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2014 FEDS Papers

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2014-61 (August)
Do Creditor Rights Increase Employment Risk? Evidence from Loan Covenants
Nellie Liang and Antonio Falato
Abstract | Full paper (262 KB PDF)
2014-60 (May)
The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors
Stefania D'Amico, Roger Fan, and Yuriy Kitsul
Abstract | Full paper (463 KB PDF)
2014-59 (August)
Precautionary Volatility and Asset Prices
Andrew Y. Chen
Abstract | Full paper (1 MB PDF)
2014-58 (January)
A Tale of Two Option Markets: Pricing Kernels and Volatility Risk
Zhaogang Song and Dacheng Xiu
Abstract | Full paper (481 KB PDF)
2014-57 (August)
Unspanned macroeconomic factors in the yield curve
Laura Coroneo, Domenico Giannone, and Michele Modugno
Abstract | Full paper (647 KB PDF)
2014-56 (July)
Firm Entry and Employment Dynamics in the Great Recession
Michael Siemer
Abstract | Full paper (959 KB PDF)
2014-55 (July)
Business to Business Credit to Small Firms
Traci Mach
Abstract | Full paper (97 KB PDF)
2014-54 (July)
Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA
Samim Ghamami and Lisa R. Goldberg
Abstract | Full paper (332 KB PDF)
2014-53 (July)
Limited Deposit Insurance Coverage and Bank Competition
Oz Shy, Rune Stenbacka, and Vladimir Yankov
Abstract | Full paper (363 KB PDF)
2014-52 (June)
The Low Frequency Effects of Macroeconomic News on Government Bond Yields
Carlo Altavilla, Domenico Giannone, and Michele Modugno
Abstract | Full paper (940 KB PDF)
2014-51 (July)
Non-linearity in the Inflation-Growth Relationship in Developing Economies: Evidence from a Semiparametric Panel Model
Deniz Baglan and Emre Yoldas
Abstract | Full paper (459 KB PDF)
2014-50 (June)
Reputation and Liquidity Traps
Taisuke Nakata
Abstract | Full paper (1 MB PDF)
2014-49 (June)
Assessing Targeted Macroprudential Financial Regulation: The Case of the 2006 Commercial Real Estate Guidance for Banks
William F. Bassett and W. Blake Marsh
Abstract | Full paper (411 KB PDF)
2014-48 (June)
QE Auctions of Treasury Bonds
Zhaogang Song and Haoxiang Zhu
Abstract | Full paper (595 KB PDF)
2014-47 (July)
OccBin: A Toolkit for Solving Dynamic Models With Occasionally Binding Constraints Easily
Luca Guerrieri and Matteo Iacoviello
Abstract | Full paper (428 KB PDF)
2014-46 (June)
Flights to Safety
Lieven Baele, Geert Bekaert, Koen Inghelbrecht, and Min Wei
Abstract | Full paper (554 KB PDF)
2014-45 (June)
Relative Liquidity and Future Volatility
Marcela Valenzuela, Ilknur Zer, Piotr Fryzlewicz, and Thorsten Rheinlander
Abstract | Full paper (375 KB PDF)
2014-44 (June)
Navigating Constraints: The Evolution of Federal Reserve Monetary Policy, 1935-59
Mark A. Carlson and David C. Wheelock
Abstract | Full paper (3 MB PDF)
2014-43 (June)
Behavioral Economics and Macroeconomic Models
John C. Driscoll and Steinar Holden
Abstract | Full paper (333 KB PDF)
2014-42 (June)
The Welfare Costs of Skill-Mismatch Employment
David M. Arseneau and Brendan Epstein
Abstract | Full paper (302 KB PDF)
2014-41 (May)
Bank Failure, Relationship Lending, and Local Economic Performance
John Kandrac
Abstract | Full paper (698 KB PDF)
2014-40 (May)
When are the Effects of Fiscal Policy Uncertainty Large?
