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Federal Reserve Bank of Boston Quantitative Analysis Unit Research Paper Series
38,105 Total downloads | Link to this page

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Incl. Electronic Paper Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs
IESE Business School Working Paper No. 948
Stefano Corradin , Jose L. Fillat and Carles Vergara-Alert
European Central Bank (ECB) , Federal Reserve Banks - Federal Reserve Bank of Boston and IESE Business School
Date Posted: June 08, 2012
Working Paper Series
24 downloads

Incl. Electronic Paper Firms as Liquidity Providers: Evidence from the 2007-2008 Financial Crisis
Journal of Financial Economics (JFE), Forthcoming
 Emilia Garcia-Appendini and Judit Montoriol-Garriga
University of St. Gallen and Autonomous University of Barcelona - Department of Business Economics
Date Posted: March 17, 2012
Last Revised: October 17, 2012
Accepted Paper Series
166 downloads

Incl. Electronic Paper Evaluating the Impact of Fair Value Accounting on Financial Institutions: Implications for Accounting Standards Setting and Bank Supervision
FRB of Boston Working Paper No. QAU 12-01
 Sanders Shaffer
Federal Reserve Bank of Boston
Date Posted: February 24, 2012
Last Revised: February 27, 2012
Working Paper Series
485 downloads

Incl. Electronic Paper The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Triangular Systems, with Applications to Asset Pricing Models that Include a Mismeasured Factor
 Todd Prono
Commodity Futures Trading Commission
Date Posted: September 21, 2011
Last Revised: October 10, 2012
Working Paper Series
39 downloads

Incl. Electronic Paper Bank Organization, Market Structure and Risk-Taking: Evidence from U.S. Commercial Banks
 Martin Richard Goetz
Federal Reserve Bank of Boston
Date Posted: May 11, 2011
Last Revised: May 30, 2012
Working Paper Series
100 downloads

Incl. Electronic Paper Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs
46th Annual AREUEA Conference Paper
 Stefano Corradin , Jose L. Fillat and Carles Vergara-Alert
European Central Bank (ECB) , Federal Reserve Banks - Federal Reserve Bank of Boston and IESE Business School
Date Posted: December 01, 2010
Last Revised: February 15, 2012
Working Paper Series
17 downloads

Incl. Electronic Paper The Financial Sector and the Real Economy During the Financial Crisis: Evidence from the Commercial Paper Market
 Ethan Cohen-Cole , Judit Montoriol-Garriga , Gustavo Suarez and Jason Wu
University of Maryland - College Park , Autonomous University of Barcelona - Department of Business Economics , Federal Reserve Board and Board of Governors of the Federal Reserve System
Date Posted: November 21, 2010
Working Paper Series
364 downloads

Incl. Electronic Paper Liquidity Shocks, Local Banks, and Economic Activity: Evidence from the 2007-2009 Crisis
 Martin Richard Goetz and Juan Carlos Gozzi
Federal Reserve Bank of Boston and Board of Governors of the Federal Reserve
Date Posted: November 15, 2010
Working Paper Series
157 downloads

Incl. Electronic Paper Informational Easing: Improving Credit Conditions Through the Release of Information
Economic Policy Review, Vol. 16, No. 1, p. 77, August 2010
 Matt Pritsker
Federal Reserve Bank of Boston
Date Posted: September 17, 2010
Working Paper Series
18 downloads

Incl. Electronic Paper Your House or Your Credit Card, Which Would You Choose? Personal Delinquency Tradeoffs and Precautionary Liquidity Motives
 Ethan Cohen-Cole and Jonathan Morse
University of Maryland - College Park and Federal Reserve Banks - Federal Reserve Bank of Boston
Date Posted: June 03, 2010
Working Paper Series
86 downloads

Incl. Electronic Paper Household Reaction to the Financial Crisis: Scared or Scarred?
 Joe Peek
Federal Reserve Banks - Federal Reserve Bank of Boston
Date Posted: May 15, 2010
Working Paper Series
123 downloads

Incl. Electronic Paper How Effective Were the Federal Reserve Emergency Liquidity Facilities? Evidence from the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility
Journal of Finance, Forthcoming, FRB of Boston Quantitative Analysis Unit Working Paper No. 10-3
 Burcu Duygan-Bump , Patrick M. Parkinson , Eric S. Rosengren , Gustavo Suarez and Paul Willen
Federal Reserve Board , Government of the United States of America - Division of Research and Statistics , Federal Reserve Bank of Boston - Supervision and Regulation , Federal Reserve Board and Federal Reserve Bank of Boston - Research Department
Date Posted: May 02, 2010
Last Revised: February 22, 2012
Accepted Paper Series
241 downloads

