FEDS 2019-050: The Effects of Bank Capital Buffers on Bank Lending and Firm...
Jose M. Berrospide and Rochelle M. Edge | We use bank-firm matched data from regulatory filings (FR Y-14) to study how the capital buffers that large U.S. banks must satisfy to "pass" the quantitative...
View ArticleIFDP 2019-1251: Risk-Taking Spillovers of U.S. Monetary Policy in the Global...
Seung Jung Lee, Lucy Qian Liu, and Viktors Stebunovs | We study the effects of U.S. interest rates and other factors on risk-taking in the global market for U.S. dollar syndicated term loans. We find...
View ArticleIFDP 2019-1252: Forecasting High-Risk Composite CAMELS Ratings
Lewis Gaul, Jonathan Jones, and Pinar Uysal | We investigate whether statistical learning models can contribute to supervisors' off-site monitoring of banks' overall condition. We use five statistical...
View ArticleIFDP 2019-1253: US Equity Tail Risk and Currency Risk Premia
Zhenzhen Fan, Juan M. Londono, and Xiao Xiao | We find that a US equity tail risk factor constructed from out-of-the-money S&P 500 put option prices explains the cross-sectional variation of...
View ArticleFEDS 2019-052: Shock Transmission through Cross-Border Bank Lending: Credit...
Galina Hale, Tümer Kapan, and Camelia Minoiu | We study the transmission of financial shocks across borders through international bank connections. Using data on cross-border interbank loans among...
View ArticleFEDS 2019-053: Expectations-Driven Liquidity Traps: Implications for Monetary...
Taisuke Nakata and Sebastian Schmidt | We study optimal monetary and fiscal policy in a New Keynesian model where occasional declines in agents' confidence give rise to persistent liquidity trap...
View ArticleFEDS 2019-054: Pricing Poseidon: Extreme Weather Uncertainty and Firm Return...
Mathias S. Kruttli, Brigitte Roth Tran, and Sumudu W. Watugala | We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets by identifying...
View ArticleFEDS 2019-055: Measuring the Liquidity Profile of Mutual Funds
Sirio Aramonte, Chiara Scotti, and Ilknur Zer | We measure the liquidity profile of open-end mutual funds using the sensitivity of their daily returns to aggregate liquidity. We study how this...
View ArticleFEDS 2019-010: Lifecycle Patterns of Saving and Wealth Accumulation(Revised)
Laura J. Feiveson and John Sabelhaus | Empirical analysis of U.S. income, saving and wealth dynamics is constrained by a lack of high-quality and comprehensive household-level panel data. This paper...
View ArticleFEDS 2019-056: Regulating Financial Networks Under Uncertainty
Carlos RamÃrez | I study the problem of regulating a network of interdependent financial institutions that is prone to contagion when there is uncertainty regarding its precise structure. I show that...
View ArticleFEDS 2019-057: From Transactions Data to Economic Statistics: Constructing...
Aditya Aladangady, Shifrah Aron-Dine, Wendy Dunn, Laura Feiveson, Paul Lengermann, and Claudia Sahm | Access to timely information on consumer spending is important to economic policymakers. The Census...
View ArticleFEDS 2019-058: Transparency and collateral: the design of CCPs' loss...
Gaetano Antinolfi, Francesca Carapella, and Francesco Carli | This paper adopts a mechanism design approach to study optimal clearing arrangements for bilateral financial contracts in which an...
View ArticleFEDS 2019-059: Variance Disparity and Market Frictions
Yang-Ho Park | This paper introduces a new model-free approach to measuring the expectation of market variance using VIX derivatives. This approach shows that VIX derivatives carry different...
View ArticleFEDS 2019-060: A Simple Model of Voluntary Reserve Targets with Tolerance Bands
Garth Baughman and Francesca Carapella | This note presents a simplifed version of the model of voluntary reserve targets (VRT) developed in Baughman and Carapella (forthcoming), with a Walrasian...
View ArticleFEDS 2018-064: Measuring Aggregate Housing Wealth: New Insights from an...
Joshua H. Gallin, Raven Molloy, Eric Nielsen, Paul Smith, and Kamila Sommer | We construct a new measure of aggregate housing wealth for the U.S. based on (1) home-value estimates derived from machine...
View ArticleIFDP 2019-1254: Exchange Rate Dynamics and Monetary Spillovers with Imperfect...
Ozge Akinci and Albert Queralto | We use a two-country New Keynesian model with financial frictions and dollar debt in balance sheets to investigate the foreign effects of U.S. monetary policy....
View ArticleFEDS 2019-061: CECL and the Credit Cycle
Bert Loudis and Ben Ranish | We find that that the Current Expected Credit Loss (CECL) standard would slightly dampen fluctuations in bank lending over the economic cycle. In particular, if the CECL...
View ArticleFEDS 2019-062: Parental Proximity and Earnings After Job Displacements
Patrick Coate, Pawel Krolikowski, and Mike Zabek | The earnings of young adults who live in the same neighborhoods as their parents completely recover after a job displacement, unlike the earnings of...
View ArticleFEDS 2019-063: Exporters of Services: A Look at U.S. Exporters outside of the...
Maria D. Tito | Using transaction data for the U.S., this paper presents a series of stylized facts on exporters in services industries. We find that most of the basic facts on manufacturing exporters...
View ArticleFEDS 2019-064: Monetary Policy and Bank Equity Values in a Time of Low and...
Miguel Ampudia and Skander J. Van den Heuvel | Does banks' exposure to interest rate risk change when interest rates are very low or even negative? Using a high-frequency event study methodology and...
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