Benjamin K. Johannsen
Abstract | Full paper (423 KB PDF)
2014-39 (May)
Monetary Policy and Real Borrowing Costs at the Zero Lower Bound
Simon Gilchrist, David Lopez-Salido, and Egon Zakrajsek
Abstract | Full paper (703 KB PDF)
2014-38 (May)
Assessing the Effects of the Zero-Interest-Rate Policy through the Lens of a Regime-Switching DSGE Model
Han Chen
Abstract | Full paper (446 KB PDF)
2014-37 (May)
Debt Deflation Effects of Monetary Policy
Li Lin, Dimitrios P. Tsomocos, and Alexandros P. Vardoulakis
Abstract | Full paper (200 KB PDF)
2014-36 (May)
Hedge fund holdings and stock market efficiency
Charles Cao, Bing Liang, Andrew W. Lo, and Lubomir Petrasek
Abstract | Full paper (386 KB PDF)
2014-35 (February)
Are Household Investors Noise Traders: Evidence from Belief Dispersion and Stock Trading Volume
Dan Li and Geng Li
Abstract | Full paper (365 KB PDF) | Full paper (Screen Reader Version)
2014-34 (July)
Model Risk of Risk Models
Jon Danielsson, Kevin James, Marcela Valenzuela, and Ilknur Zer
Abstract | Full paper (499 KB PDF)
2014-33 (March)
Machines vs. Machines: High Frequency Trading and Hard Information
Yesol Huh
Abstract | Full paper (714 KB PDF)
2014-32 (April)
Fertility Choice in a Life Cycle Model with Idiosyncratic Uninsurable Earnings Risk
Kamila Sommer
Abstract | Full paper (582 KB PDF)
2014-31 (April)
The Risk Channel of Monetary Policy
Oliver de Groot
Abstract | Full paper (377 KB PDF)
2014-30 (March)
Gates, Fees, and Preemptive Runs
Marco Cipriani, Antoine Martin, Patrick E. McCabe, and Bruno M. Parigi
Abstract | Full paper (322 KB PDF)
2014-29 (February)
Policy Paradoxes in the New Keynesian Model
Michael T. Kiley
Abstract | Full paper (333 KB PDF)
2014-28 (March)
An Evaluation of the Inflationary Pressure Associated with Short- and Long-term Unemployment
Michael T. Kiley
Abstract | Full paper (137 KB PDF)
2014-27 (April)
Missing Variation in the Great Moderation: Lack of Signal Error and OLS Regression
Jeremy J. Nalewaik
Abstract | Full paper (352 KB PDF)
2014-26 (March)
Community Bank Performance: How Important are Managers?
Dean F. Amel and Robin A. Prager
Abstract | Full paper (219 KB PDF)
2014-25 (March)
Small Sample Properties of Bayesian Estimators of Labor Income Processes
Taisuke Nakata and Christopher Tonetti
Abstract | Full paper (418 KB PDF)
2014-24 (February)
Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices
Stefania D'Amico, Don H. Kim, and Min Wei
Abstract | Full paper (824 KB PDF)
2014-23 (March)
Competition in lending and credit ratings
Javed Ahmed
Abstract | Full paper (6 MB PDF)
2014-22 (January)
Demand for M2 at the Zero Lower Bound: The Recent U.S. Experience
Ruth Judson, Bernd Schlusche, and Vivian Wong
Abstract | Full paper (592 KB PDF)
2014-21 (March)
An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis
James O'Brien and Pawel J. Szerszen
Abstract | Full paper (2 MB PDF)
2014-20 (March)
The Effects of Bank Charter Switching on Supervisory Ratings
Marcelo Rezende
Abstract | Full paper (474 KB PDF)
2014-19 (February)
National Bank Examinations and Operations in the Early 1890s
Charles W. Calomiris and Mark Carlson
Abstract | Full paper (476 KB PDF) | Full paper (Screen Reader Version)
2014-18 (February)
Small Price Responses to Large Demand Shocks
Etienne Gagnon and David Lopez-Salido
Abstract | Full paper (438 KB PDF) | Full paper (Screen Reader Version)
2014-17 (February)
Finance and Productivity Growth: Firm-level Evidence
Oliver Levine and Missaka Warusawitharana
Abstract | Full paper (309 KB PDF) | Full paper (Screen Reader Version)
2014-16 (January)
Using Data on Seller Behavior to Forecast Short-run House Price Changes
Elliot Anenberg and Steven Laufer
Abstract | Full paper (761 KB PDF) | Full paper (Screen Reader Version)
2014-15 (February)
Banks as Patient Fixed Income Investors
Samuel G. Hanson, Andrei Shleifer, Jeremy C. Stein, and Robert W. Vishny
Abstract | Full paper (424 KB PDF) | Full paper (Screen Reader Version)
2014-14 (February)
The Interplay Between Student Loans and Credit Card Debt: Implications for Default in the Great Recession
Felicia Ionescu and Marius Ionescu
Abstract | Full paper (652 KB PDF) | Full paper (Screen Reader Version)
2014-13 (February)
How Well Did Social Security Mitigate the Effects of the Great Recession?