Incl. Electronic Paper How Your Counterparty Matters: Using Transaction Networks to Explain Returns in CCP Marketplaces
 Ethan Cohen-Cole , Andrei A. Kirilenko and Eleonora Patacchini
University of Maryland - College Park , MIT Sloan School of Management and Università di Roma "La Sapienza"
Date Posted: April 30, 2010
Last Revised: January 31, 2012
Working Paper Series
325 downloads

Incl. Electronic Paper Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs
 Stefano Corradin , Jose L. Fillat and Carles Vergara-Alert
European Central Bank (ECB) , Federal Reserve Banks - Federal Reserve Bank of Boston and IESE Business School
Date Posted: March 17, 2010
Last Revised: February 15, 2012
Working Paper Series
48 downloads

Incl. Electronic Paper Risk, Returns, and Multinational Production
AFA 2011 Denver Meetings Paper
 Jose L. Fillat and Stefania Garetto
Federal Reserve Banks - Federal Reserve Bank of Boston and Boston University
Date Posted: March 17, 2010
Working Paper Series
95 downloads

Incl. Electronic Paper Why Did the Mortgage Crisis Lead to a Credit, Illiquidity and Capital Crisis? Key Factors Enabling Contagious-but-Confinable Risk of Mortgage Crisis to Spread to Entire Financial Market
 Serge L. Wind
New York University (NYU) - School of Continuing and Professional Studies (SCPS)
Date Posted: February 26, 2010
Last Revised: May 19, 2010
Working Paper Series
256 downloads

Incl. Electronic Paper Fair Value Accounting: Villain or Innocent Victim - Exploring the Links Between Fair Value Accounting, Bank Regulatory Capital and the Recent Financial Crisis
FRB of Boston Quantitative Analysis Unit Working Paper No. 10-01
 Sanders Shaffer
Federal Reserve Bank of Boston
Date Posted: February 02, 2010
Working Paper Series
915 downloads

Incl. Electronic Paper Factors Determining the Acceptance of Payment Methods by Online Shops in Poland
 Michal Polasik and Piotr Fiszeder
Nicolaus Copernicus University and Nicolaus Copernicus University
Date Posted: January 26, 2010
Last Revised: March 29, 2010
Working Paper Series
220 downloads

Incl. Electronic Paper Simple, GMM Estimation of the GARCH(1,1) Model
 Todd Prono
Commodity Futures Trading Commission
Date Posted: November 24, 2009
Last Revised: January 29, 2013
Working Paper Series
65 downloads

Incl. Electronic Paper Intellectual Capital and Value Creation in the Furniture Manufacturing Sector in Brazil
 Herbert Kimura , Leonardo Cruz Basso and João Francisco Aguiar
Mackenzie Presbiterian University , Mackenzie Presbiterian University - Business Administration and Mackenzie Presbyterian University
Date Posted: November 14, 2009
Working Paper Series
228 downloads

Incl. Electronic Paper Pricing of Cross-Currency Interest Rate Derivatives on Graphics Processing Units
 Duy Minh Dang
University of Waterloo, David R. Cheriton School of Computer Science
Date Posted: November 04, 2009
Last Revised: February 17, 2010
Working Paper Series
483 downloads

Incl. Electronic Paper Can Monetary Policy Fix a Broken Siv? Understanding the Response to the Crisis of 2007.
 Ethan Cohen-Cole
University of Maryland - College Park
Date Posted: September 06, 2009
Working Paper Series
195 downloads

Incl. Electronic Paper Identification and Correction of a Common Fundamental Error in General Annuity Calculations
 Mark Hill and Chris Deeley
affiliation not provided to SSRN and Charles Sturt University
Date Posted: August 24, 2009
Last Revised: August 24, 2011
Working Paper Series
52 downloads

Incl. Electronic Paper Optimal Investment Horizons for S&P CNX Nifty and Its Components
NSE Research Initiative Papers
 Pradeep Raje
affiliation not provided to SSRN
Date Posted: August 18, 2009
Working Paper Series
90 downloads

Incl. Electronic Paper Racial Discrimination and Competition
 Ross Levine , Alexey Levkov and Yona Rubinstein
UC Berkeley , Brown University - Department of Economics and Tel Aviv University - Eitan Berglas School of Economics
Date Posted: August 13, 2009
Working Paper Series
71 downloads

