance; Economics SC Business & Economics GA CF1TA UT WOS:000352329600002 ER PT J AU Gourio, F AF Gourio, Francois TI Discussion of "uncertainty, investment and managerial incentives" by Glover and Levine SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Investment; Uncertainty; Managerial compensation AB Glover and Levine provide an elegant framework to quantify the investment distortions created by managerial compensation. My discussion focuses on how one should model managers, on the potential endogeneity of managerial compensation, and on the macroeconomic relevance of the mechanism. (C) 2014 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Gourio, F (reprint author), Fed Reserve Bank Chicago, 230 South LaSalle St, Chicago, IL 60604 USA. EM francois.gourio@chi.frb.org NR 10 TC 0 Z9 0 U1 1 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2015 VL 69 BP 138 EP 142 DI 10.1016/j.jmoneco.2014.11.003 PG 5 WC Business, Finance; Economics SC Business & Economics GA CF1TA UT WOS:000352329600012 ER PT J AU Allen, L Peristiani, S Tang, Y AF Allen, Linda Peristiani, Stavros Tang, Yi TI Bank Delays in the Resolution of Delinquent Mortgages: The Problem of Limbo Loans SO JOURNAL OF REAL ESTATE RESEARCH LA English DT Article ID BANKRUPTCY; OPTIONS; RISK AB Limbo loans are delinquent mortgage loans that have not progressed to resolution. We utilize a unique legal database for Florida and find no support for resolution delays from bottlenecks or bank capital constraints. Instead, the impairment of property rights can be used to help explain both the likelihood and longevity of delay. We find that the presence of the Mortgage Electronic Registration System (MERS) in both assignment and foreclosures significantly increases both the likelihood and severity of the time spent in limbo, such that a 10% increase in the presence of MERS adds around 11.5 months to the total time spent in limbo. C1 [Allen, Linda] CUNY Bernard M Baruch Coll, New York, NY 10010 USA. [Peristiani, Stavros] Fed Reserve Bank New York, New York, NY USA. [Tang, Yi] Fordham Univ, New York, NY 10019 USA. RP Allen, L (reprint author), CUNY Bernard M Baruch Coll, 17 Lexington Ave, New York, NY 10010 USA. EM Linda.Allen@baruch.cuny.edu; ytang@fordham.edu NR 23 TC 0 Z9 0 U1 2 U2 9 PU AMER REAL ESTATE SOC PI CLEMSON PA CLEMSON UNIV, SCH BUSINESS & BEHAVIORAL SCI, DEPT FINANCE, 314 SIRRINE HALL, CLEMSON, SC 29634 USA SN 0896-5803 J9 J REAL ESTATE RES JI J. Real Estate Res. PD JAN-MAR PY 2015 VL 37 IS 1 BP 65 EP 115 PG 51 WC Business, Finance; Economics SC Business & Economics GA CG0AB UT WOS:000352927900003 ER PT J AU Gilchrist, S Lopez-Salido, D Zakrajsek, E AF Gilchrist, Simon Lopez-Salido, David Zakrajsek, Egon TI Monetary Policy and Real Borrowing Costs at the Zero Lower Bound SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID ASSET PURCHASE PROGRAMS; TERM INTEREST-RATES; CORPORATE BOND MARKET; YIELD CURVE; RISK; TRANSMISSION; FORECASTS; IMPACT; US AB This paper compares the effects of conventional monetary policy on real borrowing costs with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound (ZLB). For the ZLB period, we identify two policy surprises: changes in the two-year Treasury yield around policy announcements and changes in the ten-year Treasury yield that are orthogonal to those in the two-year yield. The efficacy of unconventional policy in lowering real borrowing costs is comparable to that of conventional policy, in that it implies a complete pass-through of policy-induced movements in Treasury yields to comparable-maturity private yields. C1 [Gilchrist, Simon] Boston Univ, Dept Econ, Boston, MA 02215 USA. [Lopez-Salido, David; Zakrajsek, Egon] Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. RP Gilchrist, S (reprint author), Boston Univ, Dept Econ, 270 Bay State Rd, Boston, MA 02215 USA. EM sgilchri@bu.edu; david.lopez-salido@frb.gov; egon.zakrajsek@frb.gov NR 52 TC 8 Z9 8 U1 2 U2 6 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JAN PY 2015 VL 7 IS 1 BP 77 EP 109 DI 10.1257/mac.20130324 PG 33 WC Economics SC Business & Economics GA AY3HU UT WOS:000347475900003 ER PT J AU Del Negro, M Giannoni, MP Schorfheide, F AF Del Negro, Marco Giannoni, Marc P. Schorfheide, Frank TI Inflation in the Great Recession and New Keynesian Models SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID NOMINAL RIGIDITIES; MONETARY-POLICY; BUSINESS-CYCLE; STICKY PRICES; DYNAMICS; SHOCKS; EXPECTATIONS; BELIEFS; COST AB Several prominent economists have argued that existing DSGE models cannot properly account for the evolution of key macroeconomic variables during and following the recent Great Recession. We challenge this argument by showing that a standard DSGE model with financial frictions available prior to the recent crisis successfully predicts a sharp contraction in economic activity along with a protracted but relatively modest decline in inflation, following the rise in financial stress in 2008:IV. The model does so even though inflation remains very dependent on the evolution of economic activity and of monetary policy. C1 [Del Negro, Marco; Giannoni, Marc P.] Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. [Schorfheide, Frank] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. RP Del Negro, M (reprint author), Fed Reserve Bank New York, Res Dept, 33 Liberty St, New York, NY 10045 USA. EM marco.delnegro@ny.frb.org; marc.giannoni@ny.frb.org; schorf@ssc.upenn.edu NR 44 TC 8 Z9 8 U1 0 U2 3 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JAN PY 2015 VL 7 IS 1 BP 168 EP 196 DI 10.1257/mac.20140097 PG 29 WC Economics SC Business & Economics GA AY3HU UT WOS:000347475900005 ER PT J AU Hrung, WB Seligman, JS AF Hrung, Warren B. Seligman, Jason S. TI Responses to the Financial Crisis, Treasury Debt, and the Impact on Short-Term Money Markets SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID SPECIAL REPO RATES; LIQUIDITY PREMIUM; SECURITIES; BEHAVIOR AB The United States introduced several programs in response to the financial crisis. We examine responses involving Treasury debt-the Term Securities Lending Facility (TSLF), Supplementary Financing Program (SFP), Treasury issuance, open-market operations-and associated impacts on collateralized funding markets. We find the TSLF uniquely effective, due primarily to its introduction during the financial crisis. We find some evidence that the SFP helped alleviate funding market stress. This is notable, as the SFP actually drained bank reserves. Our results show that the proper policy response to a financial crisis can involve options beyond an increase in the level of bank reserves. C1 [Hrung, Warren B.] Fed Reserve Bank New York, New York, NY 10045 USA. [Seligman, Jason S.] Ohio State Univ, John Glenn Sch Publ Affairs, Columbus, OH 43210 USA. RP Hrung, WB (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM warren.hrung@ny.frb.org; seligman.10@osu.edu NR 33 TC 2 Z9 2 U1 0 U2 2 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD JAN PY 2015 VL 11 IS 1 BP 151 EP 190 PG 40 WC Business, Finance SC Business & Economics GA CC5TY UT WOS:000350428400005 ER PT J AU Carlson, M AF Carlson, Mark TI Lessons from the Historical Use of Reserve Requirements in the United States to Promote Bank Liquidity SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID CRISIS AB Efforts in the United States to promote bank liquidity through reserve requirements, a minimum ratio of liquid assets relative to liabilities, extend as far back as 1837. Despite such requirements, banking panics and suspensions of deposit convertibility continued to occur. Eventually, policymakers created a central bank to ensure bank liquidity. This paper reviews the historical debates about reserve requirements, supplemented by empirical evidence, to provide insights relevant today about using reserve requirements to regulate liquidity. The insights are related to convincing institutions to use the reserve during stress events and the ways reserve requirements for banks affect interactions with other financial firms before and during a panic. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Carlson, M (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave, Washington, DC 20551 USA. EM mark.a.carlson@frb.gov NR 71 TC 3 Z9 3 U1 1 U2 2 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD JAN PY 2015 VL 11 IS 1 BP 191 EP 224 PG 34 WC Business, Finance SC Business & Economics GA CC5TY UT WOS:000350428400006 ER PT J AU Ennis, HM Wolman, AL AF Ennis, Huberto M. Wolman, Alexander L. TI Large Excess Reserves in the United States: A View from the Cross-Section of Banks SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID MARKET; LIQUIDITY AB Bank reserves in the United States increased dramatically at the end of 2008. Subsequent asset purchase programs in 2009 and 2011 more than doubled the quantity of reserves outstanding. We study the cross-sectional distribution of reserves in that period, and the relationship between holdings of reserves and other components of banks' balance sheets. We find that reserves were widely distributed, increasing the liquidity position of many banks which, at the same time, were far from facing tight capital constraints. Our findings have implications for assessing the importance of large quantities of excess reserves for monetary policy. C1 [Ennis, Huberto M.; Wolman, Alexander L.] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. RP Ennis, HM (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. EM huberto.ennis@rich.frb.org; alexander.wolman@rich.frb.org NR 27 TC 2 Z9 2 U1 0 U2 1 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD JAN PY 2015 VL 11 IS 1 BP 251 EP 289 PG 39 WC Business, Finance SC Business & Economics GA CC5TY UT WOS:000350428400008 ER PT J AU Hotchkiss, JL Moore, RE Rios-Avila, F AF Hotchkiss, Julie L. Moore, Robert E. Rios-Avila, Fernando TI Reevaluation of the Employment Impact of the 1996 Summer Olympic Games SO SOUTHERN ECONOMIC JOURNAL LA English DT Article DE J21; C21; L83 ID ECONOMIC-DEVELOPMENT; PROGRAMS; JOBS AB Using empirical methods published more recently than our earlier analysis found in this journal, we continue to find a statistically significant and substantial employment impact of the 1996 Summer Olympic Games in Atlanta. Post-Olympics versus pre-Olympics employment gains in counties affected by the Olympics exceeded employment gains in the rest of the counties in Georgia by 11% by the end of 2000. In addition, Olympics-affected counties in the metro Atlanta area experienced employment gains relative to other major Southern metropolitan statistical areas of roughly 5%. These results stand up to robustness and falsification tests. C1 [Hotchkiss, Julie L.] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Hotchkiss, Julie L.] Georgia State Univ, Res Dept, Atlanta, GA 30309 USA. [Moore, Robert E.] Georgia State Univ, Andrew Young Sch Policy Studies, Dept Econ, Atlanta, GA 30302 USA. [Rios-Avila, Fernando] Bard Coll, Levy Econ Inst, Distribut Income & Wealth Reserch Grp, Annandale on Hudson, NY 12504 USA. RP Hotchkiss, JL (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St, Atlanta, GA 30309 USA. EM Julie.L.Hotchkiss@atl.frb.org; rmoore@gsu.edu; friosavi@levy.org NR 26 TC 0 Z9 0 U1 4 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0038-4038 EI 2325-8012 J9 SOUTH ECON J JI South. Econ. J. PD JAN PY 2015 VL 81 IS 3 BP 619 EP 632 DI 10.1002/soej.12004 PG 14 WC Economics SC Business & Economics GA CC7JG UT WOS:000350542900005 ER PT J AU Christiano, LJ Eichenbaum, MS Trabandt, M AF Christiano, Lawrence J. Eichenbaum, Martin S. Trabandt, Mathias TI Understanding the Great Recession SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID NOMINAL RIGIDITIES; BUSINESS CYCLES; MONETARY-POLICY; TECHNOLOGY SHOCKS; CYCLICAL BEHAVIOR; UNEMPLOYMENT; EQUILIBRIUM; VACANCIES; MODELS; COSTS AB We argue that the vast bulk of movements in aggregate real economic activity during the Great Recession were due to financial frictions. We reach this conclusion by looking through the lens of an estimated New Keynesian model in which firms face moderate degrees of price rigidities, no nominal rigidities in wages, and a binding zero lower bound constraint on the nominal interest rate. Our model does a good job of accounting for the joint behavior of labor and goods markets, as well as inflation, during the Great Recession. According to the model the observed fall in total factor productivity and the rise in the cost of working capital played critical roles in accounting for the small drop in inflation that occurred during the Great Recession. C1 [Christiano, Lawrence J.; Eichenbaum, Martin S.] Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. [Trabandt, Mathias] Fed Reserve Syst, Board Governors, Div Int Finance, Global Modeling Studies Sect, Washington, DC 20551 USA. RP Christiano, LJ (reprint author), Northwestern Univ, Dept Econ, 2001 Sheridan Rd, Evanston, IL 60208 USA. EM l-christiano@northwestern.edu; eich@northwestern.edu; mathias.trabandt@gmail.com NR 67 TC 19 Z9 19 U1 1 U2 10 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JAN PY 2015 VL 7 IS 1 BP 110 EP 167 DI 10.1257/mac.20140104 PG 58 WC Economics SC Business & Economics GA AY3HU UT WOS:000347475900004 ER PT J AU Afonso, G Lagos, R AF Afonso, Gara Lagos, Ricardo TI TRADE DYNAMICS IN THE MARKET FOR FEDERAL FUNDS SO ECONOMETRICA LA English DT Article DE Fed funds market; search; bargaining; over-the-counter market ID THE-COUNTER MARKETS; ASSET MARKETS; MONETARY-POLICY; LIQUIDITY; SEARCH; MODEL; EXCHANGE AB We develop a model of the market for federal funds that explicitly accounts for its two distinctive features: banks have to search for a suitable counterparty, and once they meet, both parties negotiate the size of the loan and the repayment. The theory is used to answer a number of positive and normative questions: What are the determinants of the fed funds rate? How does the market reallocate funds? Is the market able to achieve an efficient reallocation of funds? We also use the model for theoretical and quantitative analyses of policy issues facing modern central banks. C1 [Afonso, Gara] Fed Reserve Bank New York, Financial Intermediat Funct, New York, NY 10045 USA. [Lagos, Ricardo] NYU, Dept Econ, New York, NY 10003 USA. RP Afonso, G (reprint author), Fed Reserve Bank New York, Financial Intermediat Funct, 33 Liberty St, New York, NY 10045 USA. EM gara.afonso@ny.frb.org; ricardo.lagos@nyu.edu FU C. V. Starr Center for Applied Economics at NYU FX We are grateful to Todd Keister for his feedback at various stages. We also thank Darrell Duffie, Huberto Ennis, and Tan Wang for comments. Lagos thanks the support from the C. V. Starr Center for Applied Economics at NYU, and the hospitality of the Cowles Foundation for Research in Economics at Yale University, the Federal Reserve Bank of Minneapolis, and the Federal Reserve Bank of St. Louis. The views expressed in the paper are those of the authors and are not necessarily reflective of views at the Federal Reserve Bank of Minneapolis, New York, St. Louis, or the Federal Reserve System. NR 44 TC 10 Z9 10 U1 2 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0012-9682 EI 1468-0262 J9 ECONOMETRICA JI Econometrica PD JAN PY 2015 VL 83 IS 1 BP 263 EP 313 DI 10.3982/ECTA10586 PG 51 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA CB9PB UT WOS:000349962900010 ER PT J AU Melzer, BT Morgan, DP AF Melzer, Brian T. Morgan, Donald P. TI Competition in a consumer loan market: Payday loans and overdraft credit SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Household finance; Consumer credit; Overdraft credit; Payday loan; Usury; Predatory lending ID DEPOSITORY INSTITUTIONS; INFORMATION AB Using variation in payday lending restrictions over time and across states, we study competition in the market for small, short-term consumer loans. We find that banks and credit unions reduce overdraft credit limits and prices when payday credit, a possible substitute, is prohibited. These findings suggest that depositories respond to payday loan bans by taking less risk, bouncing checks that they would have otherwise covered. The decline in overdraft prices is surprising when viewed in isolation, but sensible given that depositories incur lower credit losses as they limit overdraft coverage. We find some evidence that credit unions' overdraft activities are more profitable when payday loans are prohibited, consistent with decreased competition. In addition to characterizing the impact of prohibiting payday lending, a common state policy change in recent years, our findings illuminate competition in the small-dollar loan market by highlighting the importance of non-price adjustments to credit offers. (C) 2015 Elsevier Inc. All rights reserved. C1 [Melzer, Brian T.] Northwestern Univ, Kellogg Sch Management, Evanston, IL 60208 USA. US Fed Reserve Bank New York, New York, NY 10045 USA. RP Melzer, BT (reprint author), Northwestern Univ, Kellogg Sch Management, 2001 Sheridan Rd, Evanston, IL 60208 USA. EM b-melzer@kellogg.northwestern.edu; Don.Morgan@ny.frb.org NR 42 TC 1 Z9 1 U1 4 U2 12 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 EI 1096-0473 J9 J FINANC INTERMED JI J. Financ. Intermed. PD JAN PY 2015 VL 24 IS 1 BP 25 EP 44 DI 10.1016/j.jfi.2014.07.001 PG 20 WC Business, Finance SC Business & Economics GA CC0DL UT WOS:000350005900002 ER PT J AU Ergungor, OE Madureira, L Nayar, N Singh, AK AF Ergungor, Ozgur E. Madureira, Leonardo Nayar, Nandkumar Singh, Ajai K. TI Lending relationships and analysts' forecasts SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article ID EARNINGS FORECASTS; INVESTMENT RECOMMENDATIONS; UNDERWRITING RELATIONSHIPS; CAREER CONCERNS; INFORMATION; INCENTIVES; BANKS; FIRMS; COMPETITION; BENEFITS AB We examine earnings forecasts by sell-side analysts employed by a bank with a lending relationship with the covered firms. We find that lender-affiliated analysts' forecasts are more accurate than forecasts by their unaffiliated peers after establishment of the lending relationship. Evidence from exogenous variation suggests that the relationship is causal. Lender-affiliated analysts are also more likely to issue pessimistic forecasts below their peers' consensus. These forecasts are likely to be followed by below-consensus earnings. The results suggest that lender-affiliated analysts enjoy an informational advantage that spills over from lending activities of banks. (C) 2014 Elsevier Inc. All rights reserved. C1 [Ergungor, Ozgur E.] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Madureira, Leonardo] Case Western Reserve Univ, Cleveland, OH 44106 USA. [Nayar, Nandkumar; Singh, Ajai K.] Lehigh Univ, Bethlehem, PA USA. RP Madureira, L (reprint author), 364 PBL Bldg,11119 Bellflower Rd, Cleveland, OH 44106 USA. EM ozgur.e.ergungor@clev.frb.org; leonardo.madureira@case.edu; nan2@lehigh.edu; aks411@lehigh.edu FU Bolton-Perella Endowed Chair; Hans Julius Bar Endowed Chair FX We are grateful to Manju Puri (the editor), an anonymous referee, Oya Altinkilic, Scott Bauguess, Paul Brockman, Mariassunta Giannetti, Kathleen Weiss Hanley, Jennifer Marrieta-Westburg, Kasturi Rangan, and seminar participants at Case Western Reserve University, the U.S. Securities and Exchange Commission, the 2009 FMA Meeting, the 2010 FIRS Meeting, and the 2013 EFA Meeting for their comments. We thank Jonathan Clarke for supplying us with the all-star analyst ranking data. We also thank Thomson Financial Services, Inc., for the I/B/E/S data provided as part of a broad academic program to encourage earnings expectation research. The views stated herein are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of Cleveland or the Federal Reserve System. Singh acknowledges financial support from the Bolton-Perella Endowed Chair. Nayar gratefully acknowledges financial support from the Hans Julius Bar Endowed Chair. Part of the work of this paper was completed when Nayar was with the U.S. Securities and Exchange Commission. This study expresses the authors' views and does not necessarily reflect those of the SEC, the Commissioners, or other members of the SEC staff. Any errors or omissions in this study are solely the responsibility of the authors. NR 37 TC 0 Z9 0 U1 2 U2 10 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 EI 1096-0473 J9 J FINANC INTERMED JI J. Financ. Intermed. PD JAN PY 2015 VL 24 IS 1 BP 71 EP 88 DI 10.1016/j.jfi.2014.02.001 PG 18 WC Business, Finance SC Business & Economics GA CC0DL UT WOS:000350005900004 ER PT J AU Bianconi, M MacLachlan, S Sammon, M AF Bianconi, Marcelo MacLachlan, Scott Sammon, Marco TI Implied volatility and the risk-free rate of return in options markets SO NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE LA English DT Article DE Re-pricing options; Forecasting volatility; Seemingly unrelated regression; Implied volatility ID MODEL AB We numerically solve systems of Black-Scholes formulas for implied volatility and implied risk-free rate of return. After using a seemingly unrelated regressions (SUR) model to obtain point estimates for implied volatility and implied risk-free rate, the options are re-priced using these parameters. After repricing, the difference between the market price and model price is increasing in time to expiration, while the effect of moneyness and the bid-ask spread are ambiguous. Our varying risk-free rate model yields Black-Scholes prices closer to market prices than the fixed risk-free rate model. In addition, our model is better for predicting future evolutions in model-free implied volatility as measured by the VIX. (C) 2014 Elsevier Inc. All rights reserved. C1 [Bianconi, Marcelo] Tufts Univ, Dept Econ, Medford, MA 02155 USA. [MacLachlan, Scott] Mem Univ Newfoundland, Dept Math & Stat, St John, NF A1C 5S7, Canada. [Sammon, Marco] Fed Reserve Bank Boston, Boston, MA USA. RP Bianconi, M (reprint author), Tufts Univ, Dept Econ, 111 Braker Hall, Medford, MA 02155 USA. EM Marcelo.Bianconi@tufts.edu; smaclachlan@mun.ca; Marco.Sammon@bos.frb.org FU Tufts Department of Economics FX This research is based on Sammon's thesis at Tufts University, winner of the Linda Datcher-Loury award. We thank Dan Richards and the Tufts Department of Economics for funding the research data and Tufts University for use of the High-Performance Computing Research Cluster. Any errors are our own. The views expressed here are solely those of the authors and do not necessarily reflect official positions of the Federal Reserve Bank of Boston or the Federal Reserve System. NR 14 TC 1 Z9 1 U1 2 U2 6 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 1062-9408 EI 1879-0860 J9 N AM J ECON FINANC JI N. Am. Econ. Financ. PD JAN PY 2015 VL 31 BP 1 EP 26 DI 10.1016/j.najef.2014.10.003 PG 26 WC Business, Finance; Economics SC Business & Economics GA CB7OB UT WOS:000349815700001 ER PT J AU Gertler, M Williamson, S AF Gertler, Mark Williamson, Stephen TI Introduction to the special issue on money, credit, and financial frictions SO REVIEW OF ECONOMIC DYNAMICS LA English DT Editorial Material C1 [Gertler, Mark] NYU, New York, NY 10003 USA. [Williamson, Stephen] Fed Reserve Bank St Louis, St Louis, MO USA. [Williamson, Stephen] Washington Univ, St Louis, MO USA. RP Gertler, M (reprint author), NYU, New York, NY 10003 USA. EM mark.gertler@nyu.edu; swilliamecon@gmail.com RI Williamson, Stephen/I-5759-2016 OI Williamson, Stephen/0000-0001-8490-1719 NR 0 TC 0 Z9 0 U1 0 U2 2 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2015 VL 18 IS 1 BP 1 EP 2 DI 10.1016/j.red.2014.12.001 PG 2 WC Economics SC Business & Economics GA CC1KC UT WOS:000350098600001 ER PT J AU Justiniano, A Primiceri, GE Tambalotti, A AF Justiniano, Alejandro Primiceri, Giorgio E. Tambalotti, Andrea TI Household leveraging and deleveraging SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE House prices; Mortgage debt; Collateral constraint; Credit cycle ID BUSINESS-CYCLE; CREDIT CYCLES; PRICES; DEBT; CRISIS AB U.S. households' debt skyrocketed between 2000 and 2007, and has been falling since. This leveraging (and deleveraging) cycle cannot be accounted for by the relaxation, and subsequent tightening, of collateral requirements in mortgage markets observed during the same period. We base this conclusion on a quantitative dynamic general equilibrium model calibrated using macroeconomic aggregates. and microeconomic data from the Survey of Consumer Finances. From the perspective of the model, the credit cycle is more likely due to factors that impacted house prices more directly, thus affecting the availability of credit through a change in collateral values. In either case, the macroeconomic consequences of leveraging and deleveraging are relatively minor, because the responses of borrowers and lenders roughly wash out in the aggregate. These results suggest that household debt overhang alone cannot account for the slow recovery from the Great Recession. (C) 2015 Elsevier Inc. All rights reserved. C1 [Justiniano, Alejandro] Fed Reserve Bank Chicago, Chicago, IL USA. [Primiceri, Giorgio E.] Northwestern Univ, Evanston, IL 60208 USA. [Primiceri, Giorgio E.] CEPR, Washington, DC USA. [Primiceri, Giorgio E.] NBER, Cambridge, MA 02138 USA. [Tambalotti, Andrea] Fed Reserve Bank New York, New York, NY USA. RP Primiceri, GE (reprint author), Northwestern Univ, Evanston, IL 60208 USA. EM ajustiniano@frbchi.org; g-primiceri@northwestern.edu; a.tambalotti@gmail.com OI Tambalotti, Andrea/0000-0002-9323-2470 FU Alfred P. Sloan Foundation FX We thank Florin Bilbiie, Jeff Campbell. Gauti Eggertsson. Giovanni Favara, Andrea Ferrero, Mark Gertler, Aurel Hizmo, Matteo lacoviello, Steve Williamson, and participants in several conferences and seminars for comments and suggestions. Giorgio Primiceri thanks the Alfred P. Sloan Foundation for research support, and Andrea Tambalotti thanks NYU Abu Dhabi for its hospitality while conducting part of this research. The views expressed in this paper are those of the authors and are not necessarily reflective of views at the Federal Reserve Banks of Chicago, New York or the Federal Reserve System. NR 41 TC 6 Z9 6 U1 1 U2 9 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2015 VL 18 IS 1 BP 3 EP 20 DI 10.1016/j.red.2014.10.003 PG 18 WC Economics SC Business & Economics GA CC1KC UT WOS:000350098600002 ER PT J AU Antinolfi, G Carapella, F Kahn, C Martin, A Mills, DC Nosal, E AF Antinolfi, G. Carapella, F. Kahn, C. Martin, A. Mills, D. C. Nosal, E. TI Repos, fire sales, and bankruptcy policy SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Repos; Fire sales; Bankruptcy AB This paper studies the optimal bankruptcy policy for repurchase agreements (repos) with respect to their exemption from the automatic stay of bankruptcy. The exemption from automatic stay has been one of the key contributors to the development of the repo market as a major source of funding for many financial market participants. At the same time the exemption has raised concerns that the default of a large institution could cause externalities on other markets, in the form of fire sales. We find that exempting repos from the automatic stay may increase the size of the repo market by enhancing the liquidity of collateral, but it can cause fire sales that are associated with reductions in real investment. Hence, policy makers face a trade-off between the benefits of investment activity and the benefits of liquid repo markets. Published by Elsevier Inc. C1 [Antinolfi, G.] Washington Univ, St Louis, MO 63130 USA. [Carapella, F.; Mills, D. C.] Fed Reserve Board Governors, Washington, DC 20551 USA. [Kahn, C.] Univ Illinois, Urbana, IL 61801 USA. [Martin, A.] Fed Reserve Bank New York, New York, NY 10045 USA. [Nosal, E.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Carapella, F (reprint author), Board Governors Fed Reserve Syst, Washington, DC 20551 USA. EM Francesca.Carapella@frb.gov NR 18 TC 1 Z9 1 U1 1 U2 1 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2015 VL 18 IS 1 BP 21 EP 31 DI 10.1016/j.red.2014.06.002 PG 11 WC Economics SC Business & Economics GA CC1KC UT WOS:000350098600003 ER PT J AU Athreya, K Sanchez, JM Tam, XS Young, ER AF Athreya, Kartik Sanchez, Juan M. Tam, Xuan S. Young, Eric R. TI Labor market upheaval, default regulations, and consumer debt SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Delinquency; Personal bankruptcy; Unsecured debt; Job separation; Job finding ID CREDIT; BANKRUPTCY; RISK AB In 2005, reforms made formal personal bankruptcy much more costly. Shortly after, the US began to experience its most severe recession in seventy years, and while personal bankruptcy rates rose, they rose only modestly given the severity of the rise in unemployment. By contrast, informal default through delinquency rose sharply. In the subsequent recovery, households have been widely viewed as "deleveraging" (Mian and Sufi, 2010; Eggertson and Krugman, 2012) via the largest reduction of unsecured debt seen in the past three decades. We measure the relative roles of recent bankruptcy reform and labor market risk in accounting for consumer debt and default over the Great Recession. Our results suggest that bankruptcy reform likely prevented a substantial increase in formal bankruptcy filings, but had only limited effect on informal default from delinquencies, and that changes in job-finding rates were central to both. (C) 2014 Elsevier Inc. All rights reserved. C1 [Athreya, Kartik] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. [Sanchez, Juan M.] Fed Reserve Bank St Louis, Res Dept, St Louis, MO USA. [Tam, Xuan S.] City Univ Hong Kong, Dept Econ & Finance, Hong Kong, Hong Kong, Peoples R China. [Young, Eric R.] Univ Virginia, Dept Econ, Charlottesville, VA 22903 USA. RP Athreya, K (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. EM kartik.athreya@rich.frb.org; sanchez@stls.frb.org; xuanstam@cityu.edu.hk; ey2d@virginia.edu RI Sanchez, Juan/I-5752-2016; OI Sanchez, Juan/0000-0003-0048-9128; TAM, Xuan Song/0000-0003-3707-9528 FU Bankard Fund for Political Economy at the University of Virginia [122534-ey2d15-ER00562-31750] FX We thank various seminar and conference participants, and especially the anonymous referee and our discussants, Dean Corbae, and Aye Kabukcuoglu, for insightful comments. The views expressed here are solely those of the authors and not necessarily those of the Federal Reserve Banks of Richmond or St. Louis or the Federal Reserve System. Young thanks the Bankard Fund for Political Economy at the University of Virginia (Grant No. 122534-ey2d15-ER00562-31750) for financial support. NR 21 TC 2 Z9 2 U1 0 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2015 VL 18 IS 1 BP 32 EP 52 DI 10.1016/j.red.2014.08.001 PG 21 WC Economics SC Business & Economics GA CC1KC UT WOS:000350098600004 ER PT J AU Bassetto, M Cagetti, M De Nardi, M AF Bassetto, Marco Cagetti, Marco De Nardi, Mariacristina TI Credit crunches and credit allocation in a model of entrepreneurship SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Credit crunches; Credit allocation; Entrepreneurship; Borrowing constraints; Wealth inequality ID FINANCIAL FRICTIONS; WEALTH INEQUALITY; BUSINESS CYCLES; MONETARY-POLICY; TAXATION; FIRMS; RISK; FLUCTUATIONS; MOBILITY; SHOCKS AB We study the effects of credit shocks in a model with heterogeneous entrepreneurs, financing constraints, and a realistic firm-size distribution. As entrepreneurial firms can grow only slowly and rely heavily on retained earnings to expand the size of their business, we show that, by reducing entrepreneurial firm size and earnings, negative shocks have a very persistent effect on real activity. In determining the speed of recovery from an adverse economic shock, the most important factor is the extent to which the shock erodes entrepreneurial wealth. (C) 2014 The Authors. Published by Elsevier Inc. C1 [Bassetto, Marco; De Nardi, Mariacristina] UCL, Dept Econ, London WC1H 0AX, England. [Bassetto, Marco; De Nardi, Mariacristina] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Bassetto, Marco; De Nardi, Mariacristina] Inst Fiscal Studies, London WC1E 7AE, England. [Cagetti, Marco] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [De Nardi, Mariacristina] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP De Nardi, M (reprint author), UCL, Dept Econ, 30 Gordon St, London WC1H 0AX, England. EM m.bassetto@ucl.ac.uk; marco.cagetti@frb.gov; denardim@nber.org FU ESRC through the Centre for Macroeconomics [ES/L500343/1] FX We are grateful to the editors, an anonymous referee, Matthias Doepke, Igor Livshits, Guido Lorenzoni, Nikolai Roussanov, Ali Shourideh, and many seminars participants for helpful comments. The views expressed herein are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of Chicago, the Board of Governors, or the Federal Reserve System. Marco Bassetto and Mariacristina De Nardi acknowledge financial support from the ESRC Grant #ES/L500343/1 through the Centre for Macroeconomics. NR 50 TC 1 Z9 1 U1 2 U2 9 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2015 VL 18 IS 1 BP 53 EP 76 DI 10.1016/j.red.2014.08.003 PG 24 WC Economics SC Business & Economics GA CC1KC UT WOS:000350098600005 ER PT J AU Buera, FJ Jaef, RNF Shin, Y AF Buera, Francisco J. Jaef, Roberto N. Fattal Shin, Yongseok TI Anatomy of a credit crunch: From capital to labor markets SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Financial frictions; Unemployment ID FRICTIONS; ECONOMY; CYCLES AB Why are financial crises associated with a sustained rise in unemployment? We develop a tractable model with frictions in both credit and labor markets to study the aggregate and micro-level implications of a credit crunch i.e., a sudden tightening of collateral constraints. When we simulate a credit crunch calibrated to match the observed decline in the ratio of debt to non-financial assets of the United States business sector following the 2007-2008 crisis, our model generates a sharp decline in output explained by a drop in aggregate total factor productivity and investment-and a protracted increase in unemployment. We then explore the micro-level impact by tracking the employment dynamics for firms of different sizes and ages. The credit crunch causes a much larger reduction in the net employment growth rate of small, young establishments relative to that of large, old producers, consistent with the recent empirical findings in the literature. (C) 2014 Published by Elsevier Inc. C1 [Buera, Francisco J.] Fed Reserve Bank Chicago, Chicago, IL USA. [Buera, Francisco J.; Shin, Yongseok] NBER, Cambridge, MA 02138 USA. [Jaef, Roberto N. Fattal] World Bank, Washington, DC USA. [Shin, Yongseok] Washington Univ, Fed Reserve Bank St Louis, St Louis, MO 63130 USA. RP Shin, Y (reprint author), Washington Univ, Fed Reserve Bank St Louis, St Louis, MO 63130 USA. EM francisco.buera@chi.frb.org; rfattaljaef@worldbank.org; yshin@wustl.edu NR 21 TC 0 Z9 0 U1 4 U2 10 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2015 VL 18 IS 1 BP 101 EP 117 DI 10.1016/j.red.2014.11.001 PG 17 WC Economics SC Business & Economics GA CC1KC UT WOS:000350098600007 ER PT J AU Huo, Z Rios-Rull, JV AF Huo, Zhen Rios-Rull, Jose-Victor TI Tightening financial frictions on households, recessions, and price reallocations SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Credit crunch; Endogenous productivity; Price dispersion; Household heterogeneity ID BUSINESS CYCLES; SEARCH; FLUCTUATIONS; EQUILIBRIUM; INSURANCE; RISK AB We explore the effects of financial shocks in heterogeneous agent economies with aggregate savings and with frictions in some consumption markets, where demand contributes to productivity. Households of various wealth and earnings levels search for goods at different intensities and pay different prices in differently crowded markets. Increases in savings arising from a financial shock that tightens the borrowing limit trigger a recession via two channels: 1) the reduction in the consumption of goods that are subject to search frictions reduces productivity and output: 2) because the poorest households are more affected by the shock, consumption tilts toward the richest households, causing an additional reduction in output and productivity. We model fixed prices in a competitive search environment and show how price rigidities dramatically exacerbate the recession. (C) 2014 Elsevier Inc. All rights reserved. C1 [Huo, Zhen; Rios-Rull, Jose-Victor] Univ Minnesota, Minneapolis, MN 55455 USA. [Huo, Zhen; Rios-Rull, Jose-Victor] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Rios-Rull, Jose-Victor] CAERP, Washington, DC USA. [Rios-Rull, Jose-Victor] CEPR, Santa Cruz, CA USA. [Rios-Rull, Jose-Victor] NBER, Cambridge, MA 02138 USA. RP Rios-Rull, JV (reprint author), Univ Minnesota, 4-101 Hanson Hall,1925 Fourth St South, Minneapolis, MN 55455 USA. EM vr0j@umn.edu NR 32 TC 0 Z9 0 U1 3 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2015 VL 18 IS 1 BP 118 EP 139 DI 10.1016/j.red.2014.10.004 PG 22 WC Economics SC Business & Economics GA CC1KC UT WOS:000350098600008 ER PT J AU Lacoviello, M AF Lacoviello, Matteo TI Financial business cycles SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Banks; DSGE models; Collateral constraints; Housing; Bayesian estimation ID MONETARY-POLICY; INTEREST-RATES; DSGE MODEL; BANKING; SHOCKS AB Using Bayesian methods, I estimate a DSGE model where a recession is initiated by losses suffered by banks and exacerbated by their inability to extend credit to the real sector. The event triggering the recession has the workings of a redistribution shock: a small sector of the economy - borrowers who use their home as collateral - defaults on their loans. When banks hold little equity in excess of regulatory requirements, the losses require them to react immediately, either by recapitalizing or by deleveraging. By deleveraging, banks transform the initial shock into a credit crunch, and, to the extent that some firms depend on bank credit, amplify and propagate the shock to the real economy. I find that redistribution and other financial shocks that affect leveraged sectors accounts for twothirds of output collapse during the Great Recession. Published by Elsevier Inc. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Lacoviello, M (reprint author), Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. EM matteo.iacoviello@frb.gov NR 24 TC 2 Z9 2 U1 3 U2 8 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2015 VL 18 IS 1 BP 140 EP 163 DI 10.1016/j.red.2014.09.003 PG 24 WC Economics SC Business & Economics GA CC1KC UT WOS:000350098600009 ER PT J AU Fuster, A Vickery, J AF Fuster, Andreas Vickery, James TI Securitization and the Fixed-Rate Mortgage SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID BACKED SECURITIES; RISK-MANAGEMENT; PREPAYMENT; VALUATION; FINANCE; MARKET; POLICY; INVESTMENT; DEFAULT; DESIGN AB Fixed-rate mortgages (FRMs) dominate the U.S. mortgage market, with important consequences for monetary policy, household risk management, and financial stability. We show that the FRM market share is sharply lower when mortgages are difficult to securitize, exploiting plausibly exogenous variation in access to liquid securitization markets generated by a regulatory cutoff and time variation in private securitization activity. We interpret our findings as evidence that lenders are reluctant to retain the prepayment and interest rate risk embedded in FRMs. The form of securitization (private versus government backed) has little effect on FRM supply during periods in which private securitization markets are well functioning. C1 [Fuster, Andreas; Vickery, James] Fed Reserve Bank New York, New York, NY 10045 USA. RP Vickery, J (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM james.vickery@ny.frb.org NR 50 TC 6 Z9 6 U1 2 U2 20 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD JAN PY 2015 VL 28 IS 1 BP 176 EP 211 DI 10.1093/rfs/hhu060 PG 36 WC Business, Finance; Economics SC Business & Economics GA CC1QA UT WOS:000350115100006 ER PT J AU Blackwell, C Graefe-Anderson, R Hefner, F Vaught, D AF Blackwell, Calvin Graefe-Anderson, Rachel Hefner, Frank Vaught, Dyanne TI Power laws, CEO compensation and inequality SO ECONOMICS LETTERS LA English DT Article DE Inequality; CEO compensation; Power law distribution; Pareto distribution ID INCOME AB We observe that CEO compensation and top incomes in the US have both been increasing rapidly over the last thirty years. We hypothesize that the trends in CEO compensation have been caused by the same economy-wide factors that have contributed to increases in income. We test this hypothesis by using ExecuComp and IRS tax data to estimate power law distributions and compare the behavior of these distributions over time. Using linear regression techniques, we estimate a power law distribution for CEO compensation and individual income. We find that the parameters of income distribution and the distribution of CEO compensation are correlated. (C) 2014 Elsevier B.V. All rights reserved. C1 [Blackwell, Calvin; Hefner, Frank] Coll Charleston, Dept Econ, Charleston, SC 29407 USA. [Graefe-Anderson, Rachel] Univ Mary Washington, Coll Business, Fredricksburg, VA 22401 USA. [Vaught, Dyanne] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Blackwell, C (reprint author), Coll Charleston, Dept Econ, Charleston, SC 29407 USA. EM blackwellc@cofc.edu OI Blackwell, Calvin/0000-0002-6121-2272 NR 9 TC 0 Z9 0 U1 0 U2 6 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 EI 1873-7374 J9 ECON LETT JI Econ. Lett. PD JAN PY 2015 VL 126 BP 78 EP 80 DI 10.1016/j.econlet.2014.11.012 PG 3 WC Economics SC Business & Economics GA CB4HA UT WOS:000349587600021 ER PT J AU Noussair, CN Pfajfar, D Zsiros, J AF Noussair, Charles N. Pfajfar, Damjan Zsiros, Janos TI Pricing decisions in an experimental dynamic stochastic general equilibrium economy SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE Experimental economics; DSGE economy; Pricing behavior; Menu costs ID INFLATION; MODELS; PRICES; FACTS AB We construct experimental economies, populated with human subjects, with a structure based on a nonlinear version of the New Keynesian dynamic stochastic general equilibrium (DSGE) model. We analyze the behavior of firms' pricing decisions in four different experimental economies. We consider how well the experimental data conform to a number of accepted empirical stylized facts. Pricing patterns mostly conform to these patterns. Most price changes are positive, and inflation is strongly correlated with average magnitude, but not the frequency, of price changes. Prices are affected negatively by the productivity shock and positively by the output gap. Lagged real interest rate has a negative effect on prices, unless human subjects choose the interest rate, or firms sell perfect substitutes in the output market. There is inertia in price setting, firms integrate wage increases into their prices, and there is evidence of adaptive behavior in price-setting in our laboratory economy. The hazard function for price changes, however, is upward-sloping, in contrast to most empirical studies. Published by Elsevier B.V. C1 [Noussair, Charles N.] Tilburg Univ, NL-5000 LE Tilburg, Netherlands. [Pfajfar, Damjan] Fed Reserve Syst, Board Governors, New York, NY USA. [Zsiros, Janos] Cornell Univ, Ithaca, NY 14853 USA. RP Noussair, CN (reprint author), Tilburg Sch Econ & Management, Dept Econ, POB 90153, NL-5000 LE Tilburg, Netherlands. EM C.N.Noussair@uvt.nl; Damjan.Pfajfar@frb.gov; zsiros@gmail.com NR 25 TC 1 Z9 1 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-2681 EI 1879-1751 J9 J ECON BEHAV ORGAN JI J. Econ. Behav. Organ. PD JAN PY 2015 VL 109 BP 188 EP 202 DI 10.1016/j.jebo.2014.10.016 PG 15 WC Economics SC Business & Economics GA CB3BJ UT WOS:000349502700014 ER PT J AU Occhino, F Pescatori, A AF Occhino, Filippo Pescatori, Andrea TI Debt overhang in a business cycle model SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Financial frictions; Financial accelerator; Optimal financial contract; Investment wedge; Labor wedge ID CREDIT CYCLES; LABOR-MARKET; AGENCY COSTS; NET WORTH; FLUCTUATIONS; SHOCKS; SEARCH AB We study the macroeconomic implications of the debt overhang distortion on firms' investment and labor decisions. We show that the distortion arises when the levels of investment and labor are non-contractible and chosen after the signing of the debt contract. The financial friction manifests itself as investment and labor wedges that move counter-cyclically, increasing during recessions when the risk of default is high. Their dynamics amplify and propagate the effects of shocks to productivity, government spending, volatility, and funding costs. Both the size and the persistence of these effects are quantitatively important. (C) 2014 Elsevier B.V. All rights reserved. C1 [Occhino, Filippo] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44114 USA. [Pescatori, Andrea] Int Monetary Fund, Res Dept, Washington, DC 20431 USA. RP Occhino, F (reprint author), Fed Reserve Bank Cleveland, Res Dept, 1455 East 6th St, Cleveland, OH 44114 USA. EM filippo.occhino@clev.frb.org; apescatori@imf.org NR 46 TC 2 Z9 2 U1 4 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD JAN PY 2015 VL 73 BP 58 EP 84 DI 10.1016/j.euroecorev.2014.11.003 PG 27 WC Economics SC Business & Economics GA CA8UH UT WOS:000349195900004 ER PT J AU Dotsey, M Li, WL Yang, F AF Dotsey, Michael Li, Wenli Yang, Fang TI Home production and Social Security reform SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Home production; Housing; Social Security reform; Labor supply ID LIFE-CYCLE; BUSINESS-CYCLE; HOUSEHOLD PRODUCTION; DYNASTIC FRAMEWORK; CONSUMPTION; ALLOCATION; TIME; SUBSTITUTION; EXPENDITURE; RETIREMENT AB This paper incorporates home production into a dynamic general equilibrium model of overlapping generations with endogenous retirement to study Social Security reforms. Specifically, home production takes housing, home input, and home hours as inputs and produces a good that is substitutable with market good. As such, the model differentiates both consumption goods and labor effort according to their respective roles in home production and market activities. Using a calibrated model, we conduct a policy experiment where we eliminate the current pay-as-you-go Social Security system. We find that the experiment has important implications for labor supply as well as consumption decisions and that these decisions are influenced by the presence of the home production technology. More importantly, comparing our economy to a one-good economy without home production, the welfare gains of eliminating Social Security are magnified significantly especially in the long run. The reasons are twofold and related to the general aspects of home production. First, home production implies a more elastic labor supply rendering the payroll labor tax more distortionary. Second, home production introduces insurance possibilities that are not present when only market-produced goods are available and, thus, reduces the need for government redistributive policies. Published by Elsevier B.V. C1 [Dotsey, Michael; Li, Wenli] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Yang, Fang] Louisiana State Univ, Dept Econ, Baton Rouge, LA 70803 USA. RP Li, WL (reprint author), Fed Reserve Bank Philadelphia, Res Dept, Ten Independence Mall, Philadelphia, PA 19106 USA. EM michael.dotsey@phil.frb.org; wenli.li@phil.frb.org; fyang@lsu.edu FU Individual Development Awards Program at United University Professions FX We thank Ayse Imrohoroglu, John B. Jones, Loukas Karabarbounis, two anonymous referees, and seminar participants at the 2011 Midwest Macroeconomic Meetings, the 2012 Netspar International Pension Workshop in Paris, the 2012 SED Meetings, the 2012 Econometric Society Summer meeting, University at Albany, the 2012 Becker Friedman Institute for Research in Economics Conference on Recent Developments on the Economics of Home Production and Nonmarket Work, George Washington University, and the University of Connecticut for their comments. Yang acknowledges support from the Individual Development Awards Program at United University Professions. NR 37 TC 1 Z9 1 U1 1 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD JAN PY 2015 VL 73 BP 131 EP 150 DI 10.1016/j.euroecorev.2014.11.006 PG 20 WC Economics SC Business & Economics GA CA8UH UT WOS:000349195900007 ER PT J AU Carriero, A Clark, TE Marcellino, M AF Carriero, Andrea Clark, Todd E. Marcellino, Massimiliano TI BAYESIAN VARS: SPECIFICATION CHOICES AND FORECAST ACCURACY SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID DYNAMIC MULTIVARIATE MODELS; VECTOR AUTOREGRESSIONS; INFLATION; INFERENCE; TESTS AB In this paper we discuss how the point and density forecasting performance of Bayesian vector autoregressions (BVARs) is affected by a number of specification choices. We adopt as a benchmark a common specification in the literature, a BVAR with variables entering in levels and a prior modeled along the lines of Sims and Zha (International Economic Review 1998; 39: 949-968). We then consider optimal choice of the tightness, of the lag length and of both; evaluate the relative merits of modeling in levels or growth rates; compare alternative approaches to h-step-ahead forecasting (direct, iterated and pseudo-iterated); discuss the treatment of the error variance and of cross-variable shrinkage; and assess rolling versus recursive estimation. Finally, we analyze the robustness of the results to the VAR size and composition (using also data for France, Canada and the UK, while the main analysis is for the USA). We obtain a large set of empirical results, but the overall message is that we find very small losses (and sometimes even gains) from the adoption of specification choices that make BVAR modeling quick and easy, in particular for point forecasting. This finding could therefore further enhance the diffusion of the BVAR as an econometric tool for a vast range of applications. Copyright (c) 2013 John Wiley & Sons, Ltd. C1 [Carriero, Andrea] Univ London, London E1 4NS, England. [Clark, Todd E.] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Marcellino, Massimiliano] European Univ Inst, Florence, Italy. [Marcellino, Massimiliano] Bocconi Univ, Milan, Italy. [Marcellino, Massimiliano] CEPR, London, England. RP Carriero, A (reprint author), Univ London, Dept Econ, Mile End Rd, London E1 4NS, England. EM a.carriero@qmul.ac.uk NR 40 TC 14 Z9 16 U1 4 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 EI 1099-1255 J9 J APPL ECONOMET JI J. Appl. Econom. PD JAN-FEB PY 2015 VL 30 IS 1 BP 46 EP 73 DI 10.1002/jae.2315 PG 28 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA CA7LD UT WOS:000349097900003 ER PT J AU Dunn, A Shapiro, AH AF Dunn, Abe Shapiro, Adam Hale TI Physician payments under health care reform SO JOURNAL OF HEALTH ECONOMICS LA English DT Article DE Massachusetts health care reform; Physician payments ID INSURANCE INDUSTRY; MASSACHUSETTS; MARKETS; DEMAND AB This study examines the impact of major health insurance reform on payments made in the health care sector. We study the prices of services paid to physicians in the privately insured market during the Massachusetts health care reform. The reform increased the number of insured individuals as well as introduced an online marketplace where insurers compete. We estimate that, over the reform period, physician payments increased at least 11 percentage points relative to control areas. Payment increases began around the time legislation passed the House and Senate the period in which their was a high probability of the bill eventually becoming law. This result is consistent with fixed-duration payment contracts being negotiated in anticipation of future demand and competition. Published by Elsevier B.V. C1 [Dunn, Abe] Bur Econ Anal, Chicago, IL USA. [Shapiro, Adam Hale] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Shapiro, AH (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM abe.dunn@bea.gov; adam.shapiro@sf.frb.org NR 44 TC 1 Z9 1 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-6296 EI 1879-1646 J9 J HEALTH ECON JI J. Health Econ. PD JAN PY 2015 VL 39 BP 89 EP 105 DI 10.1016/j.jhealeco.2014.09.004 PG 17 WC Economics; Health Care Sciences & Services; Health Policy & Services SC Business & Economics; Health Care Sciences & Services GA CA9TD UT WOS:000349266800007 PM 25497755 ER PT J AU Lester, B Visschers, L Wolthoff, R AF Lester, Benjamin Visschers, Ludo Wolthoff, Ronald TI Meeting technologies and optimal trading mechanisms in competitive search markets SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Search frictions; Matching function; Meeting technology; Competing mechanisms ID DIRECTED SEARCH; OFFER AUCTIONS; EFFICIENCY; PRICES; EQUILIBRIUM; ASSIGNMENT; SELLERS AB In a market in which sellers compete by posting mechanisms, we study how the properties of the meeting technology affect the mechanism that sellers select. In general, sellers have incentive to use mechanisms that are socially efficient. In our environment, sellers achieve this by posting an auction with a reserve price equal to their own valuation, along with a transfer that is paid by (or to) all buyers with whom the seller meets. However, we define a novel condition on meeting technologies, which we call "invariance," and show that the transfer is equal to zero if and only if the meeting technology satisfies this condition. Published by Elsevier Inc. C1 [Lester, Benjamin] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Visschers, Ludo] Univ Edinburgh, Sch Econ, Edinburgh EH8 9JT, Midlothian, Scotland. [Visschers, Ludo] Univ Carlos III Madrid, Dept Econ, E-28903 Getafe, Madrid, Spain. [Wolthoff, Ronald] Univ Toronto, Dept Econ, Toronto, ON M5S 3G7, Canada. RP Lester, B (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM Benjamin.Lester@phil.frb.org; ludo.visschers@ed.ac.uk; Ronald.P.Wolthoff@gmail.com NR 28 TC 4 Z9 4 U1 0 U2 2 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 EI 1095-7235 J9 J ECON THEORY JI J. Econ. Theory PD JAN PY 2015 VL 155 BP 1 EP 15 DI 10.1016/j.jet.2014.11.001 PG 15 WC Economics SC Business & Economics GA CA2NU UT WOS:000348745800001 ER PT J AU Hirano, S Lenz, GS Pinkovskiy, M Snyder, JM AF Hirano, Shigeo Lenz, Gabriel S. Pinkovskiy, Maksim Snyder, James M., Jr. TI Voter Learning in State Primary Elections SO AMERICAN JOURNAL OF POLITICAL SCIENCE LA English DT Article ID KNOWLEDGE-GAP; PRESIDENTIAL CAMPAIGNS; MEDIA; HYPOTHESIS; CHOICE; DEBATE; IMPACT; MATTER AB When voters learn about candidates' issue positions during election campaigns, does it affect how they vote? This basic question about voters remains unanswered in part because of a methodological obstacle: learning candidates' issue positions may influence not only voters' vote choice but also their issue positions. To surmount this obstacle, we attempt to answer this question by examining statewide primary elections, which are arguably less vulnerable to this reverse causation problem because they lack partisan cues and are of much lower salience than presidential elections. Using both existing polling data and our own panel Internet surveys, we find that voters learn about the ideologies of candidates during statewide primary campaigns and that this learning affects their voting decisions in senate and gubernatorial primaries. We fail to find similar results for down-ballot primaries, raising questions about voters' ability to make informed judgments for these types of elections. C1 [Hirano, Shigeo] Columbia Univ, Dept Polit Sci, New York, NY 10027 USA. [Lenz, Gabriel S.] Univ Calif Berkeley, Travers Dept Polit Sci, Berkeley, CA 94720 USA. [Pinkovskiy, Maksim] Fed Reserve Bank New York, New York, NY 10045 USA. [Snyder, James M., Jr.] Harvard Univ, Dept Govt, Cambridge, MA 02138 USA. [Snyder, James M., Jr.] NBER, Cambridge, MA 02138 USA. RP Hirano, S (reprint author), Columbia Univ, Dept Polit Sci, 420 West 118th St 740, New York, NY 10027 USA. EM sh145@columbia.edu; glenz@berkeley.edu; maxim.pinkovskiy@ny.frb.org; jsnyder@gov.harvard.edu NR 47 TC 4 Z9 4 U1 1 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0092-5853 EI 1540-5907 J9 AM J POLIT SCI JI Am. J. Polit. Sci. PD JAN PY 2015 VL 59 IS 1 BP 91 EP 108 DI 10.1111/ajps.12093 PG 18 WC Political Science SC Government & Law GA AY9WG UT WOS:000347897800006 ER PT J AU Do, C Gonzalez, A AF Do, Chau Gonzalez, Arturo TI Hispanic brokers and borrowers: The effect of language affinity on the price of home mortgages SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE Hispanic; Language; Mortgage ID HOMEOWNERSHIP; EARNINGS AB Our study focuses on whether mortgage prices for Hispanic borrowers in areas of limited English fluency depend on the broker's ethnicity. While we find that Hispanic borrowers in areas where the majority of Hispanics are not fluent in English pay higher prices overall, mortgage prices are lower if the loans are originated by Hispanic brokers relative to non-Hispanic white brokers. This effect is found only in fixed-rate mortgage loans and for low/no-documentation loans. Nevertheless, our results cannot be easily explained by different levels of market competition or borrower characteristics. Our results are consistent with other empirical studies that find that language barriers carry additional costs. We note that our conclusions may be affected by the accuracy of our proxy measurements of English and Spanish fluency. Published by Elsevier B.V. C1 [Do, Chau] Off Comptroller Currency, Washington, DC 20219 USA. [Gonzalez, Arturo] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Do, C (reprint author), Off Comptroller Currency, 400 7th St SW, Washington, DC 20219 USA. EM chau.do@occ.treas.gov; arturo.gonzalez@frb.gov NR 26 TC 0 Z9 0 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 EI 1879-2308 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD JAN PY 2015 VL 50 BP 77 EP 86 DI 10.1016/j.regsciurbeco.2014.11.001 PG 10 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA AZ5JJ UT WOS:000348257200006 ER PT J AU Koijen, RSJ Yogo, M AF Koijen, Ralph S. J. Yogo, Motohiro TI The Cost of Financial Frictions for Life Insurers SO AMERICAN ECONOMIC REVIEW LA English DT Article ID INSURANCE; CAPACITY AB During the financial crisis, life insurers sold long-term policies at deep discounts relative to actuarial value. The average markup was as low as -19 percent for annuities and -57 percent for life insurance. This extraordinary pricing behavior was due to financial and product market frictions, interacting with statutory reserve regulation that allowed life insurers to record far less than a dollar of reserve per dollar of future insurance liability. We identify the shadow cost of capital through exogenous variation in required reserves across different types of policies. The shadow cost was $0.96 per dollar of statutory capital for the average company in November 2008. C1 [Koijen, Ralph S. J.] London Business Sch, London NW1 4SA, England. [Yogo, Motohiro] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55401 USA. RP Koijen, RSJ (reprint author), London Business Sch, Regents Pk, London NW1 4SA, England. EM rkoijen@london.edu; yogo@minneapolisfed.org RI Yogo, Motohiro/C-4820-2009 OI Yogo, Motohiro/0000-0001-8778-778X NR 34 TC 7 Z9 7 U1 1 U2 10 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD JAN PY 2015 VL 105 IS 1 BP 445 EP 475 DI 10.1257/aer.20121036 PG 31 WC Economics SC Business & Economics GA AY3DI UT WOS:000347464300015 ER PT J AU Mazumder, B Acosta, M AF Mazumder, Bhashkar Acosta, Miguel TI Using Occupation to Measure Intergenerational Mobility SO ANNALS OF THE AMERICAN ACADEMY OF POLITICAL AND SOCIAL SCIENCE LA English DT Article DE intergenerational mobility; social mobility; occupational mobility; income; occupation ID UNITED-STATES; EARNINGS AB Scholarly investigations of intergenerational mobility typically focus on either the occupations of fathers and sons or their incomes. Using an identical sample of fathers and sons, we examine how estimates of intergenerational mobility in income and occupational prestige are affected by (1) measurement that uses long time averages and (2) varying the point in the life cycle when outcomes are measured. We find that intergenerational occupational mobility is overstated when using a single year of fathers' occupation compared to a 10-year average centered on mid-career. We also find that for both income and occupation, mobility estimates are largest when sons are in their mid-career, suggesting that this may be the ideal period in which to measure their status. Finally, we see differences in the pattern of estimates across the two types of measures: for income, estimates of intergenerational persistence are highest when fathers are in their mid-career; for occupation, estimates are much larger when fathers' occupations are accounted for late in their careers. C1 [Mazumder, Bhashkar] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Acosta, Miguel] Fed Reserve Syst, Board Governors, Washington, DC USA. RP Mazumder, B (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. OI Acosta, Miguel/0000-0003-4366-1311 NR 14 TC 0 Z9 0 U1 4 U2 15 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0002-7162 EI 1552-3349 J9 ANN AM ACAD POLIT SS JI Ann. Am. Acad. Polit. Soc. Sci. PD JAN PY 2015 VL 657 IS 1 BP 174 EP 193 DI 10.1177/0002716214552056 PG 20 WC Political Science; Social Sciences, Interdisciplinary SC Government & Law; Social Sciences - Other Topics GA AW4RB UT WOS:000346267200012 ER PT J AU Bond, P Leitner, Y AF Bond, Philip Leitner, Yaron TI Market run-ups, market freezes, inventories, and leverage SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Adverse selection; Financial crisis; Capital constraints; Marking to market; Inventories ID BACKED SECURITIES; TO-MARKET; LEMONS; MANIPULATION; UNCERTAINTY; COMPETITION; QUALITY; PRICES AB We study trade between an informed seller and an uninformed buyer who have existing inventories of assets similar to those being traded. We show that these inventories could induce the buyer to increase the price (a run-up) but could also make trade impossible (a freeze) and hamper information dissemination. Competition can amplify the run-up by inducing buyers to purchase assets at a loss to prevent competitors from purchasing at lower prices and releasing bad news about inventories. In a dynamic extension, we show that a market freeze could be preceded by high prices. Finally, we discuss empirical and policy implications. (C) 2014 Elsevier B.V. All rights reserved. C1 [Bond, Philip] Univ Washington, Seattle, WA 98195 USA. [Leitner, Yaron] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Leitner, Y (reprint author), Fed Reserve Bank Philadelphia, Res Dept, Ten Independence Mall, Philadelphia, PA 19106 USA. EM YaronLeitner@gmail.com NR 41 TC 3 Z9 3 U1 1 U2 14 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD JAN PY 2015 VL 115 IS 1 BP 155 EP 167 DI 10.1016/j.jfineco.2014.08.008 PG 13 WC Business, Finance; Economics SC Business & Economics GA AX0BJ UT WOS:000346618300008 ER PT J AU Lewis, KF Whiteman, CH AF Lewis, Kurt F. Whiteman, Charles H. TI Empirical Bayesian Density Forecasting in Iowa and Shrinkage for the Monte Carlo Era SO JOURNAL OF FORECASTING LA English DT Article DE Bayesian density forecasting; entropic tilting; MN prior; robust forecasting; shrinkage; vector autoregression ID VECTOR AUTOREGRESSIONS; MODELS; INFERENCE AB The track record of a 20-year history of density forecasts of state tax revenue in Iowa is studied, and potential improvements sought through a search for better-performing priors' similar to that conducted three decades ago for point forecasts by Doan, Litterman and Sims (Econometric Reviews, 1984). Comparisons of the point and density forecasts produced under the flat prior are made to those produced by the traditional (mixed estimation) Bayesian VAR' methods of Doan, Litterman and Sims, as well as to fully Bayesian Minnesota Prior' forecasts. The actual record and, to a somewhat lesser extent, the record of the alternative procedures studied in pseudo-real-time forecasting experiments, share a characteristic: subsequently realized revenues are in the lower tails of the predicted distributions too often'. An alternative empirically based prior is found by working directly on the probability distribution for the vector autoregression parametersthe goal being to discover a better-performing entropically tilted prior that minimizes out-of-sample mean squared error subject to a Kullback-Leibler divergence constraint that the new prior not differ too much' from the original. We also study the closely related topic of robust prediction appropriate for situations of ambiguity. Robust priors' are competitive in out-of-sample forecasting; despite the freedom afforded the entropically tilted prior, it does not perform better than the simple alternatives. Copyright (c) 2014 John Wiley & Sons, Ltd. C1 [Lewis, Kurt F.] Fed Reserve, Board Governors, Washington, DC USA. [Whiteman, Charles H.] Penn State Univ, University Pk, PA 16802 USA. RP Whiteman, CH (reprint author), Penn State Univ, University Pk, PA 16802 USA. EM cwhiteman@smeal.psu.edu NR 30 TC 0 Z9 0 U1 3 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0277-6693 EI 1099-131X J9 J FORECASTING JI J. Forecast. PD JAN PY 2015 VL 34 IS 1 BP 15 EP 35 DI 10.1002/for.2316 PG 21 WC Economics; Management SC Business & Economics GA AW9MX UT WOS:000346582700002 ER PT J AU Hayes, RC Imai, M Shelton, CA AF Hayes, Rosa C. Imai, Masami Shelton, Cameron A. TI ATTRIBUTION ERROR IN ECONOMIC VOTING: EVIDENCE FROM TRADE SHOCKS SO ECONOMIC INQUIRY LA English DT Article ID POLITICAL BUDGET CYCLES; DEMOCRACY; GROWTH; VOTERS; UNEMPLOYMENT; POPULARITY; ELECTIONS; INFLATION; COUNTRIES; EDUCATION AB This article exploits the international transmission of business cycles to examine the prevalence of attribution error in economic voting in a large panel of countries from 1990 to 2009. We find that voters, on average, exhibit a strong tendency to oust the incumbent governments during an economic downturn, regardless of whether the recession is home-grown or merely imported from trading partners. However, we find important heterogeneity in the extent of attribution error. A split sample analysis shows that countries with more experienced voters, more educated voters, and possibly more informed votersall conditions that have been shown to mitigate other voter agency problemsdo better in distinguishing imported from domestic growth. (JEL E3, E6) C1 [Hayes, Rosa C.] Fed Reserve Bank New York, Res Grp, New York, NY 10045 USA. [Imai, Masami] Wesleyan Univ, Dept Econ, Middletown, CT 06459 USA. [Shelton, Cameron A.] Claremont Mckenna Coll, Robert Day Sch Econ & Finance, Claremont, CA 91711 USA. RP Hayes, RC (reprint author), Fed Reserve Bank New York, Res Grp, New York, NY 10045 USA. EM Rosa.Hayes@ny.frb.org; mimai@wesleyan.edu; cshelton@cmc.edu NR 48 TC 0 Z9 0 U1 2 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 EI 1465-7295 J9 ECON INQ JI Econ. Inq. PD JAN PY 2015 VL 53 IS 1 BP 258 EP 275 DI 10.1111/ecin.12116 PG 18 WC Economics SC Business & Economics GA AU0ZH UT WOS:000345350200015 ER PT J AU Argento, R Bryant, VL Sabelhaus, J AF Argento, Robert Bryant, Victoria L. Sabelhaus, John TI EARLY WITHDRAWALS FROM RETIREMENT ACCOUNTS DURING THE GREAT RECESSION SO CONTEMPORARY ECONOMIC POLICY LA English DT Article ID SUM PENSION DISTRIBUTIONS; JOB CHANGE; DISPOSITION; HEALTH; POLICY; PLANS AB Early withdrawals from retirement accounts are a double-edged sword, because withdrawals reduce retirement resources, but they also allow individuals to smooth consumption when they experience demographic and economic shocks. Using tax data, we show that preretirement withdrawals increased between 2004 and 2010, especially after 2007, but early withdrawal rates are substantial (relative to new contributions) in all those years. Early withdrawal events are strongly correlated with shocks to income and marital status, and lower-income taxpayers are more likely to experience the types of shocks associated with early withdrawals and more likely to have a taxable withdrawal when they experience a given shock. (JEL G23, H24, H31) C1 [Argento, Robert; Sabelhaus, John] Board Governors Fed Reserve Syst, Washington, DC 20002 USA. [Bryant, Victoria L.] Int Revenue Serv, Stat Income Div, Washington, DC USA. RP Argento, R (reprint author), Board Governors Fed Reserve Syst, Washington, DC 20002 USA. EM robert.b.argento@frb.gov; victoria.l.bryant@irs.gov; john.sabelhaus@frb.gov NR 22 TC 4 Z9 4 U1 3 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1074-3529 EI 1465-7287 J9 CONTEMP ECON POLICY JI Contemp. Econ. Policy PD JAN PY 2015 VL 33 IS 1 BP 1 EP 16 DI 10.1111/coep.12064 PG 16 WC Economics; Public Administration SC Business & Economics; Public Administration GA AU0PN UT WOS:000345325900001 ER PT J AU Gordy, MB AF Gordy, Michael B. TI FINITE-DIMENSIONAL DISTRIBUTIONS OF A SQUARE-ROOT DIFFUSION SO JOURNAL OF APPLIED PROBABILITY LA English DT Article DE Bell polynomial; CIR process; difference of gamma variates; Kibble-Moran distribution; Krishnamoorthy-Parthasarathy distribution; multivariate noncentral chi-squared distribution; multivariate gamma distribution; square-root diffusion AB We derive multivariate moment generating functions for the conditional and stationary distributions of a discrete sample path of n observations of a square-root diffusion (OR) process, X (t). For any fixed vector of observation times t(1), ... , t(n), we find the conditional joint distribution of (X(t(1)), ... , X (t(n))) is a multivariate noncentral chi-squared distribution and the stationary joint distribution is a Krishnamoorthy- Parthasarathy multivariate gamma distribution. Multivariate cumulants of the stationary distribution have a simple and computationally tractable expression. We also obtain the moment generating function for the increment X (t + delta) - X (t), and show that the increment is equivalent in distribution to a scaled difference of two independent draws from a gamma distribution. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Gordy, MB (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM michael.gordy@frb.gov NR 16 TC 1 Z9 1 U1 0 U2 0 PU APPLIED PROBABILITY TRUST PI SHEFFIELD PA THE UNIVERSITY, SCHOOL MATHEMATICS STATISTICS, SHEFFIELD S3 7RH, ENGLAND SN 0021-9002 EI 1475-6072 J9 J APPL PROBAB JI J. Appl. Probab. PD DEC PY 2014 VL 51 IS 4 BP 930 EP 942 PG 13 WC Statistics & Probability SC Mathematics GA CI8MX UT WOS:000355027500006 ER PT J AU Kiley, MT AF Kiley, Michael T. TI The Aggregate Demand Effects of Short- and Long-Term Interest Rates SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID MONETARY-POLICY; INFLATION; MODELS; OUTPUT AB I develop empirical models of the U.S. economy that distinguish between the aggregate demand effects of short-and long-term interest rates-one with clear "microfoundations" and one more loosely motivated. These models are estimated using government and private long-term bond yields. Estimation results suggest that both short-and long-term interest rates influence aggregate spending. The results indicate that the short-term interest rate has a larger influence on economic activity, through its impact on the entire term structure, than term and risk premiums (for equal-sized movements in long-term interest rates). Potential policy implications are discussed. C1 [Kiley, Michael T.] Fed Reserve Board, Washington, DC 20551 USA. RP Kiley, MT (reprint author), Fed Reserve Board, Off Financial Stabil Policy & Res, Washington, DC 20551 USA. EM mkiley@frb.gov NR 37 TC 4 Z9 4 U1 0 U2 3 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD DEC PY 2014 VL 10 IS 4 BP 69 EP 104 PG 36 WC Business, Finance SC Business & Economics GA AZ9YS UT WOS:000348571300003 ER PT J AU Benos, E Garratt, RJ Zimmerman, P AF Benos, Evangelos Garratt, Rodney J. Zimmerman, Peter TI The Role of Counterparty Risk in CHAPS Following the Collapse of Lehman Brothers SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID LIQUIDITY; CRISIS; MARKET AB We study the impact of the recent global financial crisis on CHAPS, the United Kingdom's large-value payments system. Core infrastructures functioned smoothly throughout the crisis and settlement banks continued to meet their payment obligations. However, payments data show that in the two months following the Lehman Brothers failure, banks did, on average, make payments at a slower pace than before the failure. We show that this slowdown is related to concerns about counterparty default risk, thereby identifying a new channel through which counterparty risk manifests itself in financial markets. C1 [Benos, Evangelos; Zimmerman, Peter] Bank England, Financial Stabil, London, England. [Garratt, Rodney J.] Fed Reserve Bank New York, Santa Barbara, CA USA. [Garratt, Rodney J.] Univ Calif Santa Barbara, Santa Barbara, CA 93106 USA. RP Garratt, RJ (reprint author), Fed Reserve Bank New York, Money & Payments Studies Funct, New York, NY 10045 USA. EM rodney.garratt@ny.frb.org NR 24 TC 0 Z9 0 U1 0 U2 5 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD DEC PY 2014 VL 10 IS 4 BP 143 EP 171 PG 29 WC Business, Finance SC Business & Economics GA AZ9YS UT WOS:000348571300005 ER PT J AU Harake, W Meade, EE AF Harake, Wissam Meade, Ellen E. TI Hong Kong's Currency Crisis: A Test of the 1990s 'Washington Consensus' View SO INTERNATIONAL FINANCE LA English DT Article ID EXCHANGE MARKET PRESSURE; MONETARY-POLICY; ASIA AB In the aftermath of the financial crisis that rocked Southeast Asia in 1997-98, prominent scholars argued that the advice dispensed by the International Monetary Fund and supported by the policy community in Washington had exacerbated rather than stabilized the crisis. In this paper, we look back at that debate by using Hong Kong's experience during the Asian financial crisis to test the then-consensus view on monetary tightening against the revisionist view of its critics. Hong Kong provides an interesting test of the two approaches because monetary policy was tightened and the pre-crisis exchange rate survived the speculative attack intact, in contrast to other studies that have examined the effects of tighter monetary policy during attacks that led to changes in exchange-rate management. Using a model of exchange-market pressure and VAR estimation, we find that our results are generally supportive of the revisionist hypothesis. C1 [Harake, Wissam] Fed Reserve Board Governors, World Bank, Washington, DC 20551 USA. [Meade, Ellen E.] Fed Reserve Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Meade, EE (reprint author), Fed Reserve Board Governors, 20th & C St NW, Washington, DC 20551 USA. EM ellen.meade@frb.gov NR 27 TC 0 Z9 0 U1 2 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1367-0271 EI 1468-2362 J9 INT FINANC JI Int. Financ. PD WIN PY 2014 VL 17 IS 3 BP 273 EP 296 DI 10.1111/infi.12053 PG 24 WC Business, Finance; Economics SC Business & Economics GA AZ8GH UT WOS:000348452700001 ER PT J AU Abdymomunov, A Gerlach, J AF Abdymomunov, Azamat Gerlach, Jeffrey TI Stress testing interest rate risk exposure SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Bank; Interest rate risk; Stress testing; Scenario generation; Nelson-Siegel model ID TERM STRUCTURE; YIELD CURVE; BOND YIELDS; US; SIMULATION; SHIFTS; MODEL AB In the current low interest rate environment, the possibility of a sudden increase in rates is a potentially serious threat to financial stability. As a result, analyzing interest rate risk (IRR) is critical for financial institutions and supervisory agencies. We propose a new method for generating yield-curve scenarios for stress testing banks' exposure to IRR based on the Nelson-Siegel (1987) yield-curve model. We show that our method produces yield-curve scenarios with a wider variety of slopes and shapes than scenarios generated by the historical and hypothetical methods typically used in the banking industry and proposed in the literature. We stress test the economic value of equity of a bank balance sheet based on Call Report data from a large U.S. bank. We show that our method provides more information about the bank's exposure to IRR using fewer yield-curve scenarios than the alternative historical and hypothetical methods. (c) 2014 Elsevier B.V. All rights reserved. C1 [Abdymomunov, Azamat; Gerlach, Jeffrey] Fed Reserve Bank Richmond, Richmond, VA USA. RP Gerlach, J (reprint author), Fed Reserve Bank Richmond, Richmond, VA USA. EM azamat.abdymomunov@rich.frb.org; jeffrey.gerlach@rich.frb.org NR 43 TC 2 Z9 2 U1 5 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD DEC PY 2014 VL 49 BP 287 EP 301 DI 10.1016/j.jbankfin.2014.08.013 PG 15 WC Business, Finance; Economics SC Business & Economics GA AY4WR UT WOS:000347576400021 ER PT J AU Garratt, RJ Mahadeva, L Svirydzenka, K AF Garratt, Rodney J. Mahadeva, Lavan Svirydzenka, Katsiaryna TI The great entanglement: The contagious capacity of the international banking network just before the 2008 crisis SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Systemic risk; Interconnectedness; Network analysis; Information theory ID COMMUNITY STRUCTURE AB Systemic risk among the network of international banking groups arises when financial stress threatens to crisscross many national boundaries and expose imperfect international coordination. To assess this risk, we consider three decades of data on the cross-border interbank market. We use Rosvall and Bergstrom's (2008) information theoretic map equation to partition banking groups from 21 countries into modules that reveal the contagious capacity of the network. We show that in the late 1980s four important financial centers formed one large super cluster that was highly contagious in terms of transmission of stress within its ranks, but less contagious on a global scale. But the expansion leading to the 2008 crisis left more transmitting hubs sharing the same total influence as a few large modules had previously. We show that this greater entanglement meant the network was more broadly contagious, and not that risk was more shared. Thus, our analysis contributes to our understanding as to why defaults in US sub-prime mortgages spread quickly through the global financial system. (c) 2014 Elsevier B.V. All rights reserved. C1 [Garratt, Rodney J.] Univ Calif Santa Barbara, Santa Barbara, CA 93106 USA. [Garratt, Rodney J.] Fed Reserve Bank New York, New York, NY USA. [Mahadeva, Lavan] Univ Oxford, Oxford Inst Energy Studies, Oxford OX1 2JD, England. [Svirydzenka, Katsiaryna] Int Monetary Fund, Washington, DC 20431 USA. RP Mahadeva, L (reprint author), Univ Oxford, Oxford Inst Energy Studies, Oxford OX1 2JD, England. EM rodgarratt@gmail.com; Lavanito@gmail.com; ksvirydzenka@imf.org NR 45 TC 1 Z9 1 U1 5 U2 12 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD DEC PY 2014 VL 49 BP 367 EP 385 DI 10.1016/j.jbankfin.2013.12.025 PG 19 WC Business, Finance; Economics SC Business & Economics GA AY4WR UT WOS:000347576400027 ER PT J AU Lacker, JM AF Lacker, Jeffrey M. TI Fed Credit Policy: What is a Lender of Last Resort? SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Fed; Central bank; Federal Reserve; Too big to fail; Economy; Resolution AB Discussions of the Fed's financial crisis lending - and its role as "Lender of Last Resort" more generally - often overlook the distinction between monetary policy and credit policy. Central bank actions constitute monetary policy if they alter the quantity of the bank's monetary liabilities, but constitute credit policy if they alter the composition of the bank's portfolio without affecting the outstanding amount of monetary liabilities. In the 19th century, Henry Thornton and Walter Bagehot advocated Lender of Last Resort policies as a means of expanding the money supply when the demand for money surged in a crisis. In contrast, the Fed's recent crisis lending for the most part left its outstanding monetary liabilities unaffected, and thus represented credit policy, not Lender of Last Resort activity. Credit allocation in a crisis is potentially costly because it affects market participants' beliefs about the likelihood of future central bank rescues, which in turn reduces their incentive to protect themselves against financial distress and thus exacerbates financial instability. Credible limits on credit policy thus are critical to central banks' core policy mission. One path to establishing such limits is to create "living wills" that detail how to resolve large, complex financial firms without government support. (C) 2014 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Richmond, VA 23261 USA. RP Lacker, JM (reprint author), Fed Reserve Bank Richmond, Richmond, VA 23261 USA. EM jeffrey.lacker@rich.frb.org NR 18 TC 0 Z9 0 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD DEC PY 2014 VL 49 BP 135 EP 138 DI 10.1016/j.jedc.2014.09.019 PG 4 WC Economics SC Business & Economics GA AY5GD UT WOS:000347600000015 ER PT J AU George, EL AF George, Esther L. TI Supervisory frameworks and monetary policy SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article AB One issue that the crisis has pushed to the forefront is the relationship between macroeconomics and finance, and how we think about the footings of financial stability. My comments this evening will focus briefly on this intersection of monetary policy and supervisory and regulatory issues. I am convinced that promoting financial stability requires a comprehensive approach that uses both macroprudential tools and the examination of individual firms, relying on the judgment of experienced examiners. In addition, I am skeptical of a clean "separation principle" that places financial stability squarely in the purview of the supervisors. Instead, I think monetary policymakers also need to maintain a careful eye on the financial system and how interest rate policy affects incentives for financial markets and institutions. (C) 2014 Published by Elsevier B.V. C1 Fed Reserve Bank Kansas City, Kansas City, MO USA. RP George, EL (reprint author), Fed Reserve Bank Kansas City, 1 Mem Dr, Kansas City, MO USA. NR 1 TC 0 Z9 0 U1 1 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD DEC PY 2014 VL 49 BP 139 EP 141 DI 10.1016/j.jedc.2014.09.035 PG 3 WC Economics SC Business & Economics GA AY5GD UT WOS:000347600000016 ER PT J AU Plosser, CI AF Plosser, Charles I. TI Monetary rules: Theory and practice SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Taylor rules; Forward guidance; Transparency AB President Charles Plosser discusses his views on the benefits of a systematic and rule-like approach to monetary policy. President Plosser outlines his proposals to indicate the likely behavior of the policy rate based on a few different Taylor-like rules that have been consistent with past conduct of monetary policy and are robust to our uncertainties regarding the true economic model. President Plosser believes that the model created by the Federal Reserve Board staff, called FRB/US, seems to be a reasonable starting point for providing economic forecasts based on those rule-based policies; however, other models would be useful to consider. (C) 2014 Published by Elsevier B.V. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Plosser, CI (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. NR 3 TC 1 Z9 1 U1 2 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD DEC PY 2014 VL 49 BP 144 EP 146 DI 10.1016/j.jedc.2014.09.018 PG 3 WC Economics SC Business & Economics GA AY5GD UT WOS:000347600000018 ER PT J AU Williams, JC AF Williams, John C. TI Policy rules in practice SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Monetary policy; Taylor rule AB Over the past twenty years, monetary policy rules have played an increasingly central role in disucssions of monetary policy strategy and tactics at the Federal Reserve. This represented a sea change in thinking about monetary policy in terms of a systematic startagey rather than a sequence of policy decisions. Published by Elsevier B.V. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Williams, JC (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM john.c.williams@sf.frb.org NR 3 TC 0 Z9 0 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD DEC PY 2014 VL 49 BP 151 EP 153 DI 10.1016/j.jedc.2014.09.020 PG 3 WC Economics SC Business & Economics GA AY5GD UT WOS:000347600000020 ER PT J AU Lutz, B Sheiner, L AF Lutz, Byron Sheiner, Louise TI The fiscal stress arising from state and local retiree health obligations SO JOURNAL OF HEALTH ECONOMICS LA English DT Article DE Retiree health; State and local government; Pay-as-you-go financing; Pensions; Fiscal sustainability; OPEB ID PUBLIC-SECTOR; PLANS; LIABILITIES AB A major factor weighing down the long-term finances of state and local governments is the obligation to fund retiree benefits. While state and local government pension obligations have been analyzed in great detail, much less attention has been paid to the costs of the other major retiree benefit provided by these governments: retiree health insurance. The first portion of the paper uses the information contained in the annual actuarial reports for public retiree health plans to reverse engineer the cash flows underlying the liabilities given in the report. Obtaining the cash flows allows us to construct liability estimates which are consistent across governments in terms of the discount rate, actuarial method and assumptions concerning medical cost inflation and mortality. We find that the total unfunded accrued liability of state and local governments for the provision of retiree health care exceeds $1 trillion, or about 1/3 of total state and local government revenue. Relative to pension obligations discounted at the same rate, we find that unfunded retiree health care liabilities are 1/2 the size of unfunded pension obligations. We also find that using assumptions concerning the growth in health care costs that are arguably more realistic than those employed by most states actually reduces the size of the liability in most cases. Pushing in the opposite direction, we find that using plausibly more realistic mortality assumptions increases the size of liability. The second portion of the paper places retiree health care obligations into context by examining the budget pressures associated with retiree health on a continuing, largely pay-as-you go basis. We find that much of the projected increase in retiree health obligations as a share of revenue is the result of health care cost growth. On average, states could put their retiree health obligations into long-run fiscal balance by contributing an additional 3/4 percent of total revenue toward the benefit each year. There is, however, wide variation across the states, with the majority of states requiring little in the way of additional financing, but some states requiring a significantly larger increase. (C) 2014 Elsevier B.V. All rights reserved. C1 [Lutz, Byron] Fed Reserve Board Governors, Washington, DC USA. [Sheiner, Louise] Brookings Inst, Washington, DC 20036 USA. RP Sheiner, L (reprint author), Brookings Inst, Washington, DC 20036 USA. EM lsheiner@brookings.edu NR 30 TC 1 Z9 1 U1 2 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-6296 EI 1879-1646 J9 J HEALTH ECON JI J. Health Econ. PD DEC PY 2014 VL 38 BP 130 EP 146 DI 10.1016/j.jhealeco.2014.06.002 PG 17 WC Economics; Health Care Sciences & Services; Health Policy & Services SC Business & Economics; Health Care Sciences & Services GA AZ1PN UT WOS:000348010700012 PM 25479893 ER PT J AU Aliprantis, D AF Aliprantis, Dionissi TI When Should Children Start School? SO JOURNAL OF HUMAN CAPITAL LA English DT Article ID EDUCATIONAL-ATTAINMENT; RELATIVE AGE; SEASONALITY; CHILDHOOD; BIRTH; ACHIEVEMENT; FERTILITY; DYNAMICS; MODELS; POLICY AB This paper studies causal effects informative for deciding the age when children should start kindergarten. I present evidence from the Early Childhood Longitudinal Study, Kindergarten Class of 1998-99 (ECLS-K) that standard instrumental variable strategies do not identify effects of delaying kindergarten entry for any subpopulation of interest. I propose and implement a new strategy for identifying individual-level education production function parameters. Estimates indicate that there can be decreasing and even negative returns to relative age: For the oldest children in a cohort, educational achievement in third grade decreases as their age relative to that of their classmates increases. C1 Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Aliprantis, D (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. NR 82 TC 3 Z9 3 U1 0 U2 11 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 1932-8575 EI 1932-8664 J9 J HUM CAPITAL JI J. Hum. Cap. PD WIN PY 2014 VL 8 IS 4 BP 481 EP 536 DI 10.1086/679109 PG 56 WC Economics SC Business & Economics GA AZ2HI UT WOS:000348054600004 ER PT J AU Gelain, P Lansing, KJ AF Gelain, Paolo Lansing, Kevin J. TI House prices, expectations, and time-varying fundamentals SO JOURNAL OF EMPIRICAL FINANCE LA English DT Article DE Housing bubbles; Expectations; Excess volatility; Predictability; Time-varying risk premiums; Expected returns ID ASSET PRICING MODEL; ADAPTIVE EXPECTATIONS; EXCESS VOLATILITY; AGGREGATE STOCK; EQUITY PREMIUM; BUBBLES; MARKET; RETURN; PREDICTABILITY; INFORMATION AB We investigate the behavior of the equilibrium price-rent ratio for housing in a standard asset pricing model and compare the model predictions to survey evidence on the return expectations of real-world housing investors. We allow for time-varying risk aversion (via external habit formation) and time-varying persistence and volatility in the stochastic process for rent growth, consistent with the U.S. data for the period 1960 to 2013. Under fully-rational expectations, the model significantly underpredicts the volatility of the U.S. price-rent ratio for reasonable levels of risk aversion. We demonstrate that the model can approximately match the volatility of the price-rent ratio in the data if near-rational agents continually update their estimates for the mean, persistence and volatility of fundamental rent growth using only recent data (i.e., the past 4 years), or if agents employ a simple moving-average forecast rule for the price-rent ratio that places a large weight on the most recent observation. These two versions of the model can be distinguished by their predictions for the correlation between expected future returns on housing and the price-rent ratio. Only the moving-average model predicts a positive correlation such that agents tend to expect high future returns when prices are high relative to fundamentals a feature that is consistent with a wide variety of survey evidence from real estate and stock markets. (C) 2014 Elsevier B.V. All rights reserved. C1 [Gelain, Paolo] Norges Bank, N-0107 Oslo, Norway. [Lansing, Kevin J.] Fed Reserve Bank San Francisco, San Francisco, CA 94120 USA. RP Lansing, KJ (reprint author), Fed Reserve Bank San Francisco, POB 7702, San Francisco, CA 94120 USA. EM paolo.gelain@norges-bank.no; kevin.j.lansing@sf.frb.org NR 71 TC 9 Z9 9 U1 4 U2 22 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5398 EI 1879-1727 J9 J EMPIR FINANC JI J. Empir. Financ. PD DEC PY 2014 VL 29 SI SI BP 3 EP 25 DI 10.1016/j.jempfin.2014.05.002 PG 23 WC Business, Finance; Economics SC Business & Economics GA AY5BU UT WOS:000347589200002 ER PT J AU Robertson, R Kumar, A Dutkowsky, DH AF Robertson, Raymond Kumar, Anil Dutkowsky, Donald H. TI Weak-form and strong-form purchasing power parity between the US and Mexico: A panel cointegration investigation SO JOURNAL OF MACROECONOMICS LA English DT Article DE Purchasing Power Parity (PPP); Weak-form PPP; Strong-form PPP; Cointegration; Mexico ID REAL EXCHANGE-RATE; FINITE-SAMPLE PROPERTIES; UNIT ROOTS; NONLINEAR COINTEGRATION; HETEROGENEOUS PANELS; DEVELOPING-COUNTRIES; GOODS PRICES; RANK-TESTS; PPP; AGGREGATION AB This study examines the long-run relationship between US and Mexican prices. We use panel cointegration techniques that allow for heterogeneous relationships across goods to examine the existence of weak-form and strong-form Purchasing Power Parity (PPP) between the US and Mexico. We construct and work with a panel of highly disaggregated data, matched prices of individual products sold in each country. Our findings provide overwhelming support for weak-form PPP, but less support for strong-form PPP. Strong-form PPP, though, emerges among actively-traded goods. In contrast, non-traded goods exhibit amplified reaction to price changes in Mexico relative to those from the US. (C) 2014 Elsevier Inc. All rights reserved. C1 [Robertson, Raymond] Macalester Coll, Dept Econ, St Paul, MN 55105 USA. [Kumar, Anil] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75024 USA. [Dutkowsky, Donald H.] Syracuse Univ, Maxwell Sch Citizenship & Publ Affairs, Syracuse, NY 13244 USA. RP Robertson, R (reprint author), Macalester Coll, Dept Econ, 1600 Grand Ave, St Paul, MN 55105 USA. EM robertson@macalester.edu; Anil.Kumar@dal.frb.org; dondutk@maxwell.syr.edu NR 58 TC 0 Z9 0 U1 1 U2 3 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD DEC PY 2014 VL 42 BP 241 EP 262 DI 10.1016/j.jmacro.2014.08.005 PG 22 WC Economics SC Business & Economics GA AX6HN UT WOS:000347023700018 ER PT J AU Arellano, C Kocherlakota, N AF Arellano, Cristina Kocherlakota, Narayana TI Internal debt crises and sovereign defaults SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Default; Self-fulfilling debt crisis; Optimal contracting ID REPUDIATION; INCOME; MODEL; RISK AB Internal and sovereign debt crises occur together and happen more frequently in economies with weak bankruptcy institutions. This paper provides a novel explanation. Internal crises arise because of the inability to liquidate private debtors when many default. In an optimal contract, a successful entrepreneur repays yet an unsuccessful one defaults and liquidates his assets. The bounds on liquidation generate, however, a second equilibrium where domestic borrowers default because others are also defaulting. During these coordinated defaults tax collections fall which increases sovereign default risk. In the model joint debt crises are an optimal response to informational problems in private-sector lending. Published by Elsevier B.V. C1 [Arellano, Cristina; Kocherlakota, Narayana] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Arellano, Cristina] Univ Minnesota, Minneapolis, MN 55455 USA. RP Arellano, C (reprint author), Fed Reserve Bank Minneapolis, 90 Hennepin Ave, Minneapolis, MN 55401 USA. EM arellano.cristina@gmail.com NR 28 TC 1 Z9 1 U1 2 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD DEC PY 2014 VL 68 SU S BP S68 EP S80 DI 10.1016/j.jmoneco.2014.03.003 PG 13 WC Business, Finance; Economics SC Business & Economics GA AX7ZW UT WOS:000347131100006 ER PT J AU Wojan, TR Brown, JP Lambert, DM AF Wojan, Timothy R. Brown, Jason P. Lambert, Dayton M. TI What to Do about the "Cult of Statistical Significance"? A Renewable Fuel Application using the Neyman-Pearson Protocol SO APPLIED ECONOMIC PERSPECTIVES AND POLICY LA English DT Article DE Emerging industry; ethanol; employment impacts; ex post evaluation; power analysis; Monte Carlo simulation; hypothesis testing ID ECONOMIC-GROWTH; UNITED-STATES; DETERMINANTS; ETHANOL; IMPACTS; FISHER; POWER AB This research adapts the Neyman-Pearson testing protocol commonly used in biomedical research for ex post evaluation of the employment impacts of new ethanol bio-refineries in the U.S. Great Plains and the Midwest. By calculating the power of the test, the suggested protocol may provide policy-relevant information, even in the event of nonsignificant findings. The main obstacle to applying this protocol has been the need to posit an explicit alternative distribution, which runs counter to the empiricist tradition of mainstream econometrics. We resolve this problem by applying a data generating process with known parameters anchored to sample data to compute power. C1 [Wojan, Timothy R.] Econ Res Serv, USDA, Washington, DC 20024 USA. [Brown, Jason P.] Fed Reserve Bank Kansas City, Kansas City, KS USA. [Lambert, Dayton M.] Univ Tennessee, Inst Agr, Dept Agr & Resource Econ, Knoxville, TN 37996 USA. RP Wojan, TR (reprint author), Econ Res Serv, USDA, Washington, DC 20024 USA. EM twojan@ers.usda.gov FU USDA [NE-1049] FX The authors thank Terrance Hurley and 2 anonymous referees for their willingness to struggle with a topic outside of the applied economics mainstream, and for their helpful comments for improving the analysis and exposition. A debt is also owed to peers who provided helpful comments for improving earlier drafts but who prefer to remain anonymous. Individuals that facilitated the study include Shawn Wozniak, who provided excellent research assistance, and David Talan at the Bureau of Labor Statistics, who ensured access to the unpublished Quarterly Census of Employment and Wages data. David McGranahan, Jeremy Weber, Steve Vogel, Roger Bolton, Peter Schaeffer, and participants at North American Regional Science Council sessions, where earlier drafts were presented, also provided helpful comments. A portion of Lambert's research was funded by the USDA Hatch Project NE-1049. Any remaining errors are the sole responsibility of the authors. The opinions expressed herein are those of the authors and may not be attributed to the United States Department of Agriculture, the Economic Research Service, the Federal Reserve Bank of Kansas City, the Federal Reserve System, or the University of Tennessee. NR 40 TC 0 Z9 0 U1 1 U2 5 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 2040-5790 EI 2040-5804 J9 APPL ECON PERSPECT P JI Appl. Econ. Perspect. Policy PD DEC PY 2014 VL 36 IS 4 BP 674 EP 695 DI 10.1093/aepp/ppu013 PG 22 WC Agricultural Economics & Policy; Economics SC Agriculture; Business & Economics GA AW1UO UT WOS:000346076300006 ER PT J AU Cattaneo, MD Crump, RK Jansson, M AF Cattaneo, Matias D. Crump, Richard K. Jansson, Michael TI BOOTSTRAPPING DENSITY-WEIGHTED AVERAGE DERIVATIVES SO ECONOMETRIC THEORY LA English DT Article ID EDGEWORTH EXPANSIONS; COEFFICIENTS; ESTIMATORS; MODELS AB We investigate the properties of several bootstrap-based inference procedures for semiparametric density-weighted average derivatives. The key innovation in this paper is to employ an alternative asymptotic framework to assess the properties of these inference procedures. This theoretical approach is conceptually distinct from the traditional approach (based on asymptotic linearity of the estimator and Edgeworth expansions), and leads to different theoretical prescriptions for bootstrap-based semiparametric inference. First, we show that the conventional bootstrap-based approximations to the distribution of the estimator and its classical studentized version are both invalid in general. This result shows a fundamental lack of "robustness" of the associated, classical bootstrap-based inference procedures with respect to the bandwidth choice. Second, we present a new bootstrap-based inference procedure for density-weighted average derivatives that is more "robust" to perturbations of the bandwidth choice, and hence exhibits demonstrable superior theoretical statistical properties over the traditional bootstrap-based inference procedures. Finally, we also examine the validity and invalidity of related bootstrap-based inference procedures and discuss additional results that may be of independent interest. Some simulation evidence is also presented. C1 [Cattaneo, Matias D.] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. [Crump, Richard K.] Fed Reserve Bank New York, New York, NY 10045 USA. [Jansson, Michael] Univ Calif Berkeley, Dept Econ, Berkeley, CA USA. RP Cattaneo, MD (reprint author), Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. FU National Science Foundation [SES 0921505, SES 1122994, SES 0920953, SES 1124174]; CREATES - Danish National Research Foundation FX The authors thank Joel Horowitz, Guido Imbens, Lutz Kilian, Demian Pouzo, Rocio Titiunik, seminar participants at Columbia/NYU, Duke, Harvard, LSE, Michigan, Northwestern, Rochester, and USC, and conference participants at the 2010 Econometric Society World Congress for comments. We also thank the co-editor, Yoon-Jae Whang, and two anonymous referees for their suggestions. The first author gratefully acknowledges financial support from the National Science Foundation (SES 0921505 and SES 1122994). The third author gratefully acknowledges financial support from the National Science Foundation (SES 0920953 and SES 1124174) and the research support of CREATES (funded by the Danish National Research Foundation). NR 25 TC 0 Z9 0 U1 1 U2 5 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0266-4666 EI 1469-4360 J9 ECONOMET THEOR JI Economet. Theory PD DEC PY 2014 VL 30 IS 6 BP 1135 EP 1164 DI 10.1017/S0266466614000127 PG 30 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA AW7PQ UT WOS:000346457000001 ER PT J AU Schorno, PJ Swidler, SM Wittry, MD AF Schorno, Patrick J. Swidler, Steve M. Wittry, Michael D. TI Hedging house price risk with futures contracts after the bubble burst SO FINANCE RESEARCH LETTERS LA English DT Article DE Hedging; Residential real estate; Housing; Financial crisis AB This paper extends the existing literature on managing house price risk. While previous work finds that a hedger would have reduced a large amount of variance in housing returns in Las Vegas, Nevada using Chicago Mercantile Exchange (CME) futures contracts, we show that neither static nor dynamic strategies would have maintained an effective hedge during the significant decline in housing prices. The inability to hedge house price risk using CME futures contracts ultimately calls into question the long-term viability of housing futures. Published by Elsevier Inc. C1 [Schorno, Patrick J.] Fed Reserve Bank Richmond, Charlotte Off, Charlotte, NC 28230 USA. [Swidler, Steve M.] Auburn Univ, Dept Finance, Coll Business 303, Auburn, AL 36849 USA. [Wittry, Michael D.] Univ Washington, Dept Finance & Business Econ, Seattle, WA 98195 USA. RP Schorno, PJ (reprint author), Fed Reserve Bank Richmond, Charlotte Off, POB 30248, Charlotte, NC 28230 USA. EM patrick.schorno@rich.frb.org; swidler@auburn.edu; mwittry@u.washington.edu OI Wittry, Michael/0000-0003-4884-8791 NR 21 TC 0 Z9 0 U1 2 U2 6 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1544-6123 EI 1544-6131 J9 FINANC RES LETT JI Financ. Res. Lett. PD DEC PY 2014 VL 11 IS 4 BP 332 EP 340 DI 10.1016/j.frl.2014.06.002 PG 9 WC Business, Finance SC Business & Economics GA AW6PX UT WOS:000346392200003 ER PT J AU Velde, F AF Velde, Francois TI A Review of Peter Temin's The Roman Market Economy SO JOURNAL OF ECONOMIC LITERATURE LA English DT Article ID EMPIRE; TRADE AB Herein, I review Peter Temin's book, The Roman Market Economy, and take the occasion to alert economists to the exciting work that is being done and could be done in the economic history of the ancient world. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Velde, F (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. NR 10 TC 0 Z9 0 U1 1 U2 1 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 EI 2328-8175 J9 J ECON LIT JI J. Econ. Lit. PD DEC PY 2014 VL 52 IS 4 BP 1151 EP 1159 DI 10.1257/jel.52.4.1151 PG 9 WC Economics SC Business & Economics GA AW6AD UT WOS:000346351000006 ER PT J AU Hale, G AF Hale, Galina TI Size, Risk, 14 Governance in European Banking SO SOCIAL SCIENCE JOURNAL LA English DT Book Review C1 [Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Hale, G (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM Galina.b.Hale@sf.frb.org NR 1 TC 0 Z9 0 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0362-3319 EI 1873-5355 J9 SOC SCI J JI Soc. Sci. J. PD DEC PY 2014 VL 51 IS 4 BP 704 EP 705 DI 10.1016/j.soscij.2014.09.017 PG 2 WC Social Sciences, Interdisciplinary SC Social Sciences - Other Topics GA AW9TT UT WOS:000346601100030 ER PT J AU Chari, VV Shourideh, A Zetlin-Jones, A AF Chari, V. V. Shourideh, Ali Zetlin-Jones, Ariel TI Reputation and Persistence of Adverse Selection in Secondary Loan Markets SO AMERICAN ECONOMIC REVIEW LA English DT Article ID INCOMPLETE INFORMATION; MONETARY-POLICY; MODEL; LIQUIDITY; LEMONS; EQUILIBRIUM; SECURITIES; BAD AB The volume of new issuances in secondary loan markets fluctuates over time and falls when collateral values fall. We develop a model with adverse selection and reputation that is consistent with such fluctuations. Adverse selection ensures that the volume of trade falls when collateral values fall. Without reputation, the equilibrium has separation, adverse selection is quickly resolved, and trade volume is independent of collateral value. With reputation, the equilibrium has pooling and adverse selection persists over time. The equilibrium is efficient unless collateral values are low and originators' reputational levels are low. We describe policies that can implement efficient outcomes. C1 [Chari, V. V.] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Chari, V. V.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Shourideh, Ali] Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA. [Zetlin-Jones, Ariel] Carnegie Mellon Univ, Tepper Sch Business, Pittsburgh, PA 15213 USA. RP Chari, VV (reprint author), Univ Minnesota, Dept Econ, 4-101 Hanson Hall,1925 Fourth St South, Minneapolis, MN 55455 USA. EM chari002@umn.edu; shouride@wharton.upenn.edu; azj@cmu.edu NR 45 TC 1 Z9 1 U1 6 U2 15 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD DEC PY 2014 VL 104 IS 12 BP 4027 EP 4070 DI 10.1257/aer.104.12.4027 PG 44 WC Economics SC Business & Economics GA AU9IZ UT WOS:000345906900008 ER PT J AU Abel, JR Gabe, TM Stolarick, K AF Abel, Jaison R. Gabe, Todd M. Stolarick, Kevin TI Skills across the Urban-Rural Hierarchy SO GROWTH AND CHANGE LA English DT Article ID CENTRAL PLACE THEORY; METROPOLITAN HIERARCHY; ECONOMIC-DEVELOPMENT; CREATIVE CLASS; CITIES; AGGLOMERATION; KNOWLEDGE; GROWTH; PRODUCTIVITY; OCCUPATIONS AB This paper examines the vertical and horizontal dimensions of human capital across regions within the U.S., ranging from densely populated city centers to isolated and sparsely populated rural areas. To do so, we classify detailed geographic areas into categories along the entire urban-rural hierarchy. An occupation-based cluster analysis is then used to complement the conventional measure of human capital, based on college attainment, by measuring the types of skills available in the regional workforce. We find that differences in human capital across the urban-rural hierarchy are related to both the types of work performed in urban and rural areas and that a higher share of college-educated workers is present in urban areas regardless of the skills typically required to perform the job. C1 [Abel, Jaison R.] Fed Reserve Bank New York, Res & Stat Grp, Buffalo, NY USA. [Gabe, Todd M.] Univ Maine, Sch Econ, Orono, ME USA. [Stolarick, Kevin] Univ Toronto, Martin Prosper Inst, Toronto, ON, Canada. RP Abel, JR (reprint author), Fed Reserve Bank New York, Res & Stat Grp, Buffalo, NY USA. EM jaison.abel@ny.frb.org; todd.gabe@umit.maine.edu; kstolarick@gmail.com NR 40 TC 3 Z9 3 U1 2 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0017-4815 EI 1468-2257 J9 GROWTH CHANGE JI Growth Change PD DEC PY 2014 VL 45 IS 4 BP 499 EP 517 DI 10.1111/grow.12067 PG 19 WC Planning & Development SC Public Administration GA AW3AK UT WOS:000346157500002 ER PT J AU Balla, E Ergen, I Migueis, M AF Balla, Eliana Ergen, Ibrahim Migueis, Marco TI Tail dependence and indicators of systemic risk for large US depositories SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Extreme value dependence; Systemic risk; Systemically important financial institutions ID EXTREME-VALUE DEPENDENCE; EQUITY MARKETS; STATISTICS; BEHAVIOR; PRICES; STOCKS AB In this study, we investigate the extreme loss tail dependence between stock returns of large US depository institutions. We find that stock returns exhibit strong loss dependence even in their limiting joint extremes. Motivated by this result, we derive extremal dependence-based systemic risk indicators. The proposed systemic risk indicators reflect downturns in the US financial industry very well. We also develop a set of firm-level average extremal dependence measures. We show that these firm-level measures could have been used to identify the firms that were more vulnerable to the 2007-2008 financial crisis. Additionally, we explore the performance of selected systemic risk indicators in predicting the crisis performance of large US depository institutions and find that the average stock return correlations are also good predictors of crisis period returns. Finally, we identify factors predictive of extremal dependence for the US depository institutions in a panel regression setting. Strength of extremal dependence increases with asset size and similarity of financial fundamentals. On the other hand, strength of extremal dependence decreases with capitalization, liquidity, funding stability and asset quality. We believe the proposed indicators have the potential to inform the prudential supervision of systemic risk. Published by Elsevier B.V. C1 [Balla, Eliana; Ergen, Ibrahim] Fed Reserve Bank Richmond, Richmond, VA USA. [Migueis, Marco] Fed Reserve Board, Washington, DC USA. RP Migueis, M (reprint author), Fed Reserve Syst, Board Governors, Div Banking Supervis & Regulat, 20th & C St NW,Mail Stop 1809, Washington, DC 20551 USA. EM Eliana.Balla@rich.frb.org; ibrahim.Ergen@rich.frb.org; mmigueis@gmail.com RI Migueis, Marco/D-8275-2017 OI Migueis, Marco/0000-0002-9855-7944 NR 31 TC 1 Z9 1 U1 0 U2 9 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 1572-3089 EI 1878-0962 J9 J FINANC STABIL JI J. Financ. Stab. PD DEC PY 2014 VL 15 BP 195 EP 209 DI 10.1016/j.jfs.2014.10.002 PG 15 WC Business, Finance; Economics SC Business & Economics GA AW1OW UT WOS:000346059800015 ER PT J AU Brewer, E Deshmukh, S Opiela, TP AF Brewer, Elijah, III Deshmukh, Sanjay Opiela, Timothy P. TI Interest-rate uncertainty, derivatives usage, and loan growth in bank holding companies SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Interest rate uncertainty; Interest-rate derivatives usage; Loan growth; Financial stability ID CAPITAL-MARKET FRICTIONS; INTEREST-RATE RISK; MONETARY-POLICY; DEPOSITS; FIRMS AB We explore one channel through which interest-rate derivatives usage affects loan growth positively in bank holding companies (BHCs). If interest-rate derivatives usage allows a BHC to substitute more freely among sources of funds, then its reliance on less interest-rate-sensitive sources such as core deposits should be lower. We test the hypothesis that if BHCs use interest-rate derivatives to reduce the adverse effects of interest-rate uncertainty on lending, then their loan growth should be less sensitive to core deposit growth. We find that loan growth is less sensitive to core deposit growth for interest-rate derivatives users than for non-users and that this sensitivity is lower when the extent of derivatives usage is higher. One important implication is that the funding flexibility enjoyed by BHCs using interest-rate derivatives should allow these BHCs to provide a smoother and higher level of intermediation, leading to more stable loan growth and greater economic stability. (C) 2014 Elsevier B.V. All rights reserved. C1 [Brewer, Elijah, III; Deshmukh, Sanjay] Depaul Univ, Driehaus Coll Business, Dept Finance, Chicago, IL 60604 USA. [Brewer, Elijah, III] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Opiela, Timothy P.] Depaul Univ, Driehaus Coll Business, Dept Econ, Chicago, IL 60604 USA. RP Deshmukh, S (reprint author), Depaul Univ, Driehaus Coll Business, Dept Finance, 1 East Jackson Blvd, Chicago, IL 60604 USA. EM ebreweri@depaul.edu; sdeshmuk@depaul.edu; topiela@depaul.edu NR 31 TC 4 Z9 4 U1 0 U2 5 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 1572-3089 EI 1878-0962 J9 J FINANC STABIL JI J. Financ. Stab. PD DEC PY 2014 VL 15 BP 230 EP 240 DI 10.1016/j.jfs.2014.10.003 PG 11 WC Business, Finance; Economics SC Business & Economics GA AW1OW UT WOS:000346059800017 ER PT J AU Davig, T Doh, T AF Davig, Troy Doh, Taeyoung TI MONETARY POLICY REGIME SHIFTS AND INFLATION PERSISTENCE SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID US INFLATION; MODELS; SWITCHES AB Using Bayesian methods, we estimate a Markov-switching New Keynesian (MSNK) model that allows shifts in the monetary policy reaction coefficients and shock volatilities with U. S. data. We find that a more aggressive monetary policy regime was in place after the Volcker disinflation and before 1970 than during the Great Inflation of the 1970s. Our estimates also indicate that a low-volatility regime has been in place during most of the sample period after 1984. We connect the timing of the different regimes to a measure of inflation persistence. C1 [Doh, Taeyoung] Fed Reserve Bank Kansas City, Kansas City, MO USA. NR 30 TC 8 Z9 8 U1 1 U2 8 PU MIT PRESS PI CAMBRIDGE PA ONE ROGERS ST, CAMBRIDGE, MA 02142-1209 USA SN 0034-6535 EI 1530-9142 J9 REV ECON STAT JI Rev. Econ. Stat. PD DEC PY 2014 VL 96 IS 5 BP 862 EP 875 DI 10.1162/REST_a_00415 PG 14 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA AW1MK UT WOS:000346053300007 ER PT J AU Pijoan-Mas, J Rios-Rull, JV AF Pijoan-Mas, Josep Rios-Rull, Jose-Victor TI Heterogeneity in Expected Longevities SO DEMOGRAPHY LA English DT Article DE Cohort life expectancy; Expected longevity; Health; Socioeconomic gradient ID SELF-RATED HEALTH; UNITED-STATES; LIFE EXPECTANCY; SOCIOECONOMIC INEQUALITIES; EDUCATIONAL DIFFERENTIALS; ADULT MORTALITY; COMMUNITY; AGE AB We develop a new methodology to compute differences in the expected longevity of individuals of a given cohort who are in different socioeconomic groups at a certain age. We address the two main problems associated with the standard use of life expectancy: (1) that people's socioeconomic characteristics change, and (2) that mortality has decreased over time. Our methodology uncovers substantial heterogeneity in expected longevities, yet much less heterogeneity than what arises from the naive application of life expectancy formulae. We decompose the longevity differences into differences in health at age 50, differences in the evolution of health with age, and differences in mortality conditional on health. Remarkably, education, wealth, and income are health-protecting but have very little impact on two-year mortality rates conditional on health. Married people and nonsmokers, however, benefit directly in their immediate mortality. Finally, we document an increasing time trend of the socioeconomic gradient of longevity in the period 1992-2008, and we predict an increase in the socioeconomic gradient of mortality rates for the coming years. C1 [Pijoan-Mas, Josep] CEMFI, Madrid 28014, Spain. [Pijoan-Mas, Josep] Ctr Econ Policy Res, London EC1 3PZ, England. [Rios-Rull, Jose-Victor] Univ Minnesota, Fed Reserve Bank Minneapolis, CAERP, CEPR, Minneapolis, MN USA. [Rios-Rull, Jose-Victor] NBER, Minneapolis, MN USA. RP Pijoan-Mas, J (reprint author), CEMFI, Casado del Alisal 5, Madrid 28014, Spain. EM pijoan@cemfi.es RI Pijoan-Mas, Josep/G-1347-2016 OI Pijoan-Mas, Josep/0000-0003-1091-9232 NR 29 TC 3 Z9 3 U1 0 U2 9 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0070-3370 EI 1533-7790 J9 DEMOGRAPHY JI Demography PD DEC PY 2014 VL 51 IS 6 BP 2075 EP 2102 DI 10.1007/s13524-014-0346-1 PG 28 WC Demography SC Demography GA AU6YY UT WOS:000345748900005 PM 25391225 ER PT J AU Fernald, JG Spiegel, MM Swanson, ET AF Fernald, John G. Spiegel, Mark M. Swanson, Eric T. TI Monetary policy effectiveness in China: Evidence from a FAVAR model SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Measuring China's economy; Dynamic factor model; Factor-augmented VAR; Monetary policy ID TRANSMISSION; STATISTICS; CHANNELS; FUNDS AB We use a broad set of Chinese economic indicators and a dynamic factor model framework to estimate Chinese economic activity and inflation as latent variables. We incorporate these latent variables into a factor-augmented vector autoregression (FAVAR) to estimate the effects of Chinese monetary policy on the Chinese economy. A FAVAR approach is particularly well-suited to this analysis due to concerns about Chinese data quality, a lack of a long history for many series, and the rapid institutional and structural changes that China has undergone. We find that increases in bank reserve requirements reduce economic activity and inflation, consistent with previous studies. In contrast to much of the literature, however, we find that central-bank determined changes in Chinese interest rates also have substantial impacts on economic activity and inflation, while other measures of changes in credit conditions, such as shocks to M2 or lending levels, do not once other policy variables are taken into account. Overall, our results indicate that the monetary policy transmission channels in China have moved closer to those of Western market economies. Published by Elsevier Ltd. C1 [Fernald, John G.; Spiegel, Mark M.; Swanson, Eric T.] Fed Reserve Bank, San Francisco, CA 94105 USA. RP Spiegel, MM (reprint author), Fed Reserve Bank, 101 Market St,MS 1130, San Francisco, CA 94105 USA. EM john.fernald@sf.frb.org; mark.spiegel@sf.frb.org; eric.swanson@sf.frb.org NR 33 TC 6 Z9 7 U1 0 U2 20 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 EI 1873-0639 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD DEC PY 2014 VL 49 BP 83 EP 103 DI 10.1016/j.jimonfin.2014.05.007 PN A PG 21 WC Business, Finance SC Business & Economics GA AU4DL UT WOS:000345559300005 ER PT J AU Debortoli, D Nunes, R AF Debortoli, Davide Nunes, Ricardo TI Monetary Regime Switches and Central Bank Preferences SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E32; E42; E52; monetary policy; regime switches; interest rate rules ID BUSINESS-CYCLE; POLICY RULES; INFLATION DYNAMICS; KEYNESIAN MODELS; COMMITMENT; ECONOMY; MONEY AB Monetary policy objectives and targets are not necessarily constant over time. The regime-switching literature has typically analyzed and interpreted changes in policymakers' behavior through simple interest rate rules. This paper analyzes policy regime switches by explicitly modeling policymakers' behavior and objectives. We show that changes in the parameters of simple rules do not necessarily correspond to changes in policymakers' preferences. In fact, capturing and interpreting regime changes in preferences through interest rate rules can lead to misleading results. C1 [Debortoli, Davide] Univ Pompeu Fabra & Barcelona GSE, Barcelona, Spain. [Nunes, Ricardo] Fed Reserve Bank Boston, Boston, MA USA. [Nunes, Ricardo] Fed Reserve Board, Washington, DC USA. RP Debortoli, D (reprint author), Univ Pompeu Fabra & Barcelona GSE, Barcelona, Spain. EM davide.debortoli@upf.edu; ricardo.p.nunes@frb.gov RI Debortoli, Davide/K-5785-2014 OI Debortoli, Davide/0000-0001-8012-1790 NR 45 TC 6 Z9 6 U1 3 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD DEC PY 2014 VL 46 IS 8 DI 10.1111/jmcb.12160 PG 35 WC Business, Finance; Economics SC Business & Economics GA AU3JP UT WOS:000345509300002 ER PT J AU Ergungor, OE Moulton, S AF Ergungor, O. Emre Moulton, Stephanie TI Beyond the Transaction: Banks and Mortgage Default of Low-Income Homebuyers SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE G21; R38; relationship lending; mortgage revenue bond program; mortgage performance; soft information ID SMALL BUSINESS DATA; LENDING RELATIONSHIPS; PREPAYMENT PENALTIES; ORIGINATION CHANNEL; CREDIT; INFORMATION; DISTANCE; LOAN; COMPETITION; BORROWERS AB We evaluate the effects of the lending institution and soft information on mortgage loan performance for low-income homebuyers. We find that even after controlling for the propensity of a borrower to get a loan from a local bank based on observable characteristics, those who receive a loan from a local bank branch are significantly less likely to become delinquent or default than other bank or nonbank borrowers, consistent with an unobserved information effect. These effects are most pronounced for loans originated to borrowers with marginal credit, where soft information may have a stronger effect. These findings support previous research on information-driven lending, and provide additional explanation for observed differences in mortgage loan performance between bank and nonbank lenders. C1 [Ergungor, O. Emre] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44114 USA. [Moulton, Stephanie] Ohio State Univ, John Glenn Sch Publ Affairs, Columbus, OH 43210 USA. RP Ergungor, OE (reprint author), Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44114 USA. EM ozgur.e.ergungor@clev.frb.org; moulton.23@osu.edu RI Moulton, Stephanie/F-7206-2012 NR 37 TC 1 Z9 1 U1 1 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD DEC PY 2014 VL 46 IS 8 DI 10.1111/jmcb.12164 PG 31 WC Business, Finance; Economics SC Business & Economics GA AU3JP UT WOS:000345509300006 ER PT J AU Angelova, V Armantier, O Attanasi, G Hiriart, Y AF Angelova, Vera Armantier, Olivier Attanasi, Giuseppe Hiriart, Yolande TI Relative performance of liability rules: experimental evidence SO THEORY AND DECISION LA English DT Article DE Risk regulation; Liability rules; Incentives; Insolvency; Experiment ID STRICT LIABILITY; ENVIRONMENTAL RISK; SAFETY REGULATION; EX-ANTE; NEGLIGENCE; MANAGEMENT; ACCIDENTS; ATTITUDES; AVERSION; REGIMES AB We compare the performance of liability rules for managing environmental disasters when third parties are harmed and cannot always be compensated. A firm can invest in safety to reduce the likelihood of accidents. The firm's investment is unobservable to authorities. The presence of externalities and asymmetric information call for public intervention in order to define rules aimed at increasing prevention. We determine the investments in safety under No Liability, Strict Liability, and Negligence rules, and compare these to the first best. Additionally, we investigate how the (dis)ability of the firm to fully cover potential damage affects the firm's behavior. An experiment tests the theoretical predictions. In line with theory, Strict Liability and Negligence are equally effective; both perform better than No Liability; investment in safety is not sensitive to the ability of the firm to compensate potential victims. In contrast with theory, however, prevention rates absent liability are much higher and liability is much less effective. C1 [Angelova, Vera] Tech Univ Berlin, Berlin, Germany. [Armantier, Olivier] Fed Reserve Bank New York, New York, NY 10045 USA. [Attanasi, Giuseppe] Univ Strasbourg BETA, Strasbourg, France. [Hiriart, Yolande] Univ Franche Comte CRESE, Besancon, France. [Hiriart, Yolande] Inst Univ France, Besancon, France. RP Angelova, V (reprint author), Tech Univ Berlin, Berlin, Germany. EM vera.angelova@tu-berlin.de; olivier.armantier@ny.frb.org; attanasi@unistra.fr; yolande.hiriart@univ-fcomte.fr NR 41 TC 0 Z9 0 U1 2 U2 5 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0040-5833 EI 1573-7187 J9 THEOR DECIS JI Theory Decis. PD DEC PY 2014 VL 77 IS 4 SI SI BP 531 EP 556 DI 10.1007/s11238-013-9405-0 PG 26 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA AU0AP UT WOS:000345285800005 ER PT J AU Copeland, A Martin, A Walker, M AF Copeland, Adam Martin, Antoine Walker, Michael TI Repo Runs: Evidence from the Tri-Party Repo Market SO JOURNAL OF FINANCE LA English DT Article ID LIQUIDITY AB The repo market has been viewed as a potential source of financial instability since the 2007 to 2009 financial crisis, based in part on findings that margins increased sharply in a segment of this market. This paper provides evidence suggesting that there was no system-wide run on repo. Using confidential data on tri-party repo, a major segment of this market, we show that, the level of margins and the amount of funding were surprisingly stable for most borrowers during the crisis. However, we also document a sharp decline in the tri-party repo funding of Lehman in September 2008. C1 [Copeland, Adam; Martin, Antoine] Fed Reserve Bank New York, New York, NY 10045 USA. [Walker, Michael] Univ Calif Berkeley, Berkeley, CA 94720 USA. RP Copeland, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 24 TC 8 Z9 8 U1 7 U2 43 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-1082 EI 1540-6261 J9 J FINANC JI J. Financ. PD DEC PY 2014 VL 69 IS 6 BP 2343 EP 2380 DI 10.1111/jofi.12205 PG 38 WC Business, Finance; Economics SC Business & Economics GA AT2RE UT WOS:000344781000001 ER PT J AU Adrian, T Etula, E Muir, T AF Adrian, Tobias Etula, Erkko Muir, Tyler TI Financial Intermediaries and the Cross-Section of Asset Returns SO JOURNAL OF FINANCE LA English DT Article ID EXPECTED STOCK RETURNS; RISK; CONSUMPTION; LIQUIDITY; MODELS AB Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities broker-dealers to construct an intermediary SDF. Intuitively, deteriorating funding conditions are associated with deleveraging and high marginal value of wealth. Our single-factor model prices size, book-to-market, momentum, and bond portfolios with an R-2 of 77% and an average annual pricing error of 1%performing as well as standard multifactor benchmarks designed to price these assets. C1 [Adrian, Tobias] Fed Reserve Bank New York, Res & Stat Grp, Capital Markets Funct, New York, NY 10045 USA. [Etula, Erkko] Fed Reserve Bank New York, New York, NY 10045 USA. [Muir, Tyler] Yale Univ, Sch Management, New Haven, CT 06520 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, Res & Stat Grp, Capital Markets Funct, New York, NY 10045 USA. NR 33 TC 14 Z9 14 U1 4 U2 40 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-1082 EI 1540-6261 J9 J FINANC JI J. Financ. PD DEC PY 2014 VL 69 IS 6 BP 2557 EP 2596 DI 10.1111/jofi.12189 PG 40 WC Business, Finance; Economics SC Business & Economics GA AT2RE UT WOS:000344781000006 ER PT J AU Canals-Cerda, JJ AF Canals-Cerda, Jose J. TI Charity Art Auctions SO OXFORD BULLETIN OF ECONOMICS AND STATISTICS LA English DT Article ID ONLINE AB Using a unique panel data set of art auctions on eBay, we conduct an empirical analysis of the impact of charity status on the outcome of an auction and find it to be substantial. Charity status increases the probability of sale by 46%, the observed number of bidders by 111% and the sale price by 45%. In addition, charity status substantially lowers the auction's opening price. Interestingly, the effect of charity status declines over time indicating that charity auctions may be susceptible to donor fatigue. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Canals-Cerda, JJ (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM Jose.Canals-Cerda@phil.frb.org NR 15 TC 1 Z9 1 U1 6 U2 16 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0305-9049 EI 1468-0084 J9 OXFORD B ECON STAT JI Oxf. Bull. Econ. Stat. PD DEC PY 2014 VL 76 IS 6 BP 924 EP 938 DI 10.1111/obes.12045 PG 15 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA AS6BQ UT WOS:000344350300006 ER PT J AU Cornaglia, F Feldman, NE Leigh, A AF Cornaglia, Francesca Feldman, Naomi E. Leigh, Andrew TI Crime and Mental Well-Being SO JOURNAL OF HUMAN RESOURCES LA English DT Article ID NEIGHBORHOOD DISADVANTAGE; HEALTH; FEAR; UNEMPLOYMENT; WEATHER AB We provide empirical evidence of crime's impact on the mental well-being of both victims and nonvictims. We differentiate between the direct impact to victims and the indirect impact to society due to the fear of crime. The results show a decrease in mental well-being after violent crime victimization and that the violent crime rate has a negative impact on mental well-being of nonvictims. Property crime victimization and property crime rates show no such comparable impact. Finally, we estimate that society-wide impact of increasing the crime rate by one victim is about 80 times more than the direct impact on the victim. C1 [Cornaglia, Francesca] Queen Mary Univ London, London, England. [Feldman, Naomi E.] Fed Reserve Board, Washington, DC USA. RP Cornaglia, F (reprint author), Queen Mary Univ London, London, England. NR 37 TC 5 Z9 5 U1 0 U2 49 PU UNIV WISCONSIN PRESS PI MADISON PA JOURNAL DIVISION, 1930 MONROE ST, 3RD FL, MADISON, WI 53711 USA SN 0022-166X EI 1548-8004 J9 J HUM RESOUR JI J. Hum. Resour. PD WIN PY 2014 VL 49 IS 1 BP 110 EP 140 PG 31 WC Economics; Industrial Relations & Labor SC Business & Economics GA AB0QZ UT WOS:000331498500004 ER PT J AU Durham, JB AF Durham, J. Benson TI What Do Sovereign Spreads Say About Expected Defaults and Devaluations? An Application to the European Sovereign Debt Crisis SO JOURNAL OF PORTFOLIO MANAGEMENT LA English DT Article ID TERM STRUCTURE C1 Fed Reserve Bank New York, Markets Grp, New York, NY 10045 USA. RP Durham, JB (reprint author), Fed Reserve Bank New York, Markets Grp, New York, NY 10045 USA. EM jbenson.durham@ny.frb.org NR 11 TC 0 Z9 0 U1 0 U2 12 PU INST INVESTOR INC PI NEW YORK PA 225 PARK AVE SOUTH, NEW YORK, NY 10003 USA SN 0095-4918 J9 J PORTFOLIO MANAGE JI J. Portf. Manage. PD WIN PY 2014 VL 40 IS 2 BP 86 EP 93 PG 8 WC Business, Finance SC Business & Economics GA AA2GK UT WOS:000330912900009 ER PT J AU Achdou, Y Buera, FJ Lasry, JM Lions, PL Moll, B AF Achdou, Yves Buera, Francisco J. Lasry, Jean-Michel Lions, Pierre-Louis Moll, Benjamin TI Partial differential equation models in macroeconomics SO PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES LA English DT Review DE heterogeneous agents; mean field games; income and wealth distribution; firm size distribution ID MEAN-FIELD GAMES; PERFECT INDUSTRY DYNAMICS; VISCOSITY SOLUTIONS; INFORMATION PERCOLATION; BORROWING CONSTRAINTS; HETEROGENEITY; FRICTIONS; MARKETS; SEARCH; WEALTH AB The purpose of this article is to get mathematicians interested in studying a number of partial differential equations (PDEs) that naturally arise in macroeconomics. These PDEs come from models designed to study some of the most important questions in economics. At the same time, they are highly interesting for mathematicians because their structure is often quite difficult. We present a number of examples of such PDEs, discuss what is known about their properties, and list some open questions for future research. C1 [Achdou, Yves] Univ Paris Diderot, Sorbonne Paris Cite, Lab Jacques Louis Lions, Paris, France. [Buera, Francisco J.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Lasry, Jean-Michel] Univ Dauphine, Dept Math, F-75017 Paris, France. [Lions, Pierre-Louis] Coll France, F-75005 Paris, France. [Moll, Benjamin] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. RP Moll, B (reprint author), Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. EM moll@princeton.edu FU ANR [ANR-12-MONU-0013, ANR-12-BS01-0008-01] FX Y.A. was partially supported by ANR project nos. ANR-12-MONU-0013 and ANR-12-BS01-0008-01. NR 76 TC 8 Z9 8 U1 2 U2 15 PU ROYAL SOC PI LONDON PA 6-9 CARLTON HOUSE TERRACE, LONDON SW1Y 5AG, ENGLAND SN 1364-503X EI 1471-2962 J9 PHILOS T R SOC A JI Philos. Trans. R. Soc. A-Math. Phys. Eng. Sci. PD NOV 13 PY 2014 VL 372 IS 2028 SI SI AR 20130397 DI 10.1098/rsta.2013.0397 PG 19 WC Multidisciplinary Sciences SC Science & Technology - Other Topics GA AR0ZG UT WOS:000343306200003 ER PT J AU Bandyopadhyay, S Marjit, S Yang, L AF Bandyopadhyay, Subhayu Marjit, Sugata Yang, Lei TI International oligopoly, barriers to outsourcing and domestic employment SO CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE LA English DT Article ID PRODUCTIVITY AB In this paper we analyze the impact of barriers to outsourcing on domestic employment in an oligopolistic context. We show that although an outsourcing tax makes domestic labour cheaper, its employment effect is ambiguous due to strategic considerations. Analyzing international policy interdependence, we also show that, although a unilateral tax (subsidy) by a country must raise its domestic employment, this may be counterproductive in a Nash policy equilibrium. Finally, both a credit crisis and increased product differentiation tend to worsen the employment effects of an outsourcing tax. Our central findings are robust to both Bertrand and Cournot modes of competition. C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. [Marjit, Sugata] Ctr Studies Social Sci, Kolkata, W Bengal, India. [Yang, Lei] Hong Kong Polytech Univ, Hong Kong, Peoples R China. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. EM subhayu.bandyopadhyay@stls.frb.org RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 13 TC 1 Z9 1 U1 0 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0008-4085 EI 1540-5982 J9 CAN J ECON JI Can. J. Econ.-Rev. Can. Econ. PD NOV PY 2014 VL 47 IS 4 BP 1372 EP 1386 DI 10.1111/caje.12111 PG 15 WC Economics SC Business & Economics GA CO3UY UT WOS:000359087300012 ER PT J AU De Nardi, M Yang, F AF De Nardi, Mariacristina Yang, Fang TI Bequests and heterogeneity in retirement wealth SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Wealth inequality; Retirement; Earnings shocks; Bequest; Social Security ID DISCOUNT RATE HETEROGENEITY; SOCIAL-SECURITY REFORM; INTERGENERATIONAL TRANSFERS; DYNASTIC FRAMEWORK; LIFE-CYCLE; INCOME; ACCUMULATION; INEQUALITY; FAMILIES; MOBILITY AB Households hold vastly heterogeneous amounts of wealth when they reach retirement, and differences in lifetime earnings explain only part of this variation. This paper studies the role of intergenerational transmission of ability, voluntary bequest motives, and the recipiency of accidental and intended bequests (both in terms of timing and size) in generating wealth dispersion at retirement, in the context of a rich quantitative model. Modeling voluntary bequests, and realistically calibrating them, not only generates more wealth dispersion at retirement and reduces the correlation between retirement wealth and lifetime income, but also generates a skewed bequest distribution that is close to the one in the observed data. (c) 2014 The Authors. Published by Elsevier B.V. C1 [De Nardi, Mariacristina] UCL, London WC1E 6BT, England. [De Nardi, Mariacristina] Fed Reserve Bank Chicago, Chicago, IL USA. [De Nardi, Mariacristina] NBER, Cambridge, MA 02138 USA. [Yang, Fang] Louisiana State Univ, Dept Econ, Baton Rouge, LA 70803 USA. RP Yang, F (reprint author), Louisiana State Univ, Dept Econ, 2322 Business Educ Complex, Baton Rouge, LA 70803 USA. EM denardim@nber.org; fyang@isu.edu NR 46 TC 1 Z9 1 U1 2 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD NOV PY 2014 VL 72 BP 182 EP 196 DI 10.1016/j.euroecorev.2014.09.004 PG 15 WC Economics SC Business & Economics GA AY6GD UT WOS:000347664300010 ER PT J AU Heimer, RZ AF Heimer, Rawley Z. TI Friends do let friends buy stocks actively SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE Behavioral finance; Individual investors; Social interaction ID MARKET PARTICIPATION; INDIVIDUAL INVESTORS; SOCIAL INTERACTIONS; RETIREMENT PLAN; INVESTMENT; BEHAVIOR; INFORMATION; MODEL; OVERCONFIDENCE; PERFORMANCE AB This research provides empirical evidence that social interaction is more prevalent among active rather than passive investors. While previous empirical work, spearheaded by Hong et al. (2004), shows that proxies for sociability are related to participation in asset markets, the literature is unable to distinguish between the types of participants because of data limitations. I address this shortcoming by using data from the Consumer Expenditure Quarterly Interview Survey, which contains information on individual holdings and the buying and selling of financial assets, as well as expenditure variables that imply variation in the level of social activity. This finding supports a new explanation for the active-investing puzzle in which informal communication tends to promote active rather than passive strategies (Han and Hirshleifer, 2012). (C) 2014 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Heimer, RZ (reprint author), Fed Reserve Bank Cleveland, POB 6387, Cleveland, OH 44101 USA. EM rawley.heimer@researchfed.org NR 48 TC 5 Z9 5 U1 2 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-2681 EI 1879-1751 J9 J ECON BEHAV ORGAN JI J. Econ. Behav. Organ. PD NOV PY 2014 VL 107 SI SI BP 527 EP 540 DI 10.1016/j.jebo.2014.04.019 PN B PG 14 WC Economics SC Business & Economics GA AY5FU UT WOS:000347599200008 ER PT J AU Hsu, WT Holmes, TJ Morgan, F AF Hsu, Wen-Tai Holmes, Thomas J. Morgan, Frank TI Optimal city hierarchy: A dynamic programming approach to central place theory SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Central place theory; City hierarchy; Dynamic programming; Principle of optimality; Fixed point ID SIZE DISTRIBUTION; CITIES; ORGANIZATION; COMPETITION; KNOWLEDGE; LOCATION; LAW AB Central place theory is a key building block of economic geography and an empirically plausible description of city systems. This paper provides a rationale for central place theory via a dynamic programming formulation of the social planner's problem of city hierarchy. We show that there must be one and only one immediate smaller city between two neighboring larger-sized cities in any optimal solution. If the fixed cost of setting up a city is a power function, then the immediate smaller city will be located in the middle, confirming the locational pattern suggested by Christaller [4]. We also show that the solution can be approximated by iterating the mapping defined by the dynamic programming problem. The main characterization results apply to a general hierarchical problem with recursive divisions. (c) 2014 Elsevier Inc. All rights reserved. C1 [Hsu, Wen-Tai] Singapore Management Univ, Sch Econ, Singapore 178902, Singapore. [Holmes, Thomas J.] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Holmes, Thomas J.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Holmes, Thomas J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Morgan, Frank] Williams Coll, Dept Math & Stat, Bronfman Sci Ctr, Williamstown, MA 01267 USA. RP Hsu, WT (reprint author), Singapore Management Univ, Sch Econ, 90 Stamford Rd, Singapore 178902, Singapore. EM wentaihsu@smu.edu.sg; holmes@umn.edu; Frank.Morgan@williams.edu RI HSU, Wen-Tai/H-6813-2013 OI HSU, Wen-Tai/0000-0003-0816-1194 NR 31 TC 0 Z9 0 U1 1 U2 14 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 EI 1095-7235 J9 J ECON THEORY JI J. Econ. Theory PD NOV PY 2014 VL 154 BP 245 EP 273 DI 10.1016/j.jet.2014.09.018 PG 29 WC Economics SC Business & Economics GA AY5BG UT WOS:000347587800011 ER PT J AU Holmes, TJ Hsu, WT Lee, SH AF Holmes, Thomas J. Hsu, Wen-Tai Lee, Sanghoon TI Allocative efficiency, mark-ups, and the welfare gains from trade SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Allocative efficiency; Mark-ups; Oligopoly ID PRODUCTIVITY; AGGLOMERATION; MODELS; POWER AB This paper develops an index of allocative efficiency that depends upon the distribution of mark-ups across goods and is separable from an index of standard Ricardian gains from trade. It determines how changes in trade frictions affect allocative efficiency in an oligopoly model of international trade, decomposing the effect into the cost-change channel and the price-change channel. Formulas are derived shedding light on the signs and magnitudes of the two channels. In symmetric country models, trade tends to increase allocative efficiency through the cost-change channel, yielding a welfare benefit beyond productive efficiency gains. In contrast, the price-change channel has ambiguous effects on allocative efficiency. (C) 2014 Elsevier B.V. All rights reserved. C1 [Holmes, Thomas J.] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Hsu, Wen-Tai] Singapore Management Univ, Sch Econ, Singapore 178902, Singapore. [Lee, Sanghoon] Univ British Columbia, Sauder Sch Business, Vancouver, BC V5Z 1M9, Canada. [Holmes, Thomas J.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Holmes, Thomas J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Holmes, TJ (reprint author), Univ Minnesota, Dept Econ, 4-101 Hanson Hall,1925 Fourth St South, Minneapolis, MN 55455 USA. RI HSU, Wen-Tai/H-6813-2013 OI HSU, Wen-Tai/0000-0003-0816-1194 NR 30 TC 2 Z9 2 U1 2 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD NOV PY 2014 VL 94 IS 2 BP 195 EP 206 DI 10.1016/j.jinteco.2014.07.002 PG 12 WC Economics SC Business & Economics GA AY5CY UT WOS:000347592000002 ER PT J AU Alessandria, G Choi, H AF Alessandria, George Choi, Horag TI Establishment heterogeneity, exporter dynamics, and the effects of trade liberalization SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Sunk cost; Fixed cost; Establishment heterogeneity; Tariff; Welfare ID INTERNATIONAL-TRADE; SUNK COSTS; ENTRY; PRODUCTIVITY; HYSTERESIS; FIRMS; ECONOMY; GROWTH; PLANTS; GAINS AB We study the effects of tariffs and iceberg trade costs in a two-sector dynamic variation of the Melitz (2003) model extended to include a sunk cost of exporting, establishment-level uncertainty in productivity, capital accumulation, and material usage. We calibrate the model to match both cross-sectional and dynamic aspects of US producers related to export participation and the establishment lifecycle. We find a tariff equivalent of fixed export costs of 30 percentage points. We also find that a sizeable share of export profits is a return to the organizational capital from investing in export capacity rather than creating an establishment. We use the model to estimate the effect of reducing tariffs on welfare, trade, and export participation. We find that eliminating an 8 percent tariff increases the ratio of trade to GDP from 3.9% to 7.4% and raises welfare by 1.02%. Along the transition, consumption overshoots its steady state, even as trade and the capital stock grow gradually, so that the change in steady state consumption understates the welfare gain. Models without a dynamic export decision generate more gradual aggregate transition dynamics and smaller gains from trade. Capital accumulation and material usage are important sources of the welfare gains to trade. (C) 2014 Elsevier By. All rights reserved. C1 [Alessandria, George] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Alessandria, George] Univ Rochester, Rochester, NY 14627 USA. [Choi, Horag] Monash Univ, Clayton, Vic 3800, Australia. RP Alessandria, G (reprint author), Ten Independence Mall, Philadelphia, PA 19106 USA. EM george.alessandria@gmail.com OI Choi, Horag/0000-0002-8250-539X NR 41 TC 5 Z9 5 U1 4 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD NOV PY 2014 VL 94 IS 2 BP 207 EP 223 DI 10.1016/j.jinteco.2014.08.006 PG 17 WC Economics SC Business & Economics GA AY5CY UT WOS:000347592000003 ER PT J AU Alessandria, G Choi, H AF Alessandria, George Choi, Horag TI Do falling iceberg costs explain recent US export growth? SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Export growth; Trade; Sunk costs ID GENERAL EQUILIBRIUM-ANALYSIS; INTERNATIONAL-TRADE; EXCHANGE-RATE; WORLD-TRADE; PRODUCTIVITY; ENTRY; MODEL; GLOBALIZATION; TECHNOLOGY; HYSTERESIS AB We study empirically and theoretically the growth of U.S. manufacturing exports from 1987 to 2007. We use plant-level data on exporters' export intensity to identify the changes in iceberg costs over this period. Given this change in iceberg costs, we find that a GE model with heterogeneous establishments and dynamic exporting decision from a sunk cost of starting to export is consistent with both aggregate U.S. export growth and the changes in the number and size of U.S. exporters. The model also captures the gradual response of U.S. exports to the cut in iceberg costs. A model with a static exporting decision generates substantially less trade growth and misses out on the timing of export growth. We also study the interplay between changes in the structure of manufacturing and trade. We find that the growth in trade contributed little to the contraction in U.S. manufacturing while changes in the structure of manufacturing from changes in sectoral productivity, capital intensity, idiosyncratic shocks, and corporate taxation reduced U.S. export growth by as much as 10%. (C) 2014 Elsevier B.V. All rights reserved. C1 [Alessandria, George] Univ Rochester, Rochester, NY 14627 USA. [Alessandria, George] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Choi, Horag] Monash Univ, Clayton, Vic 3800, Australia. RP Alessandria, G (reprint author), Univ Rochester, Dept Econ, Rochester, NY 14627 USA. EM George.Alessandria@gmail.com; Horag.Choi@monash.edu OI Choi, Horag/0000-0002-8250-539X NR 34 TC 2 Z9 2 U1 5 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD NOV PY 2014 VL 94 IS 2 BP 311 EP 325 DI 10.1016/j.jinteco.2014.08.009 PG 15 WC Economics SC Business & Economics GA AY5CY UT WOS:000347592000010 ER PT J AU Lewis, LT AF Lewis, Logan T. TI Exports versus multinational production under nominal uncertainty SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Multinational production; Nominal uncertainty; Proximity-concentration ID EXCHANGE-RATE; DIRECT-INVESTMENT; MONETARY-POLICY; PASS-THROUGH; TRADE; FIRMS; ENTRY; RATES; CURRENCY; REAL AB This paper examines how nominal uncertainty affects the choice that firms face to serve a foreign market through exports or to produce abroad as a multinational. I develop a two-country, stochastic general equilibrium model in which firms make production and pricing decisions in advance, and I consider its implications for the relative attractiveness of exporting and multinational production. I find that when multinational sales are priced in the local currency while exports are priced in the producer currency, destination volatility benefits exporters: during a foreign nominal contraction, the foreign exchange rate appreciates, causing exports to be relatively cheaper. Exporters gain non-linearly through demand, making profit convex in prices. As foreign volatility rises, the model implies that the home country should serve the foreign country relatively more through exports. I take this implication to bilateral U.S. data, using inflation volatility as a proxy for nominal volatility. Using sectoral data on sales by majority-owned foreign affiliates matched with U.S. exports, I find that higher inflation volatility is associated with a significantly lower ratio of multinational sales to total foreign sales. Published by Elsevier B.V. C1 Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP Lewis, LT (reprint author), Fed Reserve Board, Div Int Finance, 20th & C St NW, Washington, DC 20551 USA. EM logantlewis@ltlewis.net NR 34 TC 3 Z9 3 U1 2 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD NOV PY 2014 VL 94 IS 2 BP 371 EP 386 DI 10.1016/j.jinteco.2014.06.007 PG 16 WC Economics SC Business & Economics GA AY5CY UT WOS:000347592000014 ER PT J AU Hartley, D AF Hartley, Daniel TI The effect of foreclosures on nearby housing prices: Supply or dis-amenity? SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE Foreclosure; Housing prices; Spillover ID MORTGAGE FORECLOSURES; CRIME; IMPACT AB A number of studies have measured negative price effects of foreclosed residential properties on nearby property sales. However, only one other study addresses which mechanism is responsible for these effects. I measure separate effects for different types of foreclosed properties and use these estimates to decompose the effects of foreclosures on nearby home prices into a component that is due to additional available housing supply and a component that is due to dis-amenity stemming from deferred maintenance or vacancy. I estimate that each extra unit of supply decreases prices within 0.05 miles by about 12% while the dis-amenity stemming from a foreclosed property is near zero. (C) 2014 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Hartley, D (reprint author), Fed Reserve Bank Cleveland, POB 6387, Cleveland, OH 44101 USA. EM Daniel.Hartley@clev.frb.org NR 13 TC 6 Z9 6 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 EI 1879-2308 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD NOV PY 2014 VL 49 BP 108 EP 117 DI 10.1016/j.regsciurbeco.2014.09.001 PG 10 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA AY7UR UT WOS:000347764700010 ER PT J AU Galloway, I AF Galloway, Ian TI Using Pay-For-Success To Increase Investment In The Nonmedical Determinants Of Health SO HEALTH AFFAIRS LA English DT Article ID NURSE HOME VISITATION; LIFE-COURSE; INTERVENTION; PEOPLE AB The combination of fee-for-service payments and the US health care system's standing commitment to treating existing illness discourages spending on the behavioral, social, and environmental (that is, the nonmedical) conditions that contribute most to long-term health. Pay-for-success, alternatively known as social impact bonds, or SIBs, offers a possible solution. The pay-for-success model relies on an investor that is willing to fund a nonmedical intervention up front while bearing the risk that the intervention may fail to prevent disease in the future. Should the intervention succeed, however, the investor is repaid in full by a predetermined payer (such as a public health agency) and receives an additional return on its investment as a reward for taking on the risk. Pay-for-success pilots are being developed to reduce asthma-related emergencies among children, poor birth outcomes, and the progression of prediabetes to diabetes, among other applications. These efforts, supported by key policy reforms such as public agency data sharing and coordinated care, promise to increase the number of evidence-based nonmedical service providers and seed a new market that values health, not just health care. C1 Fed Reserve Bank San Francisco, Community Dev Dept, San Francisco, CA USA. RP Galloway, I (reprint author), Fed Reserve Bank San Francisco, Community Dev Dept, San Francisco, CA USA. EM ian.galloway@sf.frb.org NR 37 TC 3 Z9 3 U1 5 U2 13 PU PROJECT HOPE PI BETHESDA PA 7500 OLD GEORGETOWN RD, STE 600, BETHESDA, MD 20814-6133 USA SN 0278-2715 J9 HEALTH AFFAIR JI Health Aff. PD NOV PY 2014 VL 33 IS 11 BP 1897 EP 1904 DI 10.1377/hlthaff.2014.0741 PG 8 WC Health Care Sciences & Services; Health Policy & Services SC Health Care Sciences & Services GA AX8LT UT WOS:000347161700004 PM 25367983 ER PT J AU Mattessich, PW Rausch, EJ AF Mattessich, Paul W. Rausch, Ela J. TI Cross-Sector Collaboration To Improve Community Health: A View Of The Current Landscape SO HEALTH AFFAIRS LA English DT Article AB Collaboration between the health and community development sectors has gained increased attention as a means of accelerating progress to improve community health. This article offers an empirical perspective on the general status of such collaboration based on results from a national survey of practitioners in the community development and health fields. Study results show that cross-sector efforts to improve health are widespread across the United States. Community development organizations, including community development financial institutions, support a wide spectrum of activities addressing both social determinants of health and the immediate needs of communities. However, the means of assessing the impacts of these joint community health improvement initiatives appear limited. We highlight opportunities for building on present momentum and for measuring results in a way that expands the evidence base on effective collaborative efforts between the two sectors. C1 [Mattessich, Paul W.] Wilder Res, St Paul, MN 55104 USA. [Rausch, Ela J.] Fed Reserve Bank Minneapolis, Community Dev Dept, Minneapolis, MN USA. RP Mattessich, PW (reprint author), Wilder Res, St Paul, MN 55104 USA. EM ela.rausch@mpls.frb.org FU Robert Wood Johnson Foundation FX This research was supported in part by a grant from the Robert Wood Johnson Foundation to Wilder Research. The opinions expressed are those of the authors and not necessarily those of the Federal Reserve System or Wilder Research. NR 12 TC 6 Z9 6 U1 0 U2 10 PU PROJECT HOPE PI BETHESDA PA 7500 OLD GEORGETOWN RD, STE 600, BETHESDA, MD 20814-6133 USA SN 0278-2715 J9 HEALTH AFFAIR JI Health Aff. PD NOV PY 2014 VL 33 IS 11 BP 1968 EP 1974 DI 10.1377/hlthaff.2014.0645 PG 7 WC Health Care Sciences & Services; Health Policy & Services SC Health Care Sciences & Services GA AX8LT UT WOS:000347161700013 PM 25367992 ER PT J AU Curdia, V del Negro, M Greenwald, DL AF Curdia, Vasco del Negro, Marco Greenwald, Daniel L. TI RARE SHOCKS, GREAT RECESSIONS SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID STOCHASTIC VOLATILITY MODELS; BAYESIAN-ANALYSIS; DSGE MODELS; MACROECONOMIC FLUCTUATIONS; LIKELIHOOD INFERENCE; NOMINAL RIGIDITIES; TIME-SERIES; ERRORS; PRIORS; RISK AB We estimate a DSGE (dynamic stochastic general equilibrium) model where rare large shocks can occur, by replacing the commonly used Gaussian assumption with a Student's t-distribution. Results from the Smets and Wouters (American Economic Review 2007; 97: 586-606) model estimated on the usual set of macroeconomic time series over the 1964-2011 period indicate that (i) the Student's t specification is strongly favored by the data even when we allow for low-frequency variation in the volatility of the shocks, and (ii)) the estimated degrees of freedom are quite low for several shocks that drive US business cycles, implying an important role for rare large shocks. This result holds even if we exclude the Great Recession period from the sample. We also show that inference about low-frequency changes in volatilityand, in particular, inference about the magnitude of Great Moderationis different once we allow for fat tails. Copyright (c) 2014 John Wiley & Sons, Ltd. C1 [Curdia, Vasco] Fed Reserve Bank San Francisco, San Francisco, CA USA. [del Negro, Marco] Fed Reserve Bank New York, New York, NY 10045 USA. [Greenwald, Daniel L.] NYU, New York, NY 10003 USA. RP del Negro, M (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM marco.delnegro@ny.frb.org NR 39 TC 7 Z9 7 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 EI 1099-1255 J9 J APPL ECONOMET JI J. Appl. Econom. PD NOV-DEC PY 2014 VL 29 IS 7 BP 1031 EP 1052 DI 10.1002/jae.2395 PG 22 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA AX0PU UT WOS:000346655000002 ER PT J AU Herbst, E Schorfheide, F AF Herbst, Edward Schorfheide, Frank TI SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID BUSINESS CYCLES; BAYESIAN-INFERENCE AB We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models; wherein a particle approximation to the posterior is built iteratively through tempering the likelihood. Using two empirical illustrations consisting of the Smets and Wouters model and a larger news shock model we show that the SMC algorithm is better suited for multimodal and irregular posterior distributions than the widely used random walk Metropolis-Hastings algorithm. We find that a more diffuse prior for the Smets and Wouters model improves its marginal data density and that a slight modification of the prior for the news shock model leads to drastic changes in the posterior inference about the importance of news shocks for fluctuations in hours worked. Unlike standard Markov chain Monte Carlo (MCMC) techniques; the SMC algorithm is well suited for parallel computing. Copyright (c) 2014 John Wiley & Sons, Ltd. C1 [Herbst, Edward] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. [Schorfheide, Frank] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. [Schorfheide, Frank] CEPR, London, England. [Schorfheide, Frank] NBER, Cambridge, MA 02138 USA. RP Herbst, E (reprint author), Board Governors Fed Reserve Syst, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM edward.p.herbst@frb.gov NR 29 TC 4 Z9 4 U1 2 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 EI 1099-1255 J9 J APPL ECONOMET JI J. Appl. Econom. PD NOV-DEC PY 2014 VL 29 IS 7 BP 1073 EP 1098 DI 10.1002/jae.2397 PG 26 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA AX0PU UT WOS:000346655000004 ER PT J AU Canova, F Ferroni, F Matthes, C AF Canova, Fabio Ferroni, Filippo Matthes, Christian TI CHOOSING THE VARIABLES TO ESTIMATE SINGULAR DSGE MODELS SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID GENERAL EQUILIBRIUM-MODELS; PHILLIPS-CURVE; IDENTIFICATION; GMM AB We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables that optimizes parameter identification; the second selects the vector that minimizes the informational discrepancy between the singular and non-singular model. An application to a standard model is discussed and the estimation properties of different setups compared. Practical suggestions for applied researchers are provided. Copyright (c) 2014 John Wiley & Sons, Ltd. C1 [Canova, Fabio] EUI, Florence, Italy. [Canova, Fabio] CEPR, London, England. [Ferroni, Filippo] Banque France, Paris, France. [Canova, Fabio] Univ Surrey, Guildford GU2 5XH, Surrey, England. [Matthes, Christian] Fed Reserve Bank Richmond, Richmond, VA USA. RP Ferroni, F (reprint author), Bank France, 31 Rue Croix Petits Champs, F-75001 Paris, France. EM filippo.ferroni@banque-france.fr RI Canova, Fabio/H-3265-2015 OI Canova, Fabio/0000-0002-8782-4787 NR 26 TC 1 Z9 1 U1 0 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 EI 1099-1255 J9 J APPL ECONOMET JI J. Appl. Econom. PD NOV-DEC PY 2014 VL 29 IS 7 BP 1099 EP 1117 DI 10.1002/jae.2414 PG 19 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA AX0PU UT WOS:000346655000005 ER PT J AU Caldara, D Harrison, R Lipinska, A AF Caldara, Dario Harrison, Richard Lipinska, Anna TI PRACTICAL TOOLS FOR POLICY ANALYSIS IN DSGE MODELS WITH MISSING SHOCKS SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID MONETARY-POLICY; VARS AB In this paper we analyze the propagation of shocks originating in sectors that are not present in a baseline dynamic stochastic general equilibrium (DSGE) model. Specifically, we proxy the missing sector through a small set of factors that feed into the structural shocks of the DSGE model to create correlated disturbances. We estimate the factor structure by either matching impulse responses of the augmented DSGE model to those generated by an auxiliary model or by using Bayesian techniques. We apply this methodology to track the effects of oil shocks and housing demand shocks in models without energy or housing sectors. Copyright (c) 2014 John Wiley & Sons, Ltd. C1 [Caldara, Dario; Lipinska, Anna] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. [Harrison, Richard] Bank England, London, England. RP Caldara, D (reprint author), Board Governors Fed Reserve Syst, 20th Constitut Ave, Washington, DC 20551 USA. EM dario.caldara@frb.gov NR 30 TC 1 Z9 1 U1 0 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 EI 1099-1255 J9 J APPL ECONOMET JI J. Appl. Econom. PD NOV-DEC PY 2014 VL 29 IS 7 BP 1145 EP 1163 DI 10.1002/jae.2409 PG 19 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA AX0PU UT WOS:000346655000007 ER PT J AU Benati, L Lubik, TA AF Benati, Luca Lubik, Thomas A. TI SALES, INVENTORIES AND REAL INTEREST RATES: A CENTURY OF STYLIZED FACTS SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID STRUCTURAL VECTOR AUTOREGRESSIONS; BUSINESS CYCLES; MONETARY-POLICY; RESTRICTIONS; INVESTMENT; US AB We use Bayesian time-varying parameter structural vector autoregressions with stochastic volatility to investigate changes in reduced-form and structural correlations between inventories and either sales growth or the real interest rate in the USA during both the inter-war and post-World War II periods. We identify four structural shocks by combining a single long-run restriction to identify a permanent output shock with three sign restrictions to identify demand- and supply-side transitory shocks. We show that during both the inter-war and post-war periods the structural correlation between inventories and real interest rate conditional on identified interest rate shocks is systematically positive; the reduced-form correlation between the two series is positive during the post-war period, but in line with the predictions of theory it is robustly negative during the inter-war era; during that era the correlations between inventories and either of the two other series exhibit a remarkably strong co-movement with output at business cycle frequencies. Copyright (c) 2014 John Wiley & Sons, Ltd. C1 [Benati, Luca] Univ Bern, Dept Econ, CH-3012 Bern, Switzerland. [Lubik, Thomas A.] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23218 USA. RP Lubik, TA (reprint author), Fed Reserve Bank Richmond, Res Dept, 701 E Byrd St, Richmond, VA 23218 USA. EM Thomas.Lubik@rich.frb.org NR 32 TC 3 Z9 3 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 EI 1099-1255 J9 J APPL ECONOMET JI J. Appl. Econom. PD NOV-DEC PY 2014 VL 29 IS 7 BP 1210 EP 1222 DI 10.1002/jae.2408 PG 13 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA AX0PU UT WOS:000346655000010 ER PT J AU Schwartzman, F AF Schwartzman, Felipe TI Time to produce and emerging market crises SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Working capital; Time to build; Crises; Inventories; Emerging markets ID REAL BUSINESS CYCLES; SMALL OPEN-ECONOMY; SUDDEN STOPS; INVENTORIES; FLUCTUATIONS; COUNTRIES; GROWTH AB After emerging market crises, value added falls more in manufacturing industries that normally exhibit higher inventory/cost ratios. Moreover, the difference in value added between manufacturing industries with different inventory/cost ratios persists years into the recovery. A shock to aggregate TFP cannot by itself match this pattern. In contrast, a persistent increase in the cost of foreign capital can. In the context of a calibrated multisector small open economy model, a shock to the cost of foreign capital consistent with the cross-industry data leads, 3-5 years after the onset of the crisis, to an average reduction of output relative to a trend of 5.4 percent. (C) 2014 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23220 USA. RP Schwartzman, F (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23220 USA. EM felipe.schwartzman@rich.frb.org NR 31 TC 1 Z9 1 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2014 VL 68 BP 37 EP 52 DI 10.1016/j.jmoneco.2014.07.010 PG 16 WC Business, Finance; Economics SC Business & Economics GA AX4DH UT WOS:000346883600003 ER PT J AU Kudlyak, M AF Kudlyak, Marianna TI The cyclicality of the user cost of labor SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE User cost of labor; Cyclicality; Wage rigidity; Search and matching ID BUSINESS-CYCLE; REAL WAGES; EQUILIBRIUM UNEMPLOYMENT; VACANCIES; MODELS; FLUCTUATIONS; STICKINESS; CONTRACTS; BEHAVIOR; SEARCH AB The user cost of labor is the expected difference between the present discounted value of wages paid to a worker hired in the current period and that paid to a worker hired in the next period. Analogous to the price of any long-term asset, the user cost, not wage, is the relevant price for a firm that is considering adding a worker. I construct its counterpart in the data and estimate that it is substantially more procyclical than average wages or wages of newly hired workers. I demonstrate an application of the finding using the textbook search and matching model. (C) 2014 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. RP Kudlyak, M (reprint author), Fed Reserve Bank Richmond, Res Dept, 701 E Byrd Sr, Richmond, VA 23219 USA. EM marianna.kudlyak@rich.frb.org NR 28 TC 3 Z9 3 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2014 VL 68 BP 53 EP 67 DI 10.1016/j.jmoneco.2014.07.007 PG 15 WC Business, Finance; Economics SC Business & Economics GA AX4DH UT WOS:000346883600004 ER PT J AU Bergin, PR Glick, R Wu, JL AF Bergin, Paul R. Glick, Reuven Wu, Jyh-Lin TI Mussa redux and conditional PPP SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Real exchange rate; Persistence; Exchange rate regimes; Sticky price models ID PURCHASING-POWER-PARITY; REAL EXCHANGE-RATE; MEAN-REVERSION; RATE REGIMES; PRICE; PUZZLE; PERSISTENCE; ADJUSTMENT; BEHAVIOR; RATES AB The extreme persistence of real exchange rates found commonly in post-Bretton Woods data does not hold in the preceding fixed exchange rate period, when the half-life was roughly half as large in our sample. This finding supports sticky price models as an explanation for real exchange rate behavior, extending the classic argument of Mussa (1986) from a focus on short-run volatility to long-run dynamics. Two thirds of the rise in real exchange rate variance observed across exchange rate regimes is attributable to greater persistence of responses to shocks, including greater price stickiness, rather than to greater variance of shocks themselves. (C) 2014 Elsevier B.V. All rights reserved. C1 [Bergin, Paul R.] Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. [Bergin, Paul R.] NBER, Cambridge, MA 02138 USA. [Glick, Reuven] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. [Wu, Jyh-Lin] Natl Sun Yat Sen Univ, Inst Econ, Kaohsiung 804, Taiwan. RP Bergin, PR (reprint author), Univ Calif Davis, Dept Econ, One Shields Ave, Davis, CA 95616 USA. EM prbergin@ucdavis.edu; reuven.glick@sf.frb.org; ecdjlw@ccu.edu.tw NR 29 TC 2 Z9 2 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2014 VL 68 BP 101 EP 114 DI 10.1016/j.jmoneco.2014.08.003 PG 14 WC Business, Finance; Economics SC Business & Economics GA AX4DH UT WOS:000346883600007 ER PT J AU Bown, CP Crowley, MA AF Bown, Chad P. Crowley, Meredith A. TI Emerging economies, trade policy, and macroeconomic shocks SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article; Proceedings Paper CT Conference on Imbalances in Economic Development - International Perspectives CY OCT 18-19, 2012 CL Beijing, PEOPLES R CHINA SP Columbia Business Sch, Chazen Inst Int Business, Tsinghua Univ, Ctr Int Econ Res, Banque France DE Antidumping; Safeguards; Temporary trade barriers; Emerging economies; Tariffs; WTO; Business cycles; Exchange rates ID EXCHANGE-RATES; PROTECTION; AGREEMENTS; SAFEGUARDS AB This paper estimates the impact of aggregate fluctuations on the time-varying trade policies of thirteen major emerging economies over 1989-2010; by 2010, these WTO member countries collectively accounted for 21% of world merchandise imports and 22% of world GDP. We examine determinants of carefully constructed, bilateral measures of new import restrictions on products arising through the temporary trade barrier (TTB) policies of antidumping, safeguards, and countervailing duties. We find evidence of a counter-cyclical relationship between macroeconomic shocks and new TTB import restrictions as well as an important role for fluctuations in bilateral real exchange rates. Furthermore, the trade policy responsiveness coinciding with WTO establishment in 1995 suggests a significant change relative to the pre-WTO period; i.e., new import restrictions became more counter-cyclical and sensitive to real exchange rate shocks over time. Finally, we also present results that explicitly address changes to the institutional environment facing these emerging economies as they joined the WTO and adopted disciplines to restrain their application of other trade policies such as applied import tariffs. (C) 2014 Published by Elsevier B.V. C1 [Bown, Chad P.] World Bank, Dev Res Grp, Trade & Int Integrat DECTI, Washington, DC 20433 USA. [Bown, Chad P.] CEPR, London, England. [Crowley, Meredith A.] Univ Cambridge, Fac Econ, Cambridge CB3 9DD, England. [Crowley, Meredith A.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Bown, CP (reprint author), World Bank, Dev Res Grp Trade & Int Integrat DECTI, 1818 H St NW,Mailstop MC 3-303, Washington, DC 20433 USA. EM cbown@worldbank.org; crowley.meredith@gmail.com NR 34 TC 9 Z9 9 U1 3 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 EI 1872-6089 J9 J DEV ECON JI J. Dev. Econ. PD NOV PY 2014 VL 111 SI SI BP 261 EP 273 DI 10.1016/j.jdeveco.2014.05.001 PG 13 WC Economics SC Business & Economics GA AW4AL UT WOS:000346223900019 ER PT J AU Sahin, A Song, J Topa, G Violante, GL AF Sahin, Ayseguel Song, Joseph Topa, Giorgio Violante, Giovanni L. TI Mismatch Unemployment SO AMERICAN ECONOMIC REVIEW LA English DT Article ID GREAT RECESSION; CYCLICAL UNEMPLOYMENT; SECTORAL SHIFTS; LABOR-MARKET; VACANCIES; SEARCH; FLUCTUATIONS; EQUILIBRIUM; MOBILITY; BEHAVIOR AB We develop a framework where mismatch between vacancies and job seekers across sectors translates into higher unemployment by lowering the aggregate job-finding rate. We use this framework to measure the contribution of mismatch to the recent rise in US unemployment by exploiting two sources of cross-sectional data on vacancies, JOLTS and HWOL. Our calculations indicate that mismatch, across industries and three-digit occupations, explains at most one-third of the total observed increase in the unemployment rate. Occupational mismatch has become especially more severe for college graduates, and in the West of the United States. Geographical mismatch unemployment plays no apparent role. C1 [Sahin, Ayseguel; Topa, Giorgio] Fed Reserve Bank New York, New York, NY 10045 USA. [Song, Joseph] Columbia Univ, New York, NY 10027 USA. [Topa, Giorgio] IZA, New York, NY 10045 USA. [Violante, Giovanni L.] NYU, New York, NY 10012 USA. [Violante, Giovanni L.] NBER, Cambridge, MA 02138 USA. RP Sahin, A (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM aysegul.sahin@ny.frb.org; joseph.k.song@gmail.com; giorgio.topa@ny.frb.org; gianluca.violante@nyu.edu RI Violante, Giovanni/F-1872-2017 NR 50 TC 21 Z9 21 U1 3 U2 13 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD NOV PY 2014 VL 104 IS 11 BP 3529 EP 3564 DI 10.1257/aer.104.11.3529 PG 36 WC Economics SC Business & Economics GA AU9IW UT WOS:000345906500006 ER PT J AU Aaronson, D Lange, F Mazumder, B AF Aaronson, Daniel Lange, Fabian Mazumder, Bhashkar TI Fertility Transitions Along the Extensive and Intensive Margins SO AMERICAN ECONOMIC REVIEW LA English DT Article ID DEMOGRAPHIC-TRANSITION; ECONOMIC-GROWTH; CHILDLESSNESS; EDUCATION; MODEL; IMPACT; PROGRESA; MEXICO AB By allowing for an extensive margin in the standard quantity-quality model, we generate new insights into fertility transitions. We test the model on Southern black women affected by a large-scale school construction program. Consistent with our model, women facing improved schooling opportunities for their children were more likely to have at least one child but chose to have smaller families overall. By contrast, women who themselves obtained more schooling due to the program delayed childbearing along both the extensive and intensive margins and entered higher quality occupations, consistent with education raising opportunity costs of child rearing. C1 [Aaronson, Daniel; Mazumder, Bhashkar] Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. [Lange, Fabian] McGill Univ, Dept Econ, Montreal, PQ H3A 2T7, Canada. RP Aaronson, D (reprint author), Fed Reserve Bank Chicago, Res Dept, 230 S La Salle St, Chicago, IL 60604 USA. EM daaronson@frbchi.org; fabolange@gmail.com; bhash.mazumder@gmail.com NR 36 TC 5 Z9 5 U1 1 U2 9 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD NOV PY 2014 VL 104 IS 11 BP 3701 EP 3724 DI 10.1257/aer.104.11.3701 PG 24 WC Economics SC Business & Economics GA AU9IW UT WOS:000345906500011 ER PT J AU Aramonte, S AF Aramonte, Sirio TI Macroeconomic uncertainty and the cross-section of option returns SO JOURNAL OF FINANCIAL MARKETS LA English DT Article DE Option pricing; Macroeconomic uncertainty; Scheduled announcements ID EXPECTED STOCK RETURNS; VOLATILITY RISK PREMIA; TIME PRICE DISCOVERY; US TREASURY MARKET; BUSINESS CONDITIONS; IMPLIED VOLATILITY; FINANCIAL-MARKETS; FOREIGN-EXCHANGE; EQUITY OPTIONS; ECONOMIC-NEWS AB I empirically investigate whether macroeconomic uncertainty is a priced risk factor in the cross-section of equity and index option returns. The analysis employs a non-linear factor model, estimated with the Fama-MacBeth methodology, where the macroeconomic uncertainty factor is the return on a long/short portfolio of equity options, built on the basis of how implied volatilities change around macroeconomic announcements. I find that macroeconomic uncertainty is priced in the cross-section of option returns, even after controlling for a number of relevant factors. The results are robust to alternative ways of measuring option returns, and to the non-random pattern of missing returns. Published by Elsevier B.V. C1 Fed Reserve Syst, Off Financial Stabil Policy & Res, Board Governors, Washington, DC 20551 USA. RP Aramonte, S (reprint author), Fed Reserve Syst, Off Financial Stabil Policy & Res, Board Governors, Mail Stop 155-C,20th & C St NW, Washington, DC 20551 USA. EM sirio.aramonte@frb.gov NR 72 TC 1 Z9 1 U1 3 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1386-4181 EI 1878-576X J9 J FINANC MARK JI J. Financ. Mark. PD NOV PY 2014 VL 21 BP 25 EP 49 DI 10.1016/j.finmar.2014.06.001 PG 25 WC Business, Finance SC Business & Economics GA AU7WD UT WOS:000345808300002 ER PT J AU Cao, C Petrasek, L AF Cao, Charles Petrasek, Lubomir TI Liquidity risk and institutional ownership SO JOURNAL OF FINANCIAL MARKETS LA English DT Article DE Liquidity risk; Institutional investors; Hedge funds ownership ID MARKET LIQUIDITY; STOCK RETURNS; HEDGE FUNDS; SENTIMENT; HOLDINGS AB Institutional ownership affects the sensitivity of stock returns to changes in market liquidity (liquidity risk). Overall, institutional ownership lowers the liquidity risk of stocks. However, different types of institutions affect liquidity risk in opposite ways. Stocks held by hedge funds, especially levered hedge funds, as marginal investors are more sensitive to changes in market liquidity than comparable stocks held by other types of institutions or by individuals. In contrast, stocks held by banks are less sensitive to changes in aggregate liquidity. These findings are robust to alternative specifications that control for institutional preferences for different stock characteristics and risk. (C) 2014 Elsevier B.V. All rights reserved. C1 [Cao, Charles] Penn State Univ, Smeal Coll Business, University Pk, PA 16802 USA. [Cao, Charles] Tsinghua Univ, PBC Sch Finance, Beijing, Peoples R China. [Cao, Charles] Tsinghua Univ, CCFR, Beijing, Peoples R