William B. Peterman and Kamila Sommer
Abstract | Full paper (497 KB PDF) | Full paper (Screen Reader Version)
2014-12 (January)
How the Federal Reserve's Large-Scale Asset Purchases (LSAPs) Influence Mortgage-Backed Securities (MBS) Yields and U.S. Mortgage Rates
Diana Hancock and Wayne Passmore
Abstract | Full paper (452 KB PDF) | Full paper (Screen Reader Version)
2014-11 (January)
The Interest Rate Elasticity of Mortgage Demand: Evidence From Bunching at the Conforming Loan Limit
Anthony A. DeFusco and Andrew Paciorek
Abstract | Full paper (1 MB PDF) | Full paper (Screen Reader Version)
2014-10 (January)
Peer-to-peer lending to small businesses
Traci L. Mach, Courtney M. Carter, and Cailin R. Slattery
Abstract | Full paper (453 KB PDF) | Full paper (Screen Reader Version)
2014-09 (December 2013)
Human Capital and Unemployment Dynamics: Why More Educated Workers Enjoy Greater Employment Stability
Isabel Cairo and Tomaz Cajner
Abstract | Full paper (824 KB PDF) | Full paper (Screen Reader Version)
2014-08 (January)
Corporate Governance and Risk Management at Unprotected Banks: National Banks in the 1890s
Charles W. Calomiris and Mark A. Carlson
Abstract | Full paper (1 MB PDF) | Full paper (Screen Reader Version)
2014-07 (December 2012)
Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs
Canlin Li and Min Wei
Abstract | Full paper (196 KB PDF) | Full paper (Screen Reader Version)
2014-06 (March)
The Credit Crunch and Fall in Employment during the Great Recession
Samuel Haltenhof, Seung Jung Lee, and Viktors Stebunovs
Abstract | Full paper (465 KB PDF) | Full paper (Screen Reader Version)
2014-05 (November 2013)
Idiosyncratic investment risk and business cycles
Jonathan E. Goldberg
Abstract | Full paper (553 KB PDF) | Full paper (Screen Reader Version)
2014-04 (December 2013)
The Surprisingly Swift Decline of U.S. Manufacturing Employment
Justin R. Pierce and Peter K. Schott
Abstract | Full paper (841 KB PDF) | Full paper (Screen Reader Version)
2014-03 (December 2013)
Monetary Policy and Real Borrowing Costs at the Zero Lower Bound
Simon Gilchrist, David Lopez-Salido, and Egon Zakrajsek
Abstract | Full paper (677 KB PDF) | Full paper (Screen Reader Version)
2014-02 (December 2013)
The insensitivity of investment to interest rates: Evidence from a survey of CFOs
Steve A. Sharpe and Gustavo A. Suarez
Abstract | Full paper (262 KB PDF) | Full paper (Screen Reader Version)
2014-01 (December 2013)
A Robust Capital Asset Pricing Model
Doriana Ruffino
Abstract | Full paper (221 KB PDF) | Full paper (Screen Reader Version)