China. [Petrasek, Lubomir] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Petrasek, L (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM qxc2@psu.edu; lubomir.petrasek@frb.gov NR 30 TC 2 Z9 2 U1 2 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1386-4181 EI 1878-576X J9 J FINANC MARK JI J. Financ. Mark. PD NOV PY 2014 VL 21 BP 76 EP 97 DI 10.1016/j.finmar.2014.05.001 PG 22 WC Business, Finance SC Business & Economics GA AU7WD UT WOS:000345808300004 ER PT J AU Brunetti, C Reiffen, D AF Brunetti, Celso Reiffen, David TI Commodity index trading and hedging costs SO JOURNAL OF FINANCIAL MARKETS LA English DT Article DE Commodity index traders; Hedging; Limits to arbitrage ID FUTURES MARKETS; STANDARD-AND-POOR-500 LIST; EXPECTED RETURNS; DEMAND CURVES; PRESSURE; STOCKS; PRICE; RISK; ARBITRAGE; FINANCE AB Trading by commodity index traders (CITs) has become an important aspect of financial markets over the past 10 years. We develop an equilibrium model of trader behavior that relates uninformed CIT trading to futures prices. A key implication of the model is that CIT trading reduces the cost of hedging. We test the model using a unique non-public dataset that allows us to precisely identify trader positions. We find evidence, consistent with the model, that index traders have become an important supply of price risk insurance. Published by Elsevier B.V. C1 [Brunetti, Celso] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. [Reiffen, David] US Commod Futures Trading Commiss, Wa, DC 20581 USA. RP Brunetti, C (reprint author), Fed Reserve Board, Div Res & Stat, C St & 21st St, Washington, DC 20551 USA. EM Celso.Brunetti@FRB.gov; dreiffen@cftc.gov NR 39 TC 6 Z9 6 U1 1 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1386-4181 EI 1878-576X J9 J FINANC MARK JI J. Financ. Mark. PD NOV PY 2014 VL 21 BP 153 EP 180 DI 10.1016/j.finmar.2014.08.001 PG 28 WC Business, Finance SC Business & Economics GA AU7WD UT WOS:000345808300007 ER PT J AU Bassetto, M AF Bassetto, Marco TI Optimal fiscal policy with heterogeneous agents SO QUANTITATIVE ECONOMICS LA English DT Article DE Optimal taxation; heterogeneous agents; asset prices; distortion; net trade ID CREDIT MARKETS; TAXATION; DEBT; REDISTRIBUTION; PARIS AB The aim of this paper is to study the relationship between the intertemporal behavior of taxes and wealth distribution. The optimal-taxation literature has often concentrated on representative-agent models, in which it is optimal to smooth distortionary taxes. When tax liabilities are unevenly spread in the population, deviations from tax smoothing lead to interest rate changes that redistribute wealth. When a bad shock hits the economy, the optimal policy will then call for smaller or larger deficits, depending on the political power of different groups. This effect is particularly relevant in the case of large shocks to government finances, such as wars. C1 [Bassetto, Marco] UCL, London WC1E 6BT, England. [Bassetto, Marco] Fed Reserve Bank Chicago, Chicago, IL USA. RP Bassetto, M (reprint author), UCL, London WC1E 6BT, England. EM bassetto@nber.org NR 23 TC 1 Z9 1 U1 0 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1759-7323 EI 1759-7331 J9 QUANT ECON JI Quant. Econ. PD NOV PY 2014 VL 5 IS 3 BP 675 EP 704 DI 10.3982/QE362 PG 30 WC Economics SC Business & Economics GA AU8FI UT WOS:000345831500006 ER PT J AU Ahmed, S Zlate, A AF Ahmed, Shaghil Zlate, Andrei TI Capital flows to emerging market economies: A brave new world? SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Emerging market economies; Capital flows; Capital controls; Unconventional US monetary policy ID DEVELOPING-COUNTRIES; 1990S; INFLOWS AB We examine the determinants of net private capital inflows to emerging market economies (EMEs) since 2002. Our main findings are: First, growth and interest rate differentials between EMEs and advanced economies and global risk appetite are statistically and economically important determinants of net private capital inflows. Second, there have been significant changes in the behavior of net inflows from the period before the recent global financial crisis to the post-crisis period, especially for portfolio inflows, partly explained by the greater sensitivity of such flows to interest rate differentials since the crisis. Third, capital controls introduced in recent years do appear to have discouraged both total and portfolio net inflows. Finally, we find positive effects of unconventional U.S. monetary policy on EME inflows, especially portfolio inflows. Even so, U.S. unconventional policy is one among several important factors influencing flows. Published by Elsevier Ltd. C1 [Ahmed, Shaghil; Zlate, Andrei] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Ahmed, S (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Mail Stop 24, Washington, DC 20551 USA. EM shaghil.ahmed@frb.gov; andrei.zlate@frb.gov NR 45 TC 18 Z9 18 U1 2 U2 7 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 EI 1873-0639 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD NOV PY 2014 VL 48 SI SI BP 221 EP 248 DI 10.1016/j.jimonfin.2014.05.015 PN B PG 28 WC Business, Finance SC Business & Economics GA AT3GC UT WOS:000344822900002 ER PT J AU Drexler, A Schoar, A AF Drexler, Alejandro Schoar, Antoinette TI Do Relationships Matter? Evidence from Loan Officer Turnover SO MANAGEMENT SCIENCE LA English DT Article DE information; incentives; corporate finance; banking; intermediation; organizational studies; performance ID ORGANIZATIONAL-STRUCTURE; WEAK TIES; INFORMATION; EMBEDDEDNESS; KNOWLEDGE; DISTANCE; FIRMS AB We show that the cost of employee turnover in firms that rely on decentralized knowledge and personal relationships depends on the firms' planning horizons and the departing employees' incentives to transfer information. Using exogenous shocks to the relationship between borrowers and loan officers, we document that borrowers whose loan officers are on leave are less likely to receive new loans from the bank, are more likely to apply for credit from other banks, and are more likely to miss payments or go into default. These costs are smaller when turnover is expected, as in the case of maternity leave, or when loan officers have incentives to transfer information, as in the case of voluntary resignations. C1 [Drexler, Alejandro] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Drexler, Alejandro] Univ Texas Austin, McCombs Sch Business, Austin, TX 78705 USA. [Schoar, Antoinette] MIT, Alfred P Sloan Sch Management, Cambridge, MA 02139 USA. [Schoar, Antoinette] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Schoar, Antoinette] Ideas42, New York, NY 10004 USA. RP Drexler, A (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM alejandro.h.drexler@chi.frb.org; aschoar@mit.edu NR 24 TC 0 Z9 0 U1 1 U2 22 PU INFORMS PI CATONSVILLE PA 5521 RESEARCH PARK DR, SUITE 200, CATONSVILLE, MD 21228 USA SN 0025-1909 EI 1526-5501 J9 MANAGE SCI JI Manage. Sci. PD NOV PY 2014 VL 60 IS 11 BP 2722 EP 2736 DI 10.1287/mnsc.2014.1957 PG 15 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA AT7MX UT WOS:000345122700007 ER PT J AU Rose, J AF Rose, Jonathan TI Monetary policy and the onset of the Great Depression: the myth of Benjamin Strong as decisive leader SO ECONOMIC HISTORY REVIEW LA English DT Book Review C1 [Rose, Jonathan] Fed Reserve Board Governors, Washington, DC 20551 USA. RP Rose, J (reprint author), Fed Reserve Board Governors, Washington, DC 20551 USA. NR 1 TC 0 Z9 0 U1 1 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0117 EI 1468-0289 J9 ECON HIST REV JI Econ. Hist. Rev. PD NOV PY 2014 VL 67 IS 4 SI SI BP 1188 EP 1189 DI 10.1111/1468-0289.12089_26 PG 2 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA AQ5CQ UT WOS:000342821800035 ER PT J AU Alessi, L Ghysels, E Onorante, L Peach, R Potter, S AF Alessi, Lucia Ghysels, Eric Onorante, Luca Peach, Richard Potter, Simon TI Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE MIDAS regressions; Forecast evaluation; Central bank macroeconomic forecasting ID SHORT-TERM FORECASTS; GDP GROWTH; DSGE MODEL; MONETARY-POLICY; OUTPUT GROWTH; AREA GDP; FREQUENCIES; MIDAS; PERFORMANCE AB This article documents macroeconomic forecasting during the global financial crisis by two key central banks: the European Central Bank and the Federal Reserve Bank of New York. The article is the result of a collaborative effort between staff at the two institutions, allowing us to study the time-stamped forecasts as they were made throughout the crisis. The analysis does not exclusively focus on point forecast performance. It also examines methodological contributions, including how financial market data could have been incorporated into the forecasting process. C1 [Alessi, Lucia; Onorante, Luca] European Cent Bank, D-60311 Frankfurt, Germany. [Ghysels, Eric] Univ N Carolina, Kenan Flagler Business Sch, Dept Finance, Chapel Hill, NC 27599 USA. [Ghysels, Eric] Univ N Carolina, Dept Econ, Chapel Hill, NC 27599 USA. [Onorante, Luca] Cent Bank Ireland, Joint Modeling Project, Dublin, Ireland. [Peach, Richard] Fed Reserve Bank New York, New York, NY 10045 USA. [Potter, Simon] Fed Reserve Bank New York, Markets Grp, New York, NY 10045 USA. RP Alessi, L (reprint author), European Cent Bank, D-60311 Frankfurt, Germany. EM lucia.alessi@ecb.europa.eu; eghysels@unc.edu; Luca.Onorante@centralbank.ie; richard.peach@ny.frb.org; simon.potter@ny.frb.org FU European Central Bank; Federal Reserve Bank of New York; Marie Curie FP7-PEOPLE-IIF grant FX The second author gratefully acknowledges the financial support from the European Central Bank, Federal Reserve Bank of New York, and a Marie Curie FP7-PEOPLE-2010-IIF grant. Special thanks to M. Henry Linder for outstanding research assistance. Lucia Alessi and Luca Onorante also thank Sergio Iommi for excellent research assistance. The authors also thank Frank Diebold, Kirstin Hubrich, Geoff Kenny, Lutz Kilian, Simone Manganelli, and Barbara Rossi for helpful comments. NR 40 TC 4 Z9 4 U1 1 U2 11 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 EI 1537-2707 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD OCT 2 PY 2014 VL 32 IS 4 BP 483 EP 500 DI 10.1080/07350015.2014.959124 PG 18 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA AR6RA UT WOS:000343709400001 ER PT J AU Scotti, C AF Scotti, Chiara TI Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences Comment SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Editorial Material C1 Fed Reserve Board, Washington, DC 20551 USA. RP Scotti, C (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM chiara.scotti@frb.gov NR 8 TC 0 Z9 0 U1 2 U2 4 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 EI 1537-2707 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD OCT 2 PY 2014 VL 32 IS 4 BP 504 EP 506 DI 10.1080/07350015.2014.956873 PG 3 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA AR6RA UT WOS:000343709400003 ER PT J AU Alessi, L Ghysels, E Onorante, L Peach, R Potter, S AF Alessi, Lucia Ghysels, Eric Onorante, Luca Peach, Richard Potter, Simon TI Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences Rejoinder SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Editorial Material C1 [Alessi, Lucia; Onorante, Luca] European Cent Bank, D-60311 Frankfurt, Germany. [Ghysels, Eric] Univ N Carolina, Dept Finance, Kenan Flagler Business Sch, Chapel Hill, NC 27599 USA. [Ghysels, Eric] Univ N Carolina, Dept Econ, Chapel Hill, NC 27599 USA. [Onorante, Luca] Cent Bank Ireland, Joint Modeling Project, Dublin, Ireland. [Peach, Richard] Fed Reserve Bank New York, New York, NY 10045 USA. [Potter, Simon] Fed Reserve Bank New York, Markets Grp, New York, NY 10045 USA. RP Alessi, L (reprint author), European Cent Bank, D-60311 Frankfurt, Germany. EM lucia.alessi@ecb.europa.eu; eghysels@unc.edu; Luca.Onorante@centralbank.ie; richard.peach@ny.frb.org; simon.potter@ny.frb.org NR 10 TC 0 Z9 0 U1 2 U2 6 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 EI 1537-2707 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD OCT 2 PY 2014 VL 32 IS 4 BP 514 EP 515 DI 10.1080/07350015.2014.958920 PG 2 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA AR6RA UT WOS:000343709400006 ER PT J AU Corak, M Lindquist, MJ Mazumder, B AF Corak, Miles Lindquist, Matthew J. Mazumder, Bhashkar TI A comparison of upward and downward intergenerational mobility in Canada, Sweden and the United States SO LABOUR ECONOMICS LA English DT Article DE Intergenerational mobility; Intergenerational earnings mobility; Upward mobility; Downward mobility; Directional rank mobility; Social mobility ID INCOME MOBILITY; EARNINGS MOBILITY; CONSEQUENCES; ASSOCIATION AB We use new estimators of directional rank mobility,developed by Bhattacharya and Mazumder (2011) to compare rates of upward and downward intergenerational mobility across three countries: Canada, Sweden and the United States. These measures overcome some of the limitations of traditional measures of intergenerational mobility such as the intergenerational elasticity, which are not well suited for analyzing directional movements or for examining differences in mobility across the income distribution. Data for each country include highly comparable, administrative data sources containing sufficiently long time spans of earnings. Our most basic measures of directional mobility, which simply compare whether sons moved up or down in the earnings distribution relative to their fathers, do not differ much across the countries. However, we do find that there are clear differences in the extent of the movement We find larger cross-country differences in downward mobility from the top of the distribution than upward mobility from the bottom. Canada has the most downward mobility while the U.S. ha's the least, with Sweden in the middle. We find some differences in upward mobility but these are somewhat smaller in magnitude. An important caveat is that our analysis may be sensitive to the concept of income we use and broader measures such as family income could lead to different conclusions. Also, small differences in rank mobility translate into rather large differences in absolute mobility measured in dollars, due to large differences in income inequality across countries. (C) 2014 Elsevier BM. All rights reserved. C1 [Corak, Miles] Univ Ottawa, Ottawa, ON K1N 6N5, Canada. [Lindquist, Matthew J.] Univ Stockholm, SOFI, S-10691 Stockholm, Sweden. [Mazumder, Bhashkar] Fed Reserve Bank Chicago, Chicago, IL USA. RP Lindquist, MJ (reprint author), Univ Stockholm, Swedish Inst Social Res, S-10691 Stockholm, Sweden. EM matthew.lindquist@sofi.su.se NR 25 TC 4 Z9 4 U1 2 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5371 EI 1879-1034 J9 LABOUR ECON JI Labour Econ. PD OCT PY 2014 VL 30 SI SI BP 185 EP 200 DI 10.1016/j.labeco.2014.03.013 PG 16 WC Economics SC Business & Economics GA AT8JW UT WOS:000345180700027 ER PT J AU Badel, A Huggett, M AF Badel, Alejandro Huggett, Mark TI Interpreting life-cycle inequality patterns as an efficient allocation: Mission impossible? SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Life cycle; Inequality; Efficient allocation; Preference shocks ID CONSUMPTION; INSURANCE; EARNINGS; SHOCKS; RISK AB The life-cycle patterns of consumption, wage and hours inequality observed in U.S. cross-sectional data are commonly viewed as incompatible with a Pareto efficient allocation. We determine the extent to which these qualitative and quantitative patterns can or cannot be produced by Pareto efficient allocations in models with preference shocks, wage shocks and full information. (C) 2014 Elsevier Inc. All rights reserved. C1 [Badel, Alejandro] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Huggett, Mark] Georgetown Univ, Washington, DC 20057 USA. RP Badel, A (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM badel@stls.frb.org NR 21 TC 2 Z9 2 U1 1 U2 3 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2014 VL 17 IS 4 BP 613 EP 629 DI 10.1016/j.red.2014.02.002 PG 17 WC Economics SC Business & Economics GA AT9ON UT WOS:000345256500003 ER PT J AU Rogers, JH Scotti, C Wright, JH AF Rogers, John H. Scotti, Chiara Wright, Jonathan H. TI Evaluating asset-market effects of unconventional monetary policy: a multi-country review SO ECONOMIC POLICY LA English DT Article ID INTEREST-RATES; TERM STRUCTURE; PURCHASES; PRICES; IMPACT; IDENTIFICATION; ANNOUNCEMENTS; EVENT; RISK AB This paper examines the effects of unconventional monetary policy by the Federal Reserve, Bank of England, European Central Bank and Bank of Japan on bond yields, stock prices and exchange rates. We use common methodologies for the four central banks, with daily and intradaily asset price data. We emphasize the use of intradaily data to identify the causal effect of monetary policy surprises. We find that these policies are effective in easing financial conditions when policy rates are stuck at the zero lower bound, apparently largely by reducing term premia. John H. Rogers, Chiara Scotti and Jonathan H. Wright C1 [Rogers, John H.] Fed Reserve Board, Washington, DC 20551 USA. Johns Hopkins Univ, Baltimore, MD 21218 USA. RP Rogers, JH (reprint author), Fed Reserve Board, Washington, DC 20551 USA. NR 61 TC 11 Z9 11 U1 3 U2 16 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0266-4658 EI 1468-0327 J9 ECON POLICY JI Econ. Policy PD OCT PY 2014 VL 29 IS 80 BP 749 EP 799 DI 10.1111/1468-0327.12042 PG 51 WC Economics SC Business & Economics GA AS0TF UT WOS:000343990700005 ER PT J AU Baglan, D Yoldas, E AF Baglan, Deniz Yoldas, Emre TI Non-linearity in the inflation-growth relationship in developing economies: Evidence from a semiparametric panel model SO ECONOMICS LETTERS LA English DT Article DE Inflation; Economic growth; Semiparametric panel data model; Series estimation; Bootstrap AB Using data on developing economies, we estimate a flexible semiparametric panel data model that incorporates potentially nonlinear effects of inflation on economic growth. We find that inflation is associated with significantly lower growth only after it reaches about 12 percent, which is notably lower than the comparable estimate obtained from a threshold model. Our results also suggest that models with restrictive functional form assumptions tend to underestimate marginal effects of inflation on economic growth. We also document significant variation in the effect of inflation on growth across countries and over time. Published by Elsevier B.V. C1 [Baglan, Deniz] Howard Univ, Dept Econ, Washington, DC USA. [Yoldas, Emre] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Yoldas, E (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM deniz.baglan@howard.edu; emre.yoldas@frb.gov NR 13 TC 1 Z9 2 U1 1 U2 7 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 EI 1873-7374 J9 ECON LETT JI Econ. Lett. PD OCT PY 2014 VL 125 IS 1 BP 93 EP 96 DI 10.1016/j.econlet.2014.08.015 PG 4 WC Economics SC Business & Economics GA AS0GB UT WOS:000343955000023 ER PT J AU Carpenter, S Demiralp, S Schlusche, B Senyuz, Z AF Carpenter, Seth Demiralp, Selva Schlusche, Bernd Senyuz, Zeynep TI Measuring stress in money markets: A dynamic factor approach SO ECONOMICS LETTERS LA English DT Article DE Money market; Dynamic factor models; Markov-switching; Financial crisis AB We extract an index of interest rate spreads from various money market segments to assess the level of funding stress in real time. We find that during the 2007-2009 financial crisis, money markets switched between low and high stress regimes except for brief periods of extreme stress. Transitions to lower stress regimes are typically associated with the non-standard policy measures by the Federal Reserve. Published by Elsevier B.V. C1 [Carpenter, Seth; Schlusche, Bernd; Senyuz, Zeynep] Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. [Demiralp, Selva] Koc Univ, Dept Econ, TR-34450 Istanbul, Turkey. RP Senyuz, Z (reprint author), Fed Reserve Board, Div Monetary Affairs, 20th & Constitut Ave NW, Washington, DC 20551 USA. EM seth.b.carpenter@frb.gov; sdemiralp@ku.edu.tr; bernd.schlusche@frb.gov; zeynep.senyuz@frb.gov RI Demiralp, Selva/L-6650-2016 OI Demiralp, Selva/0000-0003-4087-168X NR 10 TC 2 Z9 2 U1 1 U2 4 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 EI 1873-7374 J9 ECON LETT JI Econ. Lett. PD OCT PY 2014 VL 125 IS 1 BP 101 EP 106 DI 10.1016/j.econlet.2014.08.017 PG 6 WC Economics SC Business & Economics GA AS0GB UT WOS:000343955000025 ER PT J AU Azzimonti, M Talbert, M AF Azzimonti, Marina Talbert, Matthew TI Polarized business cycles SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Real business cycle; Economic policy uncertainty; Polarization; Political stability; Time consistency ID INVESTMENT; POLICY AB Four stylized facts motivate this paper: (i) business cycle movements are wider in emerging countries (EC) than in developed ones; (ii) EC experience greater economic policy uncertainty; (iii) EC are more polarized and less politically stable; and (iv) EPU is positively related to political polarization. A standard real business cycle model augmented to incorporate political polarization, a 'polarized business cycle' (PBC) model, is shown to be consistent with these facts. We first derive our results analytically, and then quantify the effects of a permanent increase in polarization to the US economy. (C) 2014 Elsevier B.V. All rights reserved. C1 [Azzimonti, Marina] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Talbert, Matthew] Univ Texas Austin, Austin, TX 78712 USA. RP Azzimonti, M (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM Marina.Azzimonti@gmail.com NR 14 TC 6 Z9 6 U1 1 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2014 VL 67 BP 47 EP 61 DI 10.1016/j.jmoneco.2014.07.001 PG 15 WC Business, Finance; Economics SC Business & Economics GA AS3WK UT WOS:000344205800004 ER PT J AU Hinrichs, P AF Hinrichs, Peter TI Affirmative action bans and college graduation rates SO ECONOMICS OF EDUCATION REVIEW LA English DT Article DE Affirmative action; College admissions; Minority mismatch ID ELITE PRIVATE COLLEGE; AMERICAN LAW-SCHOOLS; HIGHER-EDUCATION; STUDENT-ACHIEVEMENT; SELECTIVE COLLEGE; QUALITY; ADMISSIONS; EARNINGS; TEXAS; RETURNS AB This paper estimates the effects of statewide affirmative action bans on graduation rates within colleges and on the fraction of college entrants who become graduates of selective institutions. On net, affirmative action bans lead to fewer underrepresented minorities becoming graduates of selective colleges. Although the graduation rates for underrepresented minority groups at selective institutions rise when affirmative action is banned, this may be due to the changing composition of students at these universities. Moreover, this effect is small relative to the number displaced from selective universities due to affirmative action bans. (C) 2014 Elsevier Ltd. All rights reserved. C1 [Hinrichs, Peter] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Hinrichs, Peter] NBER, Cambridge, MA 02138 USA. RP Hinrichs, P (reprint author), POB 6387, Cleveland, OH 44101 USA. EM peter.hinrichs@clev.frb.org NR 65 TC 3 Z9 3 U1 2 U2 15 PU PERGAMON-ELSEVIER SCIENCE LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, ENGLAND SN 0272-7757 EI 1873-7382 J9 ECON EDUC REV JI Econ. Educ. Rev. PD OCT PY 2014 VL 42 BP 43 EP 52 DI 10.1016/j.econedurev.2014.06.005 PG 10 WC Economics; Education & Educational Research SC Business & Economics; Education & Educational Research GA AS2UZ UT WOS:000344136000004 ER PT J AU Gerardi, K Tsai, YP AF Gerardi, Kristopher Tsai, Yuping TI The Effect of Social Entitlement Programmes on Private Transfers: New Evidence of Crowding Out SO ECONOMICA LA English DT Article ID INTER-VIVOS TRANSFERS; PUBLIC TRANSFERS; DISPLACE; MOTIVES; INCOME AB This paper exploits a policy experiment to identify the crowding-out effects of public transfers on the incidence and level of private transfers. The introduction of a large social security programme in Taiwan is used to estimate the effect of an exogenous increase in government transfer payments to the elderly on the private transfer behaviour of their adult children. Using an instrumental variables strategy that accounts for the endogeneity of receiving public transfers, the empirical results show some evidence of crowding out on the extensive margin of private transfers. C1 [Gerardi, Kristopher] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Tsai, Yuping] Carter Consulting, Atlanta, GA USA. RP Gerardi, K (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. NR 25 TC 0 Z9 0 U1 1 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0427 EI 1468-0335 J9 ECONOMICA JI Economica PD OCT PY 2014 VL 81 IS 324 BP 721 EP 746 DI 10.1111/ecca.12062 PG 26 WC Economics SC Business & Economics GA AO8FL UT WOS:000341588800006 ER PT J AU Bhutta, N AF Bhutta, Neil TI Payday loans and consumer financial health SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Payday lending; Credit scores; Consumer financial protection; Consumer finance; Predatory lending; Behavioral economics ID LENDERS AB The annualized interest rate for a payday loan often exceeds 10 times that of a typical credit card, yet this market grew immensely in the 1990s and 2000s, elevating concerns about the risk payday loans pose to consumers and whether payday lenders target minority neighborhoods. This paper employs individual credit record data, and Census data on payday lender store locations, to assess these concerns. Taking advantage of several state law changes since 2006 and, following previous work, within-state-year differences in access arising from proximity to states that allow payday loans, I find little to no effect of payday loans on credit scores, new delinquencies, or the likelihood of overdrawing credit lines. The analysis also indicates that neighborhood racial composition has little influence on payday lender store locations conditional on income, wealth and demographic characteristics. Published by Elsevier B.V. C1 Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Bhutta, N (reprint author), Board Governors Fed Reserve Syst, 20th & C St NW, Washington, DC 20551 USA. EM neil.bhutta@frb.gov NR 26 TC 5 Z9 5 U1 1 U2 17 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD OCT PY 2014 VL 47 BP 230 EP 242 DI 10.1016/j.jbankfin.2014.04.024 PG 13 WC Business, Finance; Economics SC Business & Economics GA AR1KZ UT WOS:000343345400017 ER PT J AU Fuller, DL Kudlyak, M Lkhagvasuren, D AF Fuller, David L. Kudlyak, Marianna Lkhagvasuren, Damba TI Productivity insurance: The role of unemployment benefits in a multi-sector model SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Unemployment insurance; Search; Mobility; Productivity; Multi-sector model; Sectoral mismatch ID EQUILIBRIUM UNEMPLOYMENT; CYCLICAL BEHAVIOR; MOBILITY; SEARCH; VACANCIES AB We construct a multi-sector search and matching model where the unemployed receives idiosyncratic productivity shocks that make working in certain sectors more productive than in the others. Agents must decide which sector to search in and face moving costs when leaving their current sector for another. In this environment, unemployment is associated with an additional risk: low future wages if mobility costs preclude search in the appropriate sector. This introduces a new role for unemployment benefits - productivity insurance while unemployed. For plausible parameterizations unemployment benefits increase per-worker productivity. In addition, the welfare-maximizing benefit level decreases as moving costs increase. (C) 2014 Elsevier B.V. All rights reserved. C1 [Fuller, David L.] Univ Wisconsin, Dept Econ, Oshkosh, WI 54901 USA. [Kudlyak, Marianna] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. [Lkhagvasuren, Damba] Concordia Univ, Dept Econ, Montreal, PQ H3G 1M8, Canada. [Lkhagvasuren, Damba] Natl Univ Mongolia, Dept Econ, Ulaanbaatar, Mongol Peo Rep. RP Lkhagvasuren, D (reprint author), Concordia Univ, Dept Econ, 1455 Maisonneuve Blvd West, Montreal, PQ H3G 1M8, Canada. EM fullerd@uwosh.edu; marianna.kudlyak@rich.frb.org; damba.lkhagvasuren@concordia.ca NR 15 TC 0 Z9 0 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD OCT PY 2014 VL 47 BP 39 EP 53 DI 10.1016/j.jedc.2014.07.015 PG 15 WC Economics SC Business & Economics GA AR1NZ UT WOS:000343353200003 ER PT J AU Jahan-Parvar, MR Liu, HN AF Jahan-Parvar, Mohammad R. Liu, Hening TI Ambiguity Aversion and Asset Prices in Production Economies SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID EXPECTED STOCK RETURNS; LONG-RUN; BUSINESS CYCLES; RISK; UNCERTAINTY; CONSUMPTION; BELIEFS; MODEL; SUBSTITUTION; EXPECTATIONS AB We examine a production-based asset-pricing model with an unobservable mean growth rate following a two-state Markov chain and with an ambiguity-averse representative agent. Our model requires a low coefficient of relative risk aversion to produce: (i) a high equity premium and volatile equity returns, (ii) a low and smooth risk-free rate, (iii) smooth consumption growth and volatile investment growth, (iv) countercyclical equity premium and market price of risk, (v) conditional heteroscedasticity in returns, and (vi) long-horizon predictability of excess returns. C1 [Jahan-Parvar, Mohammad R.] Fed Reserve Board Governors, Washington, DC USA. [Liu, Hening] Univ Manchester, Manchester M15 6PB, Lancs, England. RP Liu, HN (reprint author), Univ Manchester, Accounting & Finance Grp, Manchester Business Sch, Booth St West, Manchester M15 6PB, Lancs, England. EM Hening.Liu@mbs.ac.uk NR 53 TC 2 Z9 2 U1 0 U2 12 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD OCT PY 2014 VL 27 IS 10 BP 3060 EP 3097 DI 10.1093/rfs/hhu037 PG 38 WC Business, Finance; Economics SC Business & Economics GA AR6OB UT WOS:000343701500006 ER PT J AU Armour, P Burkhauser, RV Larrimore, J AF Armour, Philip Burkhauser, Richard V. Larrimore, Jeff TI Levels and Trends in U.S. Income and its Distribution: A Crosswalk from Market Income towards a Comprehensive Haig-Simons Income Approach SO SOUTHERN ECONOMIC JOURNAL LA English DT Article ID UNITED-STATES; HOUSEHOLD WEALTH; INEQUALITY; EARNINGS; CPS AB Recent research on U.S. levels and trends in income inequality varies substantially based on how these studies measure income. We crosswalk (move between standards) from a market income of tax units to a more comprehensive measure of income including realized capital gains of households using a unified data set and replicate common findings in the literature. By using a comprehensive income definition in the spirit of Haig-Simons, considering yearly accrued capital gains rather than focusing on the delayed reporting of capital gains that appear in Internal Revenue Service tax return data, the observed growth in income inequality and top income shares since 1989 is dramatically reduced. C1 [Armour, Philip] Cornell Univ, Dept Econ, Ithaca, NY 14853 USA. [Burkhauser, Richard V.] Cornell Univ, Ithaca, NY 14853 USA. [Burkhauser, Richard V.] Cornell Univ, Univ Melbourne, Dept Policy Anal & Management, Ithaca, NY 14853 USA. [Larrimore, Jeff] Fed Reserve Board, Washington, DC 20551 USA. RP Burkhauser, RV (reprint author), Cornell Univ, 259 MVR Hall, Ithaca, NY 14853 USA. EM poa8@cornell.edu; rvb1@cornell.edu; jeff.larrimore@frb.gov RI Burkhauser, Richard/G-5403-2015 OI Burkhauser, Richard/0000-0003-4629-0253 NR 36 TC 4 Z9 4 U1 0 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0038-4038 EI 2325-8012 J9 SOUTH ECON J JI South. Econ. J. PD OCT PY 2014 VL 81 IS 2 BP 271 EP 293 DI 10.4284/0038-4038-2013.175 PG 23 WC Economics SC Business & Economics GA AR5SF UT WOS:000343643000002 ER PT J AU Swanson, ET Williams, JC AF Swanson, Eric T. Williams, John C. TI Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates SO AMERICAN ECONOMIC REVIEW LA English DT Article ID MONETARY-POLICY; MARKET; EXPECTATIONS; MULTIPLIER; FORECASTS; MODELS; DEBT AB According to standard macroeconomic models, the zero lower bound greatly reduces the effectiveness of monetary policy and increases the efficacy of fiscal policy. However, private-sector decisions depend on the entire path of expected future short-term interest rates, not just the current short-term rate. Put differently, longer-term yields matter. We show how to measure the zero bound's effects on yields of any maturity. Indeed, 1- and 2-year Treasury yields were surprisingly unconstrained throughout 2008 to 2010, suggesting that monetary and fiscal policy were about as effective as usual during this period. Only beginning in late 2011 did these yields become more constrained. C1 [Swanson, Eric T.] Univ Calif Irvine, Dept Econ, Irvine, CA 92697 USA. [Williams, John C.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Swanson, ET (reprint author), Univ Calif Irvine, Dept Econ, 3151 Social Sci Plaza, Irvine, CA 92697 USA. EM eric.swanson@uci.edu; John.C.Williams@sf.frb.org NR 50 TC 29 Z9 29 U1 2 U2 13 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD OCT PY 2014 VL 104 IS 10 BP 3154 EP 3185 DI 10.1257/aer.104.10.3154 PG 32 WC Economics SC Business & Economics GA AR1AJ UT WOS:000343310800007 ER PT J AU Erceg, CJ Levin, AT AF Erceg, Christopher J. Levin, Andrew T. TI Labor Force Participation and Monetary Policy in the Wake of the Great Recession SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E24; E32; E52; J21; New Keynesian models; unemployment rate; simple monetary policy rules; zero lower bound ID DISABILITY ROLLS; UNEMPLOYMENT; EMPLOYMENT; DECLINE; PERSISTENCE; INFLATION AB This paper provides compelling evidence that cyclical factors account for the bulk of the post-2007 decline in the U.S. labor force participation rate (LFPR). We then formulate a stylized New Keynesian model in which the LFPR is practically acyclical during normal times but drops markedly following a large and persistent aggregate demand shock. These considerations have potentially crucial implications for the design of monetary policy, especially when interest rate adjustments are constrained by the zero lower bound; specifically, monetary policy can induce a more rapid recovery of the LFPR by allowing the unemployment rate to fall below its natural rate. C1 [Erceg, Christopher J.] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. [Levin, Andrew T.] Int Monetary Fund, Res Dept, Washington, DC 20431 USA. RP Erceg, CJ (reprint author), Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. EM christopher.erceg@frb.gov; alevin@imf.org NR 51 TC 7 Z9 7 U1 2 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2014 VL 46 SU 2 BP 3 EP 49 DI 10.1111/jmcb.12151 PG 47 WC Business, Finance; Economics SC Business & Economics GA AQ5FI UT WOS:000342831600002 ER PT J AU Daly, MC Hobijn, B AF Daly, Mary C. Hobijn, Bart TI Downward Nominal Wage Rigidities Bend the Phillips Curve SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E24; E52; J3; downward nominal wage rigidities; monetary policy; Phillips curve ID INFLATION; UNEMPLOYMENT; FLEXIBILITY; MODELS; MARKET; REAL AB 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 patterns, we show that downward nominal wage rigidities likely have played a role in shaping the dynamics of unemployment and wage growth during the last three recessions and subsequent recoveries. C1 [Daly, Mary C.; Hobijn, Bart] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Hobijn, Bart] Vrije Univ Amsterdam, Amsterdam, Netherlands. [Hobijn, Bart] Tinbergen Inst, Amsterdam, Netherlands. RP Daly, MC (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM mary.daly@sf.frb.org; bart.hobijn@sf.frb.org NR 42 TC 1 Z9 1 U1 3 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2014 VL 46 SU 2 BP 51 EP 93 DI 10.1111/jmcb.12152 PG 43 WC Business, Finance; Economics SC Business & Economics GA AQ5FI UT WOS:000342831600003 ER PT J AU Evans, CL AF Evans, Charles L. TI Mainstream Economic Analysis and the Case for Accommodation SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E310; E430; E520; E580; Federal Reserve; FOMC; interest rates; monetary policy; policymaking; Taylor rule; zero lower bound; inflation unemployment; natural rate; stagflation ID JOB DISPLACEMENT; BUSINESS-CYCLE; UNEMPLOYMENT; DISABILITY; DIVORCE AB The Federal Reserve has a dual mandate to foster both full employment and price stability. Most often these two goals are in alignment, so policies that support one objective generally support the other. However, at times the two aims can be at odds. When that happens, policies that target one goal may lead to misses on the other one. This article argues that taking a balanced approach between competing choices provides a solution that is in agreement with mainstream monetary policy rules. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Evans, CL (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM pressocial@chi.frb.org NR 22 TC 2 Z9 2 U1 0 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2014 VL 46 SU 2 BP 143 EP 154 DI 10.1111/jmcb.12155 PG 12 WC Business, Finance; Economics SC Business & Economics GA AQ5FI UT WOS:000342831600006 ER PT J AU Rosengren, ES AF Rosengren, Eric S. TI Should Full Employment Be a Mandate for Central Banks? Remarks at the Federal Reserve Bank of Boston's 57th Economic Conference SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article C1 Fed Reserve Bank Boston, Boston, MA USA. RP Rosengren, ES (reprint author), Fed Reserve Bank Boston, Boston, MA USA. EM eric.rosengren@bos.frb.org NR 0 TC 1 Z9 1 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2014 VL 46 SU 2 BP 169 EP 182 DI 10.1111/jmcb.12157 PG 14 WC Business, Finance; Economics SC Business & Economics GA AQ5FI UT WOS:000342831600008 ER PT J AU Sarte, PD AF Sarte, Pierre-Daniel TI When Is Sticky Information More Information? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE information stickiness; balance indices; approximate factor model ID MACROECONOMIC EXPECTATIONS; BUSINESS CYCLES; SHOCKS; NUMBER AB This paper uses sectoral data to study survey-based balance indices designed to capture changes in the business cycle in real time. The empirical framework recognizes that when answering survey questions regarding their firm's output, respondents potentially rely on infrequently updated information. The analysis then suggests that their answers reflect notable information lags, on the order of 7(1/2) months on average. Moreover, information stickiness implies that noisy output fluctuations will be attenuated in survey answers and, consequently, helps explain why balance indices successfully track business cycles. Conversely, in an environment populated by fully informed identical firms, as in the standard RBC framework, for example, balance indices instead become degenerate. Finally, information regarding changes in aggregate output tends to be sectorally concentrated. The paper, therefore, illustrates how this feature of the data may be relevant for the construction of balance indices. C1 Fed Reserve Bank Richmond, Baltimore, MD 21201 USA. RP Sarte, PD (reprint author), Fed Reserve Bank Richmond, Baltimore, MD 21201 USA. EM Pierre.sarte@rich.frb.org NR 34 TC 1 Z9 1 U1 1 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2014 VL 46 IS 7 BP 1345 EP 1379 DI 10.1111/jmcb.12143 PG 35 WC Business, Finance; Economics SC Business & Economics GA AQ5FM UT WOS:000342832000002 ER PT J AU Burke, MA Manz, M AF Burke, Mary A. Manz, Michael TI Economic Literacy and Inflation Expectations: Evidence from a Laboratory Experiment SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE inflation expectations; financial literacy; laboratory experiment ID INFORMATION; RATIONALITY; CONSUMERS AB We present experimental evidence of a link between economic literacy and inflation forecast accuracy. The experiment investigates two channels through which economic literacy may enable better forecasts: (i) choice of information and (ii) use of information. More literate subjects choose more relevant information and use the given information more effectively. Starting from a 10th percentile score, the boost in literacy from taking an economics course predicts a 0.64 standard deviation decline in mean absolute forecasting error. Our findings suggest that a significant portion of demographic heterogeneity in inflation expectationsobserved in survey datamay be driven by heterogeneity in economic literacy. C1 [Burke, Mary A.] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Burke, MA (reprint author), Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. EM mary.burke@bos.frb.org; Michael.manz@sif.admin.ch RI Ramalho, Thiago/E-4525-2016 NR 44 TC 1 Z9 1 U1 1 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2014 VL 46 IS 7 BP 1421 EP 1456 DI 10.1111/jmcb.12144 PG 36 WC Business, Finance; Economics SC Business & Economics GA AQ5FM UT WOS:000342832000004 ER PT J AU Morgan, DP Peristiani, S Savino, V AF Morgan, Donald P. Peristiani, Stavros Savino, Vanessa TI The Information Value of the Stress Test SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE financial crisis; stress test; stock market reaction; information production; bank opacity AB We investigate whether the stress test, the extraordinary examination of the 19 largest U.S. bank holding companies conducted by federal bank supervisors in 2009, produced useful information for the market. Using standard event study techniques, we find that the market had largely deciphered on its own which banks would have capital gaps before the stress test results were revealed, but that the market was informed by the size of the gap; given our proxy for the expected gap, banks with larger capital gaps experienced more negative abnormal returns. Our findings are consistent with the view that the stress tests produced valuable information about banks. C1 [Morgan, Donald P.; Peristiani, Stavros; Savino, Vanessa] Fed Reserve Bank New York, New York, NY 10045 USA. RP Morgan, DP (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM don.morgan@ny.frb.org; steve.peristiani@ny.frb.org; vanessa.savino@gmail.com NR 25 TC 8 Z9 8 U1 2 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2014 VL 46 IS 7 BP 1479 EP 1500 DI 10.1111/jmcb.12146 PG 22 WC Business, Finance; Economics SC Business & Economics GA AQ5FM UT WOS:000342832000006 ER PT J AU Kim, DH AF Kim, Don H. TI SWAPTION PRICING IN AFFINE AND OTHER MODELS SO MATHEMATICAL FINANCE LA English DT Article DE swaptions; coupon bond options; affine models; quadratic-Gaussian models ID TERM STRUCTURE MODELS; INTEREST-RATE DERIVATIVES; COUPON-BOND OPTIONS; INTEREST-RATES; VALUATION; YIELDS; RISK AB This paper shows that Singleton and Umantsev's method for swaption pricing in affine models can be simplified and extended to other models. Two alternative methods for approximating the option exercise boundary are introduced: one based on the multivariate Taylor series expansion, and the other based on duration-matched zero-coupon bond approximation. Applied to affine models and quadratic-Gaussian models, these methods are found to give accurate swaption prices. C1 [Kim, Don H.] Fed Reserve Syst, Board Governors, Washington, DC USA. RP Kim, DH (reprint author), Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. EM don.h.kim@frb.gov NR 26 TC 1 Z9 1 U1 2 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0960-1627 EI 1467-9965 J9 MATH FINANC JI Math. Financ. PD OCT PY 2014 VL 24 IS 4 BP 790 EP 820 DI 10.1111/mafi.12014 PG 31 WC Business, Finance; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA AQ5JO UT WOS:000342844400006 ER PT J AU Chaboud, AP Chiquoine, B Hjalmarsson, E Vega, C AF Chaboud, Alain P. Chiquoine, Benjamin Hjalmarsson, Erik Vega, Clara TI Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market SO JOURNAL OF FINANCE LA English DT Article ID MONETARY-POLICY; STOCK-MARKET; PRICES; ARBITRAGE; LIQUIDITY AB We study the impact of algorithmic trading (AT) in the foreign exchange market using a long time series of high-frequency data that identify computer-generated trading activity. We find that AT causes an improvement in two measures of price efficiency: the frequency of triangular arbitrage opportunities and the autocorrelation of high-frequency returns. We show that the reduction in arbitrage opportunities is associated primarily with computers taking liquidity. This result is consistent with the view that AT improves informational efficiency by speeding up price discovery, but that it may also impose higher adverse selection costs on slower traders. In contrast, the reduction in the autocorrelation of returns owes more to the algorithmic provision of liquidity. We also find evidence consistent with the strategies of algorithmic traders being highly correlated. This correlation, however, does not appear to cause a degradation in market quality, at least not on average. C1 [Chaboud, Alain P.; Vega, Clara] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. [Chiquoine, Benjamin] Stanford Management Co, Stanford, CA USA. [Hjalmarsson, Erik] Gothenburg Univ, S-41124 Gothenburg, Sweden. [Hjalmarsson, Erik] Univ London, London WC1E 7HU, England. RP Chaboud, AP (reprint author), Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. NR 35 TC 28 Z9 28 U1 3 U2 32 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-1082 EI 1540-6261 J9 J FINANC JI J. Financ. PD OCT PY 2014 VL 69 IS 5 BP 2045 EP 2084 DI 10.1111/jofi.12186 PG 40 WC Business, Finance; Economics SC Business & Economics GA AQ4ZH UT WOS:000342810100006 ER PT J AU Francis, N Owyang, MT Roush, JE DiCecio, R AF Francis, Neville Owyang, Michael T. Roush, Jennifer E. DiCecio, Riccardo TI A FLEXIBLE FINITE-HORIZON ALTERNATIVE TO LONG-RUN RESTRICTIONS WITH AN APPLICATION TO TECHNOLOGY SHOCKS SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID BUSINESS-CYCLE; AGGREGATE FLUCTUATIONS; IMPULSE RESPONSES; CONTRACTIONARY; IMPROVEMENTS AB Recent studies using long-run restrictions question the validity of the technology-driven real business cycle hypothesis. We propose an alternative identification that maximizes the contribution of technology shocks to the forecast-error variance of labor productivity at a long but finite horizon. In small-sample Monte Carlo experiments, our identification outperforms standard long-run restrictions by significantly reducing the bias in the short-run impulse responses and raising their estimation precision. Unlike its long-run restriction counterpart, when our Max Share identification technique is applied to U.S. data, it delivers the robust result that hours worked responds negatively to positive technology shocks. C1 [Francis, Neville] Univ N Carolina, Chapel Hill, NC 27515 USA. [Owyang, Michael T.; DiCecio, Riccardo] Fed Reserve Bank St Louis, St Louis, MO USA. [Roush, Jennifer E.] Fed Reserve Syst, Board Governors, Washington, DC USA. RP Francis, N (reprint author), Univ N Carolina, Chapel Hill, NC 27515 USA. RI Owyang, Michael/I-5750-2016; DiCecio, Riccardo/K-6861-2016 OI Owyang, Michael/0000-0002-2109-3432; DiCecio, Riccardo/0000-0002-3288-8396 NR 28 TC 2 Z9 2 U1 1 U2 5 PU MIT PRESS PI CAMBRIDGE PA ONE ROGERS ST, CAMBRIDGE, MA 02142-1209 USA SN 0034-6535 EI 1530-9142 J9 REV ECON STAT JI Rev. Econ. Stat. PD OCT PY 2014 VL 96 IS 4 BP 638 EP 647 DI 10.1162/REST_a_00406 PG 10 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA AQ1FB UT WOS:000342526200005 ER PT J AU Feng, XB Pritsker, M AF Feng, Xiaobing Pritsker, Matthew TI The structural comparison of central counterparty interoperability SO INTERNATIONAL JOURNAL OF MODERN PHYSICS C LA English DT Article DE CCP interoperability; horizontal and vertical CCP network; external and internal transmission rates epidemic spreading model ID INFECTIOUS-DISEASES; NETWORKS; MODELS AB While a more integrated central counterparty (CCP) network via interoperability will provide users more cost efficient clearing and settlement services, it also increases the default transmission through the system. Using epidemic spreading model, it is found that a vertically interoperated CCP network is more robust compared with a horizontally interoperated one when certain condition is satisfied. Variation of the different transmission rates from both internal and external sources leads to different equilibrium. The safe range which is free from the crisis explosion state is identified and can be reached with certain policy coordination among nations. C1 [Feng, Xiaobing] Shanghai Univ Int Business & Econ, Shanghai 201620, Peoples R China. [Feng, Xiaobing] Shanghai Jiao Tong Univ, Shanghai 200240, Peoples R China. [Feng, Xiaobing] Boston Univ, Dept Phys, Ctr Polymer, Boston, MA 02215 USA. [Pritsker, Matthew] Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Feng, XB (reprint author), Shanghai Univ Int Business & Econ, Shanghai 201620, Peoples R China. FU National Education Commission Project [11YJA790030]; Shanghai Social Science Fund Project [2011BJB015]; Shanghai Municipal Education Commission Innovation Project [12ZS166]; National PostDoc Fund in Mathematics [2011M5000786]; National PostDoc Special Fund in Mathematics [2013-T60437]; 085 Major Project [Z085YYJJ13070]; Major Subject Study from the Central Government [YC-XK-13109]; National Natural Science Foundation of China [61104139]; Fundamental Research Funds for the Central Universities [WN1223008] FX This study is partly supported by National Education Commission Project (No. 11YJA790030), Shanghai Social Science Fund Project (No. 2011BJB015), Shanghai Municipal Education Commission Innovation Project (No. 12ZS166), National PostDoc Fund in Mathematics (2011M5000786), National PostDoc Special Fund in Mathematics (2013-T60437), 085 Major Project (Z085YYJJ13070), Major Subject Study (YC-XK-13109) from the Central Government, National Natural Science Foundation of China (No. 61104139) and Fundamental Research Funds for the Central Universities (No. WN1223008). Research assistance from Guanghu Zhu is appreciated. NR 21 TC 0 Z9 0 U1 2 U2 5 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA 5 TOH TUCK LINK, SINGAPORE 596224, SINGAPORE SN 0129-1831 EI 1793-6586 J9 INT J MOD PHYS C JI Int. J. Mod. Phys. C PD OCT PY 2014 VL 25 IS 10 AR 1450049 DI 10.1142/S0129183114500491 PG 21 WC Computer Science, Interdisciplinary Applications; Physics, Mathematical SC Computer Science; Physics GA AP6AU UT WOS:000342160700005 ER PT J AU Adelino, M Gerardi, K Willen, P AF Adelino, Manuel Gerardi, Kristopher Willen, Paul TI Identifying the Effect of Securitization on Foreclosure and Modification Rates Using Early Payment Defaults SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article DE Early payment default; Foreclosure; Mortgage; Securitization AB This paper develops and estimates an instrumental variables strategy for identifying the causal effect of securitization on the incidence of mortgage modification and foreclosure based on the early payment default analysis performed by Piskorsi et al. (J Financ Econ 97:360-397, 2010). Estimation results show that securitized mortgages are more likely to be modified and less likely to be foreclosed on by servicers. These results are consistent with the interpretation in Adelino et al. (2009) that low modification rates are not the result of contract frictions inherent in the mortgage securitization process. C1 [Adelino, Manuel] Duke Univ, Fuqua Sch Business, Durham, NC 27708 USA. [Gerardi, Kristopher] Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. [Willen, Paul] Fed Reserve Bank Boston, NBER, Boston, MA 02210 USA. RP Willen, P (reprint author), Fed Reserve Bank Boston, Res Dept, 600 Atlantic Ave, Boston, MA 02210 USA. EM manuel.adelino@duke.edu; kristopher.gerardi@atl.frb.org; paul.willen@bos.frb.org RI Adelino, Manuel/G-9938-2014 OI Adelino, Manuel/0000-0002-6308-8930 NR 13 TC 0 Z9 0 U1 1 U2 7 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5638 EI 1573-045X J9 J REAL ESTATE FINANC JI J. Real Estate Financ. Econ. PD OCT PY 2014 VL 49 IS 3 BP 352 EP 378 DI 10.1007/s11146-013-9433-0 PG 27 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA AP0KO UT WOS:000341750400003 ER PT J AU Curcuru, SE Thomas, CP Warnock, FE Wongswan, J AF Curcuru, Stephanie E. Thomas, Charles P. Warnock, Francis E. Wongswan, Jon TI Uncovered Equity Parity and rebalancing in international portfolios SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Exchange rate determination; International returns; Equity portfolios ID EXCHANGE-RATE DYNAMICS; INVESTMENT STRATEGIES; EXTERNAL WEALTH; FOREIGN-ASSETS; STOCK MARKETS; RATE MODELS; ORDER FLOW; HOME BIAS; RETURNS; RISK AB Portfolio rebalancing is a key driver of the Uncovered Equity Parity (UEP) condition. According to UEP, when foreign equity holdings outperform domestic holdings, domestic investors are exposed to higher exchange rate exposure and hence repatriate some of the foreign equity to decrease their exchange rate risk. By doing so, foreign currency is sold, leading to foreign currency depreciation. We examine the relationship between U.S. investors' portfolio reallocations and returns and find some evidence consistent with UEP: Portfolio shifts are related to past returns in the underlying equity markets. But we argue that a motive other than reducing currency risk exposure is likely behind this rebalancing. In particular, U.S. investors rebalance away from equity markets that recently performed well and move into equity markets just prior to relatively strong performance, suggesting tactical reallocations to increase returns rather than reduce risk. (C) 2014 Elsevier Ltd. All rights reserved. C1 [Curcuru, Stephanie E.; Thomas, Charles P.] Fed Reserve Syst, Board Governors, Washington, DC USA. [Warnock, Francis E.] Univ Virginia, Darden Grad Sch Business, Charlottesville, VA 22903 USA. [Warnock, Francis E.] Univ Dublin Trinity Coll, Inst Int Integrat Studies, Dublin 2, Ireland. [Warnock, Francis E.] Fed Reserve Bank Dallas, Globalizat & Monetary Policy Inst, Dallas, TX USA. [Warnock, Francis E.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Wongswan, Jon] Phatra Secur Publ Co Ltd, Bangkok, Thailand. RP Warnock, FE (reprint author), Univ Dublin Trinity Coll, Inst Int Integrat Studies, Dublin 2, Ireland. EM WarnockF@darden.virginia.edu NR 66 TC 3 Z9 3 U1 0 U2 3 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 EI 1873-0639 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD OCT PY 2014 VL 47 BP 86 EP 99 DI 10.1016/j.jimonfin.2014.04.009 PG 14 WC Business, Finance SC Business & Economics GA AO6MZ UT WOS:000341467500005 ER PT J AU Chatterjee, S Cooper, R AF Chatterjee, Satyajit Cooper, Russell TI ENTRY AND EXIT, PRODUCT VARIETY, AND THE BUSINESS CYCLE SO ECONOMIC INQUIRY LA English DT Article ID MONOPOLISTIC COMPETITION; INCREASING RETURNS; ECONOMIC-ACTIVITY; AGGREGATE DEMAND; INDUSTRY; MODEL; COMPLEMENTARITIES; FLUCTUATIONS; CYCLICALITY; SCALE AB We study the stochastic behavior of a dynamic general equilibrium model with monopolistic competition. Each seller sells his product in the consumption goods as well as the investment goods market and has market power in both. Consumers derive utility from a constant elasticity of substitution (CES) aggregate of all the consumption goods and augment their capital stock by a CES aggregate of all the investment goods. We analyze the equilibrium of this economy allowing for an endogenous determination of the number of firms and therefore of products. The principal effect we wish to highlight is the endogenous propagation and magnification of technology and preference disturbances through product space variations. C1 [Chatterjee, Satyajit] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Cooper, Russell] Penn State Univ, Dept Econ, University Pk, PA 16802 USA. RP Chatterjee, S (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. EM satyajit.chatterjee@phil.frb.org; russellcoop@gmail.com NR 32 TC 2 Z9 2 U1 1 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 EI 1465-7295 J9 ECON INQ JI Econ. Inq. PD OCT PY 2014 VL 52 IS 4 BP 1466 EP 1484 DI 10.1111/ecin.12091 PG 19 WC Economics SC Business & Economics GA AO0SW UT WOS:000341023300015 ER PT J AU Valletta, RG Hoff, KJ Lopus, JS AF Valletta, Robert G. Hoff, K. Jody Lopus, Jane S. TI LOST IN TRANSLATION? TEACHER TRAINING AND OUTCOMES IN HIGH SCHOOL ECONOMICS CLASSES SO CONTEMPORARY ECONOMIC POLICY LA English DT Article ID US HIGH-SCHOOLS; STUDENT-ACHIEVEMENT; KNOWLEDGE; EDUCATION; CLASSROOM; QUALITY AB Using data from a 2006 survey of California high school economics classes, we assess the effects of teacher characteristics on student achievement. We estimate value-added models of outcomes on multiple choice and essay exams, with matched classroom pairs for each teacher enabling random-effects and fixed-effects estimation. The results show a substantial impact of specialized teacher experience and college-level coursework in economics. However, the latter is associated with higher scores on the multiple-choice test and lower scores on the essay test, suggesting that a portion of teachers' content knowledge may be "lost in translation" when conveyed to their students. C1 [Valletta, Robert G.] Fed Reserve Bank San Francisco, Dept Econ Res, San Francisco, CA 94105 USA. [Hoff, K. Jody] Fed Reserve Bank San Francisco, Dept Econ Educ, San Francisco, CA 94105 USA. [Lopus, Jane S.] Calif State Univ Hayward, Dept Econ, Hayward, CA 94542 USA. RP Valletta, RG (reprint author), Fed Reserve Bank San Francisco, Dept Econ Res, San Francisco, CA 94105 USA. EM rob.valletta@sf.frb.org; jody.hoff@sf.frb.og; jane.lopus@csueastbay.edu NR 36 TC 0 Z9 0 U1 1 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1074-3529 EI 1465-7287 J9 CONTEMP ECON POLICY JI Contemp. Econ. Policy PD OCT PY 2014 VL 32 IS 4 BP 695 EP 709 DI 10.1111/coep.12038 PG 15 WC Economics; Public Administration SC Business & Economics; Public Administration GA AN4DU UT WOS:000340538600002 ER PT J AU Shy, O AF Shy, Oz TI MEASURING SOME EFFECTS OF THE 2011 DEBIT CARD INTERCHANGE FEE REFORM SO CONTEMPORARY ECONOMIC POLICY LA English DT Article AB In October 2011, new rules governing debit card interchange fees became effective in the United States. These rules limit the maximum permissible interchange fee that an issuer can charge merchants for a debit card transaction. Using new data from the Federal Reserve of Boston, Richmond, and San Francisco 2012 Diary of Consumer Payment Choice, this article provides simple calculations that identify the transaction values by consumer expenditure category for which interchange fees became higher and lower under the new rules. C1 Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Shy, O (reprint author), Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. EM oz.shy@bos.frb.org NR 12 TC 2 Z9 2 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1074-3529 EI 1465-7287 J9 CONTEMP ECON POLICY JI Contemp. Econ. Policy PD OCT PY 2014 VL 32 IS 4 BP 769 EP 783 DI 10.1111/coep.12045 PG 15 WC Economics; Public Administration SC Business & Economics; Public Administration GA AN4DU UT WOS:000340538600007 ER PT J AU Aaronson, S Cajner, T Fallick, B Galbis-Reig, F Smith, C Wascher, W AF Aaronson, Stephanie Cajner, Tomaz Fallick, Bruce Galbis-Reig, Felix Smith, Christopher Wascher, William TI Labor Force Participation: Recent Developments and Future Prospects SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article ID COHORT ANALYSIS; EMPLOYMENT; REGRESSION; MODELS; MARKET AB Since 2007, the labor force participation rate has fallen from about 66 percent to about 63 percent. The sources of this decline have been widely debated among academics and policymakers, with some arguing that the participation rate is depressed due to weak labor demand while others argue that the decline was inevitable due to structural forces such as the aging of the population. In this paper, we use a variety of approaches to assess reasons for the decline in participation. Although these approaches yield somewhat different estimates of the extent to which the recent decline in participation reflects cyclical weakness rather than structural factors, our overall assessment is that much of the decline is structural in nature. As a result, while we believe some of the participation rate's current low level is indicative of labor market slack, we do not expect the rate to substantially increase from current levels as labor market conditions continue to improve. C1 [Aaronson, Stephanie; Cajner, Tomaz; Galbis-Reig, Felix; Smith, Christopher; Wascher, William] Fed Reserve Board, Washington, DC 20551 USA. [Fallick, Bruce] Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Aaronson, S (reprint author), Fed Reserve Board, Washington, DC 20551 USA. NR 70 TC 2 Z9 2 U1 2 U2 5 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA SN 0007-2303 EI 1533-4465 J9 BROOKINGS PAP ECO AC JI Brook. Pap. Econ. Act. PD FAL PY 2014 BP 197 EP 275 PG 79 WC Economics SC Business & Economics GA CE2LZ UT WOS:000351648400004 ER PT J AU Aizenman, J Glick, R AF Aizenman, Joshua Glick, Reuven TI Asset Class Diversification and Delegation of Responsibilities between a Central Bank and Sovereign Wealth Fund SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID INTERNATIONAL RESERVES; EMERGING MARKETS; CURRENCY CRISES AB This paper presents a model comparing the degree of asset class diversification abroad by a central bank and a sovereign wealth fund. We show that if the central bank manages its foreign asset holdings in order to meet balance-of-payments needs, particularly in reducing the probability of sudden stops in foreign capital inflows, it will place a high weight on holding safer foreign assets. In contrast, if the sovereign wealth fund, acting on behalf of the Treasury, maximizes the expected utility of a representative domestic agent, it will opt for relatively greater holding of more risky foreign assets. We also show how the diversification differences between the strategies of the bank and sovereign wealth fund are affected by the government's delegation of responsibilities and by various parameters of the economy, such as the volatility of equity returns and the total amount of public foreign assets available for management. C1 [Aizenman, Joshua] Univ So Calif, Los Angeles, CA 90089 USA. [Aizenman, Joshua] NBER, Cambridge, MA 02138 USA. [Glick, Reuven] Fed Reserve Bank, San Francisco, CA 96105 USA. RP Glick, R (reprint author), Fed Reserve Bank, Econ Res Dept, 101 Market St, San Francisco, CA 96105 USA. EM reuven.glick@sf.frb.org NR 32 TC 0 Z9 0 U1 0 U2 2 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD SEP PY 2014 VL 10 IS 3 BP 129 EP 161 PG 33 WC Business, Finance SC Business & Economics GA AW2QE UT WOS:000346132600004 ER PT J AU Bauer, MD Rudebusch, GD AF Bauer, Michael D. Rudebusch, Glenn D. TI The Signaling Channel for Federal Reserve Bond Purchases SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID TERM STRUCTURE MODELS; BAYESIAN MODEL; INTEREST-RATES; POLICY; US AB Previous research has emphasized the portfolio balance effects of Federal Reserve bond purchases, in which a reduced bond supply lowers term premia. In contrast, we find that such purchases have important signaling effects that lower expected future short-term interest rates. Our evidence comes from a model-free analysis and from dynamic term structure models that decompose declines in yields following Federal Reserve announcements into changes in risk premia and expected short rates. To overcome problems in measuring term premia, we consider bias-corrected model estimation and restricted risk price estimation. In comparison with other studies, our estimates of signaling effects are larger in magnitude and statistical significance. C1 [Bauer, Michael D.; Rudebusch, Glenn D.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Bauer, MD (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM michael.bauer@sf.frb.org; glenn.rudebusch@sf.frb.org NR 43 TC 21 Z9 21 U1 1 U2 3 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD SEP PY 2014 VL 10 IS 3 BP 233 EP 289 PG 57 WC Business, Finance SC Business & Economics GA AW2QE UT WOS:000346132600007 ER PT J AU Dupor, B Mehkari, MS AF Dupor, Bill Mehkari, M. Saif TI The analytics of technology news shocks SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Business cycles; News shocks; Laplace transforms ID BUSINESS-CYCLE; ADJUSTMENT COSTS; MODEL; FORESIGHT; SUBSTITUTION; FLUCTUATIONS; EXPLORATION; INVESTMENT; GROWTH AB This paper constructs several models in which, unlike the standard neoclassical growth model, positive news about future technology generates an increase in current consumption, hours and investment. These models are said to exhibit procyclical news shocks. We find that all models that exhibit procyclical news shocks in our paper have two commonalities. There are mechanisms to ensure that: (I) consumption does not crowd out investment, or vice versa; (II) the benefit of forgoing leisure in response to news shocks outweighs the cost. Among the models we consider, we believe, one model holds the greatest potential for explaining procyclical news shocks. Its critical assumption is that news of the future technology also illuminates the nature of this technology. This illumination in turn permits economic actors to invest in capital that is forward-compatible, i.e. adapted to the new technology. On the technical side, our paper reintroduces the Laplace transform as a tool for studying dynamic economies analytically. Using Laplace transforms we are able to study and prove results about the full dynamics of the model in response to news shocks. (C) 2014 Elsevier Inc. All rights reserved. C1 [Dupor, Bill] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Mehkari, M. Saif] Univ Richmond, Robins Sch Business, Dept Econ, Richmond, VA 23173 USA. RP Mehkari, MS (reprint author), Univ Richmond, Robins Sch Business, Dept Econ, Richmond, VA 23173 USA. EM william.d.dupor@stls.frb.org; smehkari@richmond.edu RI Dupor, William/I-5742-2016 OI Dupor, William/0000-0002-2407-2792 NR 36 TC 0 Z9 0 U1 1 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 EI 1095-7235 J9 J ECON THEORY JI J. Econ. Theory PD SEP PY 2014 VL 153 BP 392 EP 427 DI 10.1016/j.jet.2014.07.005 PG 36 WC Economics SC Business & Economics GA AP7IL UT WOS:000342250900020 ER PT J AU Barlevy, G AF Barlevy, Gadi TI A leverage-based model of speculative bubbles SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Bubbles; Speculation; Risk-shifting; Spence-Miyazaki-Wilson contracts ID INSURANCE MARKETS; INFORMATION; DEBT; VOLATILITY; CONTRACTS; LIQUIDITY; PRICES; ROBUST AB This paper develops a model of credit-driven bubbles and asks when it gives rise to the patterns that policymakers often use to gauge the presence of a bubble. The model suggests patterns like rapid price appreciation and speculative trade do not always occur whenever a bubble is present, but they do occur when assets are especially overvalued. The model also has implications as to what type of contracts will be used to finance the purchase of bubble assets. These predictions are consistent with observations on credit terms during historical episodes often suspected to be bubbles. (C) 2014 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL 60604 USA. RP Barlevy, G (reprint author), Fed Reserve Bank Chicago, Econ Res Dept, 230 South LaSalle, Chicago, IL 60604 USA. EM gbarlevy@frbchi.org NR 44 TC 4 Z9 4 U1 1 U2 9 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 EI 1095-7235 J9 J ECON THEORY JI J. Econ. Theory PD SEP PY 2014 VL 153 BP 459 EP 505 DI 10.1016/j.jet.2014.07.012 PG 47 WC Economics SC Business & Economics GA AP7IL UT WOS:000342250900022 ER PT J AU Camargo, B Lester, B AF Camargo, Braz Lester, Benjamin TI Trading dynamics in decentralized markets with adverse selection SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Adverse selection; Decentralized trade; Liquidity; Market freeze and recovery ID ASSET MARKETS; LEMONS; LIQUIDITY; EQUILIBRIUM; INFORMATION; VALUES; QUALITY; PRICES; OFFERS AB We study a dynamic, decentralized lemons market with one-time entry and characterize its set of equilibria. Our framework offers a theory of how "frozen" markets suffering from adverse selection recover or "thaw" over time endogenously; given an initial fraction of lemons, our model delivers sharp predictions about the length of time it takes for the market to recover, and how prices and the composition of assets in the market behave over this horizon. We use our framework to analyze a form of government intervention introduced during the recent financial crisis in order to help unfreeze the market for asset-backed securities. We find that, depending on the fraction of lemons in the market, such an intervention can speed up or slow down market recovery. More generally, our analysis highlights that the success of an intervention in a lemons market depends on both its size and duration. Published by Elsevier Inc. C1 [Camargo, Braz] Sao Paulo Sch Econ FGV, Sao Paulo, Brazil. [Lester, Benjamin] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Lester, B (reprint author), Fed Reserve Bank Philadelphia, Ten Independence Mall, Philadelphia, PA 19106 USA. EM braz.camargo@fgv.br; Benjamin.Lester@phil.frb.org NR 42 TC 9 Z9 9 U1 0 U2 7 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 EI 1095-7235 J9 J ECON THEORY JI J. Econ. Theory PD SEP PY 2014 VL 153 BP 534 EP 568 DI 10.1016/j.jet.2014.07.013 PG 35 WC Economics SC Business & Economics GA AP7IL UT WOS:000342250900024 ER PT J AU Bolotnyy, V AF Bolotnyy, Valentin TI The Government-Sponsored Enterprises and the Mortgage Crisis: The Role of the Affordable Housing Goals SO REAL ESTATE ECONOMICS LA English DT Article ID MARKETS AB I use regression discontinuity analysis to measure the effect of one of the Affordable Housing Goals, the Underserved Areas Goal (UAG), on the number of whole single-family mortgages purchased by Fannie Mae and Freddie Mac (GSEs) in undeserved census tracts for 1996-2002. Focusing additionally on tracts that became UAG-eligible in 2005-2006, I measure the effect of the UAG during peak years for the subprime market. The results suggest a small UAG effect and challenge the view that the goals caused the GSEs to supply substantially more credit to high-risk borrowers than they otherwise would have supplied during the subprime boom. C1 Fed Reserve Syst, Board Governors, Fed Reserve Board, Washington, DC 20551 USA. RP Bolotnyy, V (reprint author), Fed Reserve Syst, Board Governors, Fed Reserve Board, Washington, DC 20551 USA. EM valentin.bolotnyy@frb.gov NR 26 TC 2 Z9 2 U1 3 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1080-8620 EI 1540-6229 J9 REAL ESTATE ECON JI Real Estate Econ. PD FAL PY 2014 VL 42 IS 3 BP 724 EP 755 DI 10.1111/1540-6229.12031 PG 32 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA AU5FM UT WOS:000345632600007 ER PT J AU Contessi, S De Pace, P Guidolin, M AF Contessi, Silvio De Pace, Pierangelo Guidolin, Massimo TI How did the financial crisis alter the correlations of US yield spreads? SO JOURNAL OF EMPIRICAL FINANCE LA English DT Article DE Yield spreads; Correlations; Breakpoint tests; Nonparametric bootstrap; Credit risk; Liquidity risk ID PURCHASE PROGRAM; DEFAULT RISK; LIQUIDITY; MARKET; SECURITIES; DETERMINANTS; COMOVEMENT; CONTAGION; MODEL AB We investigate the pairwise correlations of eleven U.S. fixed income yield spreads over a sample that includes the Great Financial Crisis of 2007-09. Using cross-sectional methods and nonparametric bootstrap breakpoint tests, we characterize the crisis as a period in which pairwise correlations between yield spreads were systematically and significantly altered in the sense that spreads comoved with one another much more than in normal times. We find evidence that, for almost half of the fifty-five pairs under investigation, the crisis has left spreads much more correlated than they were previously. This evidence is particularly strong for liquidity- and default-risk-related spreads, long-term spreads, and the spreads that were most likely directly affected by policy interventions. (C) 2014 Elsevier B.V. All rights reserved. C1 [Contessi, Silvio] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [De Pace, Pierangelo] Pomona Coll, Dept Econ, Claremont, CA 91711 USA. [Guidolin, Massimo] Bocconi Univ, Dept Finance, I-20136 Milan, Italy. [Guidolin, Massimo] Bocconi Univ, CAREFIN, I-20136 Milan, Italy. RP Guidolin, M (reprint author), Bocconi Univ, Dept Finance, Via Roentgen 1, I-20136 Milan, Italy. EM silvio.contessi@stls.frb.org; pierangelo.depace@pomona.edu; massimo.guidolin@unibocconi.it NR 47 TC 5 Z9 5 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5398 EI 1879-1727 J9 J EMPIR FINANC JI J. Empir. Financ. PD SEP PY 2014 VL 28 BP 362 EP 385 DI 10.1016/j.jempfin.2014.04.005 PG 24 WC Business, Finance; Economics SC Business & Economics GA AS7HE UT WOS:000344426800023 ER PT J AU Kenkel, DS Schmeiser, MD Urban, C AF Kenkel, Donald S. Schmeiser, Maximilian D. Urban, Carly TI Is Smoking Inferior? Evidence from Variation in the Earned Income Tax Credit SO JOURNAL OF HUMAN RESOURCES LA English DT Article ID POLICY IMPLICATIONS; HEALTH; EDUCATION; CESSATION; MOTHERS; YOUTH AB In this paper we estimate the causal income elasticity of smoking participation, cessation, and cigarette demand conditional upon participation. Using an instrumental variables (IV) estimation strategy, we find that smoking appears to be a normal good among low-income adults: Higher-instrumented income is associated with an increase in the number of cigarettes consumed and a decrease in smoking cessation. The magnitude and direction of the changes in the income coefficients from our OLS to IV estimates are consistent with the hypothesis that correlational estimates between income and smoking-related outcomes are biased by unobservable characteristics that differentiate higher-income smokers from lower-income smokers. C1 [Kenkel, Donald S.] Cornell Univ, Ithaca, NY 14853 USA. [Kenkel, Donald S.] NBER, Cambridge, MA 02138 USA. [Schmeiser, Maximilian D.] Fed Reserve Board, Washington, DC USA. [Urban, Carly] Montana State Univ, Bozeman, MT USA. RP Kenkel, DS (reprint author), Cornell Univ, Ithaca, NY 14853 USA. EM max.schmeiser@frb.gov NR 48 TC 4 Z9 4 U1 3 U2 5 PU UNIV WISCONSIN PRESS PI MADISON PA JOURNAL DIVISION, 1930 MONROE ST, 3RD FL, MADISON, WI 53711 USA SN 0022-166X EI 1548-8004 J9 J HUM RESOUR JI J. Hum. Resour. PD FAL PY 2014 VL 49 IS 4 BP 1094 EP 1120 PG 27 WC Economics; Industrial Relations & Labor SC Business & Economics GA AS0GR UT WOS:000343956600008 ER PT J AU Dias, DA Richmond, C Wright, MLJ AF Dias, Daniel A. Richmond, Christine Wright, Mark L. J. TI The stock of external sovereign debt: Can we take the data at 'face value'? SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Sovereign debt; Contractual face value; Zero-coupon equivalent face value ID CONTINGENT CLAIM; DEFAULT RISK; REPUDIATION; COUNTRIES; MATURITY; BAD AB The stock of sovereign debt is typically measured at face value. Defined as the undiscounted sum of future principal repayments, face values are misleading when debts are issued with different contractual forms or maturities. In this paper, we construct alternative measures of the stock of external sovereign debt for 100 developing countries from 1979 through 2006 that correct for differences in contractual form and maturity. We show that our alternative measures: (1) paint a very different quantitative, and in some cases also qualitative, picture of the stock of developing country external sovereign debt; (2) often invert rankings of indebtedness across countries, which historically defined eligibility for debt forgiveness; (3) indicate that the empirical performance of the benchmark quantitative model of sovereign debt deteriorates by roughly 50% once model-consistent measures of debt are used; (4) show how the spread of aggregation clauses in debt contracts that award creditors voting power in proportion to the contractual face value may introduce inefficiencies into the process of restructuring sovereign debts; and (5) illustrate how countries have manipulated their debt issuance to meet fiscal targets written in terms of face values. (C) 2014 Elsevier B.V. All rights reserved. C1 [Richmond, Christine] Int Monetary Fund, Washington, DC 20431 USA. [Wright, Mark L. J.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Wright, Mark L. J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Wright, MLJ (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM ddias@illinois.edu; crichmond@imf.org; mwright@frbchi.org NR 51 TC 4 Z9 4 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD SEP PY 2014 VL 94 IS 1 BP 1 EP 17 DI 10.1016/j.jinteco.2014.05.001 PG 17 WC Economics SC Business & Economics GA AR6HZ UT WOS:000343686100001 ER PT J AU Chakrabarti, R Livingston, M Roy, J AF Chakrabarti, Rajashri Livingston, Max Roy, Joydeep TI DID CUTS IN STATE AID DURING THE GREAT RECESSION LEAD TO CHANGES IN LOCAL PROPERTY TAXES? SO EDUCATION FINANCE AND POLICY LA English DT Article ID SCHOOL DISTRICTS; PROGRAM AB The Great Recession led to marked declines in state revenue. In this paper we investigate whether (and how) local school districts modified their funding and taxing decisions in response to state aid declines in the post-recession period. Our results reveal school districts responded to state aid cuts in the post-recession period by countering these cuts. Relative to the pre-recession period, a unit decrease in state aid was associated with a relative increase in local funding. To further probe the school district role, we explore whether the property tax rate, which reflects decisions of districts facing budgetary needs, responded to state aid cuts. We find, relative to the pre-recession period, the post-recession period was characterized by a strong negative relationship between property tax rate and state aid per pupil. We also find important heterogeneities in these responses by region, property wealth, and importance of School Tax Relief Program revenue in district budgets. C1 [Chakrabarti, Rajashri; Livingston, Max] Fed Reserve Bank New York, New York, NY 10045 USA. [Roy, Joydeep] Columbia Univ, Teachers Coll, New York, NY 10027 USA. RP Chakrabarti, R (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM Rajashri.Chakrabarti@ny.frb.org; Max.Livingston@ny.frb.org; Jr3137@columbia.edu NR 19 TC 1 Z9 1 U1 1 U2 5 PU MIT PRESS PI CAMBRIDGE PA ONE ROGERS ST, CAMBRIDGE, MA 02142-1209 USA SN 1557-3060 EI 1557-3079 J9 EDUC FINANC POLICY JI Educ. Financ. Policy PD FAL PY 2014 VL 9 IS 4 BP 383 EP 416 DI 10.1162/EDFP_a_00141 PG 34 WC Education & Educational Research SC Education & Educational Research GA AR3YM UT WOS:000343525200002 ER PT J AU Rosa, C AF Rosa, Carlo TI The high-frequency response of energy prices to US monetary policy: Understanding the empirical evidence SO ENERGY ECONOMICS LA English DT Article DE Monetary policy; Energy prices; Federal funds and oil futures ID COMMODITY PRICES; INTEREST-RATES; OIL PRICES; MARKET; IMPACT; ANNOUNCEMENTS; VOLATILITY; SURPRISES; EXCHANGE; FUTURES AB This paper examines the impact of conventional and unconventional monetary policy on energy prices using an event study with intraday data. Three measures for monetary policy surprises are used: 1) the surprise change to the current federal funds target rate, 2) the surprise component to the future path of policy, and 3) the unanticipated announcement of future large-scale asset purchases (LSAP). Estimation results show that monetary policy surprises have economically important and highly significant effects on the level and volatility of energy futures prices and their trading volumes. I find that, on average, a hypothetical unanticipated 100-basis-point hike in the federal funds target rate is associated with roughly a 3% decrease in West Texas Intermediate crude oil prices. I also document that, in a narrow window around the FOMC meeting, the Federal Reserve's LSAP1 and LSAP2 programs have a cumulative financial market impact on crude oil equivalent to an unanticipated cut in the federal funds target rate of 156 basis points. (C) 2014 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10012 USA. RP Rosa, C (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10012 USA. EM carlo.rosa@ny.frb.org NR 50 TC 1 Z9 1 U1 3 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0140-9883 EI 1873-6181 J9 ENERG ECON JI Energy Econ. PD SEP PY 2014 VL 45 BP 295 EP 303 DI 10.1016/j.eneco.2014.06.011 PG 9 WC Economics SC Business & Economics GA AR5GQ UT WOS:000343613500026 ER PT J AU Bracha, A Cooper, D AF Bracha, Anat Cooper, Daniel TI Asymmetric responses to income changes: The payroll tax increase versus tax refund in 2013 SO ECONOMICS LETTERS LA English DT Article DE Payroll tax changes; Consumption; Tax refunds; Saving AB We examine low-to-middle income individuals' responses to the 2013 payroll tax increase and their 2012 tax refund and find that consumption declines 90 cents per dollar lost to the tax increase, and rises 60 cents per additional tax refund dollar. (C) 2014 Elsevier B.V. All rights reserved. C1 [Bracha, Anat; Cooper, Daniel] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Cooper, D (reprint author), Fed Reserve Bank Boston, Res Dept, 600 Atlantic Ave, Boston, MA 02210 USA. EM Anat.Bracha@bos.frb.org; Daniel.Cooper@bos.frb.org NR 9 TC 0 Z9 0 U1 2 U2 3 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 EI 1873-7374 J9 ECON LETT JI Econ. Lett. PD SEP PY 2014 VL 124 IS 3 BP 534 EP 538 DI 10.1016/j.econlet.2014.07.028 PG 5 WC Economics SC Business & Economics GA AQ7TL UT WOS:000343022000053 ER PT J AU Ghent, AC Hernandez-Murillo, R Owyang, MT AF Ghent, Andra C. Hernandez-Murillo, Ruben Owyang, Michael T. TI Differences in subprime loan pricing across races and neighborhoods SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE Fair Housing Act; Subprime mortgages; Loan performance; Discrimination ID MORTGAGE; DISCRIMINATION; SELECTION; MODELS AB We investigate whether race and ethnicity influenced subprime loan pricing during 2005, the peak of the subprime mortgage expansion. We combine loan-level data on the performance of non-prime securitized mortgages with individual- and neighborhood-level data on racial and ethnic characteristics for metropolitan areas in California and Florida. Using a model of rate determination that accounts for predicted loan performance, we evaluate the differences in subprime mortgage rates in terms of racial and ethnic groups and neighborhood characteristics. We find evidence of adverse pricing for Blacks and Hispanics. The evidence of adverse pricing is strongest for purchase mortgages and mortgages originated by non-depository institutions. (C) 2014 Elsevier B.V. All rights reserved. C1 [Ghent, Andra C.] Arizona State Univ, WP Carey Sch Business, Tempe, AZ 85287 USA. [Hernandez-Murillo, Ruben; Owyang, Michael T.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63102 USA. RP Hernandez-Murillo, R (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO 63102 USA. EM aghent@asu.edu; ruben.hernandez@stls.frb.org; owyang@stls.frb.org RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 30 TC 3 Z9 3 U1 1 U2 20 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 EI 1879-2308 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD SEP PY 2014 VL 48 BP 199 EP 215 DI 10.1016/j.regsciurbeco.2014.07.006 PG 17 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA AQ5QN UT WOS:000342863800017 ER PT J AU Lee, J Carling, J Orrenius, P AF Lee, Jennifer Carling, Jorgen Orrenius, Pia TI The International Migration Review at 50: Reflecting on Half a Century of International Migration Research and Looking Ahead SO INTERNATIONAL MIGRATION REVIEW LA English DT Article ID UNAUTHORIZED MIGRATION; SEGMENTED ASSIMILATION; UNITED-STATES; IMMIGRATION; 2ND-GENERATION; POLICY; BORDER; TRANSNATIONALISM; INTEGRATION; DEATH AB When the International Migration Review was established half a century ago, international migration was a peripheral area of research, and migration issues were far less prominent on policy agendas than they are today. This essay introduces the 50th Anniversary Issue of the International Migration Review and begins by identifying seven main areas of change in migration research and migration trends during the journal's lifetime. Subsequently, we examine changes in the geographical distribution of authorship of IMR articles. We also explore the IMR's current positioning in the scientific landscape by analyzing citation relationships with other journals. The ten articles that make up the body of the special issue seek to advance the research frontier on international migration, covering diverse areas of the IMR's thematic scope. We account for how the papers were selected and present each one. In the final section of the article, we look ahead and suggest new frontiers in international migration research. Among the research themes that we foresee as increasingly important are connections between migration and inequality, and the growth of migration flows that are driven by humanitarian crises, but not accommodated by the international refugee regime. C1 [Lee, Jennifer] Univ Calif Irvine, Irvine, CA 92697 USA. [Carling, Jorgen] Peace Res Inst Oslo PRIO, Oslo, Norway. [Orrenius, Pia] Fed Reserve Bank Dallas, Dallas, TX USA. RP Lee, J (reprint author), Univ Calif Irvine, Irvine, CA 92697 USA. RI Carling, Jorgen/A-7190-2008 OI Carling, Jorgen/0000-0001-5520-3444 NR 83 TC 0 Z9 0 U1 3 U2 23 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0197-9183 EI 1747-7379 J9 INT MIGR REV JI Int. Migr. Rev. PD FAL PY 2014 VL 48 SU 1 BP S3 EP S36 DI 10.1111/imre.12144 PG 34 WC Demography SC Demography GA AQ4HL UT WOS:000342754300001 ER PT J AU Ascari, G Sbordone, AM AF Ascari, Guido Sbordone, Argia M. TI The Macroeconomics of Trend Inflation SO JOURNAL OF ECONOMIC LITERATURE LA English DT Article ID OPTIMAL MONETARY-POLICY; KEYNESIAN PHILLIPS-CURVE; RELATIVE PRICE DISTORTIONS; REAL WAGE RIGIDITIES; NATURAL RATE; TAYLOR PRINCIPLE; STAGGERED PRICES; BUSINESS CYCLES; LIQUIDITY TRAP; UNITED-STATES AB Most macroeconomic models for monetary policy analysis are approximated around a zero inflation steady state, but most central banks target an inflation rate of about 2 percent. Many economists have recently proposed even higher inflation targets to reduce the incidence of the zero lower bound constraint on monetary policy. In this survey, we show that the conduct of monetary policy should be analyzed by appropriately accounting for the positive trend inflation targeted by policymakers. We first review empirical research on the evolution and dynamics of U.S. trend inflation and some proposed new measures to assess the volatility and persistence of trend-based inflation gaps. We then construct a Generalized New Keynesian model that accounts for a positive trend inflation. In this model, an increase in trend inflation is associated with a more volatile and unstable economy and tends to destabilize inflation expectations. This analysis offers a note of caution regarding recent proposals to address the existing zero lower bound problem by raising the long-run inflation target. C1 [Ascari, Guido] Univ Oxford, Oxford OX1 2JD, England. [Ascari, Guido] Univ Pavia, I-27100 Pavia, Italy. [Sbordone, Argia M.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Ascari, G (reprint author), Univ Oxford, Oxford OX1 2JD, England. NR 131 TC 9 Z9 9 U1 2 U2 15 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 EI 2328-8175 J9 J ECON LIT JI J. Econ. Lit. PD SEP PY 2014 VL 52 IS 3 BP 679 EP 739 DI 10.1257/jel.52.3.679 PG 61 WC Economics SC Business & Economics GA AQ3HQ UT WOS:000342682900001 ER PT J AU Schuetz, J AF Schuetz, Jenny TI Do art galleries stimulate redevelopment? SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Neighborhood change; Economic development; Amenities; Cultural institutions ID ECONOMIC-DEVELOPMENT; CONSUMER SEARCH; URBAN; GENTRIFICATION; AGGLOMERATION; NEIGHBORHOODS; GEOGRAPHY; PRODUCTS; ARTISTS; CONTEXT AB New York City is often held up as a successful example of arts-led economic development. Case studies have documented the influx of avant-garde artists and galleries into several neighborhoods, including Greenwich Village, Soho, and Chelsea, followed by yuppies and boutiques. Some researchers have used these examples to argue that artists and galleries can spur gentrification. An alternative hypothesis is that galleries choose to locate in neighborhoods with high levels of amenities. In this paper, I examine whether concentrations of galleries in Manhattan are associated with redevelopment of surrounding neighborhoods, conditional on initial neighborhood amenities. Results indicate that new galleries locate in high amenity, affluent neighborhoods, and near existing star galleries. In simple bivariate regressions, star gallery density is positively correlated with several metrics of building change. However, these correlations diminish when controls are added for initial neighborhood physical and economic conditions, and weaken still further under an IV approach. Results are consistent with galleries selecting neighborhoods that have a higher propensity to redevelop, due to the presence of observed and unobserved amenities. Published by Elsevier Inc. C1 Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Schuetz, J (reprint author), Board Governors Fed Reserve Syst, Washington, DC 20551 USA. EM jenny.schuetz@frb.gov NR 42 TC 1 Z9 1 U1 3 U2 17 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 EI 1095-9068 J9 J URBAN ECON JI J. Urban Econ. PD SEP PY 2014 VL 83 BP 59 EP 72 DI 10.1016/j.jue.2014.08.002 PG 14 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA AP7PJ UT WOS:000342268900006 ER PT J AU Manuelli, RE Seshadri, A AF Manuelli, Rodolfo E. Seshadri, Ananth TI Human Capital and the Wealth of Nations SO AMERICAN ECONOMIC REVIEW LA English DT Article ID ECONOMIC-GROWTH; RETIREMENT; COUNTRIES AB We reevaluate the role of human capital in determining the wealth of nations. We use standard human capital theory to estimate stocks of human capital and allow the quality of human capital to vary across countries. Our model can explain differences in schooling and earnings profiles and, consequently, estimates of Mincerian rates of return across countries. We find that effective human capital per worker varies substantially across countries. Cross-country differences in Total Factor Productivity (TFP) are significantly smaller than found in previous studies. Our model implies that output per worker is highly responsive to changes in TFP and demographic variables. C1 [Manuelli, Rodolfo E.] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Manuelli, Rodolfo E.] Fed Reserve Bank St Louis, Washington, DC USA. [Seshadri, Ananth] Univ Wisconsin, Dept Econ, Madison, WI 53706 USA. RP Manuelli, RE (reprint author), Washington Univ, Dept Econ, One Brookings Dr, St Louis, MO 63130 USA. EM manuelli@wustl.edu; aseshadr@ssc.wisc.edu NR 35 TC 8 Z9 8 U1 4 U2 27 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD SEP PY 2014 VL 104 IS 9 BP 2736 EP 2762 DI 10.1257/aer.104.9.2736 PG 27 WC Economics SC Business & Economics GA AO8FF UT WOS:000341588200005 ER PT J AU Roberds, W AF Roberds, William TI The House of Rothschild in Spain, 1812-1941. SO JOURNAL OF ECONOMIC HISTORY LA English DT Book Review C1 [Roberds, William] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. RP Roberds, W (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0022-0507 EI 1471-6372 J9 J ECON HIST JI J. Econ. Hist. PD SEP PY 2014 VL 74 IS 3 BP 922 EP 924 DI 10.1017/S0022050714000667 PG 4 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA AO8WG UT WOS:000341635300011 ER PT J AU Carlstrom, CT Fuerst, TS Ortiz, A Paustian, M AF Carlstrom, Charles T. Fuerst, Timothy S. Ortiz, Alberto Paustian, Matthias TI Estimating contract indexation in a Financial Accelerator Model SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Agency costs; Financial accelerator; Business cycles AB This paper addresses the positive implications of indexing risky debt to observable aggregate conditions. These issues are pursued within the context of the celebrated financial accelerator model of Bernanke et al. (1999). The principal conclusions include: (1) the estimated level of indexation is significant, (2) the business cycle properties of the model are significantly affected by this degree of indexation, (3) the importance of investment shocks in the business cycle depends upon the estimated level of indexation, and (4) although the data prefers the financial model with indexation over the frictionless model, they have remarkably similar business cycle properties for non-financial exogenous shocks. Published by Elsevier B.V. C1 [Carlstrom, Charles T.; Fuerst, Timothy S.] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. [Fuerst, Timothy S.] Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. [Ortiz, Alberto] Ctr Estudios Monetarios Latinoamer, Cuauhtemoc, Mexico. [Ortiz, Alberto] EGADE Business Sch, Mexico City, DF, Mexico. [Paustian, Matthias] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Fuerst, TS (reprint author), Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. EM charles.t.carlstrom@clev.frb.org; tfuerst@nd.edu; ortiz@cemla.org; matthias.o.paustian@frb.gov NR 11 TC 2 Z9 2 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD SEP PY 2014 VL 46 BP 130 EP 149 DI 10.1016/j.jedc.2014.06.009 PG 20 WC Economics SC Business & Economics GA AO6RS UT WOS:000341479800007 ER PT J AU Nakata, T AF Nakata, Taisuke TI Welfare costs of shifting trend inflation SO JOURNAL OF MACROECONOMICS LA English DT Article DE The great inflation; Second-order approximation; Trend inflation; Welfare ID CALVO VS. ROTEMBERG; 2ND-ORDER APPROXIMATION; EQUILIBRIUM-MODELS; MONETARY-POLICY; PERSISTENCE AB This paper studies the welfare consequences of exogenous variations in trend inflation in a New Keynesian economy. Consumption and leisure respond asymmetrically to a rise and a decline in trend inflation. As a result, an increase in the variance of shocks to the trend inflation process decreases welfare not only by increasing the volatilities of consumption and leisure, but also by decreasing their average levels. I find that the welfare cost of drifting trend inflation is modest and that it comes mainly from reduced average levels of consumption and leisure, not from their increased volatilities. Published by Elsevier Inc. C1 [Nakata, Taisuke] Fed Reserve Syst, Board Governors, Washington, DC USA. RP Nakata, T (reprint author), Fed Reserve Board, Div Res & Stat, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM taisuke.nakata@frb.gov NR 31 TC 1 Z9 1 U1 0 U2 0 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD SEP PY 2014 VL 41 BP 66 EP 78 DI 10.1016/j.jmacro.2014.05.001 PG 13 WC Economics SC Business & Economics GA AO6MA UT WOS:000341465000006 ER PT J AU Driscoll, JC Holden, S AF Driscoll, John C. Holden, Steinar TI Behavioral economics and macroeconomic models SO JOURNAL OF MACROECONOMICS LA English DT Article DE Behavioral macroeconomics; New Keynesian model ID AGGREGATE DEMAND MANAGEMENT; KEYNESIAN PHILLIPS-CURVE; SELF-CONTROL; MONETARY-POLICY; HABIT FORMATION; SOCIAL-SECURITY; BUSINESS-CYCLE; LIFE-CYCLE; EQUILIBRIUM UNEMPLOYMENT; INFLATION PERSISTENCE AB Over the past 20 years, macroeconomists have incorporated more and more results from behavioral economics into their models. We argue that doing so has helped fixed deficiencies with standard approaches to modeling the economy for example, the counterfactual absence of inertia in the standard New Keynesian model of economic fluctuations. We survey efforts to use behavioral economics to improve some of the underpinnings of the New Keynesian model specifically, consumption, the formation of expectations and determination of wages and employment that underlie aggregate supply, and the possibility of multiple equilibria and asset price bubbles. We also discuss more broadly the advantages and disadvantages of using behavioral economics features in macroeconomic models. (C) 2014 Elsevier Inc. All rights reserved. C1 [Driscoll, John C.] Fed Reserve Board, Washington, DC 20551 USA. [Holden, Steinar] Univ Oslo, Dept Econ, N-0317 Oslo, Norway. RP Holden, S (reprint author), Univ Oslo, Dept Econ, Box 1095, N-0317 Oslo, Norway. EM John.C.Driscoll@frb.gov; Steinar.holden@econ.uio.no NR 169 TC 1 Z9 1 U1 6 U2 34 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0164-0704 EI 1873-152X J9 J MACROECON JI J. Macroecon. PD SEP PY 2014 VL 41 BP 133 EP 147 DI 10.1016/j.jmacro.2014.05.004 PG 15 WC Economics SC Business & Economics GA AO6MA UT WOS:000341465000011 ER PT J AU Feng, XB Hu, HB Pritsker, M AF Feng, Xiaobing Hu, Haibo Pritsker, Matthew TI Network effects, cascades and CCP interoperability SO INTERNATIONAL JOURNAL OF MODERN PHYSICS C LA English DT Article DE Systemic risk; cascading failures; robustness; network effects; CCP interoperability AB To control counterparty risk, financial regulations such as the Dodd Frank Act are increasingly requiring standardized derivatives trades to be cleared by central counterparties (CCPs). It is anticipated that in the near-term future, CCPs across the world will be linked through interoperability agreements that facilitate risk-sharing but also serve as a conduit for transmitting shocks. This paper theoretically studies a network with CCPs that are linked through interoperability arrangements, and studies the properties of the network that contribute to cascading failures. The magnitude of the cascading is theoretically related to the strength of network linkages, the size of the network, the logistic mapping coefficient, a stochastic effect and CCP's defense lines. Simulations indicate that larger network effects increase systemic risk from cascading failures. The size of the network N raises the threshold value of shock sizes that are required to generate cascades. Hence, the larger the network, the more robust it will be. C1 [Feng, Xiaobing] Shanghai Univ Int Business & Econ, Shanghai 201620, Peoples R China. [Feng, Xiaobing] Shanghai Jiao Tong Univ, Shanghai 200240, Peoples R China. [Hu, Haibo] E China Univ Sci & Technol, Shanghai 200237, Peoples R China. [Pritsker, Matthew] Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Feng, XB (reprint author), Shanghai Univ Int Business & Econ, Shanghai 201620, Peoples R China. EM fxb@sjtu.edu.cn FU National Education Commission [11YJA790030]; Shanghai Social Science Fund Project [2011BJB015]; Shanghai Municipal Education Commission Innovation Project [12ZS166]; National PostDoc Fund [2011M5000786]; PostDoc Special Fund [2013T60437]; 085 Major Project [Z085YYJJ13070]; Central Government [YC-XK-13109]; National Natural Science Foundation of China [61104139]; Fundamental Research Funds for the Central Universities [WN1223008] FX This study is partly supported by National Education Commission Project (No. 11YJA790030), Shanghai Social Science Fund Project (No. 2011BJB015), Shanghai Municipal Education Commission Innovation Project (No. 12ZS166), National PostDoc Fund 2011M5000786, PostDoc Special Fund 2013T60437, 085 Major Project Z085YYJJ13070, Major Subject Study financed by Central Government YC-XK-13109, the National Natural Science Foundation of China (No. 61104139), and the Fundamental Research Funds for the Central Universities (No. WN1223008). The authors would like to thank Hanyun Chen and Jinxian Huang for research assistance. NR 15 TC 0 Z9 0 U1 1 U2 6 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA 5 TOH TUCK LINK, SINGAPORE 596224, SINGAPORE SN 0129-1831 EI 1793-6586 J9 INT J MOD PHYS C JI Int. J. Mod. Phys. C PD SEP PY 2014 VL 25 IS 9 AR 1450035 DI 10.1142/S0129183114500351 PG 13 WC Computer Science, Interdisciplinary Applications; Physics, Mathematical SC Computer Science; Physics GA AO3OO UT WOS:000341241800001 ER PT J AU Marquis, MH Trehan, B Tantivong, W AF Marquis, Milton H. Trehan, Bharat Tantivong, Wuttipan TI The wage premium puzzle and the quality of human capital SO INTERNATIONAL REVIEW OF ECONOMICS & FINANCE LA English DT Article DE Wage premium; Skill-biased technical change; Vintage capital; Heterogenous labor supply ID TECHNOLOGICAL-CHANGE; BUSINESS-CYCLE; LABOR-MARKET; INEQUALITY; INVESTMENT; COMPUTERS; DEMAND AB The wage premium for high-skilled workers in the United States, measured as the ratio of the 90th-to-10th percentiles from the wage distribution, increased by 20% from the 1970s to the late 1980s. A large literature has emerged to explain this phenomenon. A leading explanation is that skill-biased technological change (SBTC) increased the demand for skilled labor relative to unskilled labor. In a calibrated vintage capital model with heterogenous labor, this paper examines whether SBTC is likely to have been a major factor in driving up the wage premium. Our results suggest that the contribution of SBTC is very small, accounting for about 1/20th of the observed increase. By contrast, a gradual and very modest shift in the distribution of human capital across workers can easily account for the large observed increase in wage inequality. (C) 2014 Elsevier Inc. All rights reserved. C1 [Marquis, Milton H.] Florida State Univ, Dept Econ, Tallahassee, FL 32306 USA. [Trehan, Bharat] Fed Reserve Bank San Francisco, Res Dept, San Francisco, CA 94105 USA. RP Trehan, B (reprint author), Fed Reserve Bank San Francisco, Res Dept, San Francisco, CA 94105 USA. EM mmarquis@fsu.edu; bharat.trehan@sf.frb.org; gap.tantivong@gmail.com NR 26 TC 3 Z9 3 U1 0 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1059-0560 EI 1873-8036 J9 INT REV ECON FINANC JI Int. Rev. Econ. Financ. PD SEP PY 2014 VL 33 BP 100 EP 110 DI 10.1016/j.iref.2014.03.010 PG 11 WC Business, Finance; Economics SC Business & Economics GA AN8OE UT WOS:000340862700010 ER PT J AU Hetzel, RL AF Hetzel, Robert L. TI The origins, history, and future of the federal reserve SO INTERNATIONAL REVIEW OF ECONOMICS & FINANCE LA English DT Book Review C1 [Hetzel, Robert L.] Fed Reserve Bank Richmond, Richmond, VA 23219 USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Richmond, VA 23219 USA. NR 4 TC 0 Z9 0 U1 1 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1059-0560 EI 1873-8036 J9 INT REV ECON FINANC JI Int. Rev. Econ. Financ. PD SEP PY 2014 VL 33 BP 391 EP 393 DI 10.1016/j.iref.2014.04.003 PG 3 WC Business, Finance; Economics SC Business & Economics GA AN8OE UT WOS:000340862700030 ER PT J AU Jambulapati, V Stavins, J AF Jambulapati, Vikram Stavins, Joanna TI Credit CARD Act of 2009: What did banks do? SO JOURNAL OF BANKING & FINANCE LA English DT Article DE CARD Act; Credit cards; Banking regulation ID EMPIRICAL-ANALYSIS AB The Credit CARD Act of 2009 was intended to prevent practices in the credit card industry that lawmakers viewed as deceptive and abusive. Among other changes, the Act restricted issuers' account closure policies, eliminated certain fees, and made it more difficult for issuers to change terms on credit card plans. Critics of the Act argued that because of the long lag between approval and implementation of the law, issuing banks would be able to take preemptive actions that might disadvantage cardholders before the law could take effect. Using credit bureau data as well as individual data from a survey of U.S. consumers, we test whether banks closed consumers' credit card accounts or otherwise restricted access to credit just before the enactment of the CARD Act. Because the period prior to the enactment of the CARD Act coincided with the financial crisis and recession, causality in this case is particularly difficult to establish. We find evidence that a higher fraction of credit card accounts were closed following the Federal Reserve Board's adoption of its credit card rules, but not between May 2009, when the CARD Act was signed, and when most of its provisions became law in February 2010. However, we do find evidence that banks deteriorated terms of credit card plans at a higher rate during this period, especially lowered the credit limits. Among the survey respondents whose bank accounts were closed during that period, account holders were much more likely to close their own credit card accounts than to have them closed by their card issuers. (C) 2014 Elsevier B.V. All rights reserved. C1 [Jambulapati, Vikram] MIT Sloan Sch Management, Cambridge, MA USA. [Stavins, Joanna] Fed Reserve Bank Boston, Boston, MA USA. RP Stavins, J (reprint author), Fed Reserve Bank Boston, Boston, MA USA. EM vikjam@mit.edu; joanna.stavins@bos.frb.org NR 18 TC 0 Z9 0 U1 1 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD SEP PY 2014 VL 46 BP 21 EP 30 DI 10.1016/j.jbankfin.2014.04.025 PG 10 WC Business, Finance; Economics SC Business & Economics GA AO0EL UT WOS:000340981800002 ER EF