Risk Premium Factor Valuation Model for Calculating the Equity Market Risk Premium and Estimating S&P 500 Market Values
 Stephen D. Hassett
Hassett Advisors
Date Posted: August 10, 2009
Last Revised: June 10, 2011
Working Paper Series

Incl. Electronic Paper Social Influence and Bankruptcy: Why do so Many Leave so Much on the Table?
 Ethan Cohen-Cole and Burcu Duygan-Bump
University of Maryland - College Park and Federal Reserve Board
Date Posted: June 23, 2009
Last Revised: March 08, 2010
Working Paper Series
167 downloads

Incl. Electronic Paper On Break-Even Correlation: The Way to Price Structured Credit Derivatives by Replication
 Olivier Vigneron and Jean-David Fermanian
UBM and CREST
Date Posted: June 22, 2009
Working Paper Series
153 downloads

Incl. Electronic Paper Risk and Return in General: Theory and Evidence
 Eric G. Falkenstein
affiliation not provided to SSRN
Date Posted: June 18, 2009
Last Revised: November 22, 2011
Working Paper Series
5220 downloads

Incl. Electronic Paper A Study of Technical Efficiency of Banks in India
 Mihir Dash and Christabel Charles
Alliance University - School of Business and Independent
Date Posted: June 12, 2009
Working Paper Series
1243 downloads

Incl. Electronic Paper Big Bad Banks? The Winners and Losers from Bank Deregulation in the United States
Journal of Finance, Forthcoming
 Thorsten Beck , Ross Levine and Alexey Levkov
Tilburg University - European Banking Center, CentER , UC Berkeley and Brown University - Department of Economics
Date Posted: June 12, 2009
Last Revised: February 08, 2010
Accepted Paper Series
414 downloads

Incl. Electronic Paper Your House or Your Credit Card, Which Would You Choose? Personal Delinquency Tradeoffs and Precautionary Liquidity Motives
 Ethan Cohen-Cole and Jonathan Morse
University of Maryland - College Park and Federal Reserve Banks - Federal Reserve Bank of Boston
Date Posted: May 29, 2009
Last Revised: March 08, 2010
Working Paper Series
248 downloads

Incl. Electronic Paper Value-at-Risk Versus Non Value-at-Risk Traders
 Matjaz Steinbacher
University of Donja Gorica
Date Posted: March 26, 2009
Last Revised: September 09, 2009
Working Paper Series
100 downloads

Incl. Electronic Paper Optimal Portfoliio Choice with Predictability in House Prices and Transaction Costs
 Stefano Corradin , Jose L. Fillat and Carles Vergara-Alert
European Central Bank (ECB) , Federal Reserve Banks - Federal Reserve Bank of Boston and IESE Business School
Date Posted: March 23, 2009
Last Revised: December 14, 2011
Working Paper Series
49 downloads

Incl. Electronic Paper Market Proxies and Departures from Mean-Variance Efficiency: Still Living with the Roll Critique
 Todd Prono
Commodity Futures Trading Commission
Date Posted: March 21, 2009
Last Revised: November 09, 2011
Working Paper Series
77 downloads

Incl. Electronic Paper Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs
 Stefano Corradin , Jose L. Fillat and Carles Vergara-Alert
European Central Bank (ECB) , Federal Reserve Banks - Federal Reserve Bank of Boston and IESE Business School
Date Posted: February 14, 2009
Last Revised: November 20, 2009
Working Paper Series
81 downloads

Incl. Electronic Paper Forgive and Forget: Who Gets Credit after Bankruptcy and Why?
EFA 2009 Bergen Meetings Paper
 Ethan Cohen-Cole , Burcu Duygan-Bump and Judit Montoriol-Garriga
University of Maryland - College Park , Federal Reserve Board and Autonomous University of Barcelona - Department of Business Economics
Date Posted: February 12, 2009
Working Paper Series
217 downloads

Incl. Electronic Paper Are All Health Outcomes 'Contagious'? Detecting Implausible Social Network Effects in Acne, Height, and Headaches
 Ethan Cohen-Cole and Jason M. Fletcher
University of Maryland - College Park and Yale University - School of Public Health
Date Posted: January 28, 2009
Working Paper Series
165 downloads

Incl. Electronic Paper Risk and Default: Understanding Macro Drivers of Bankruptcy
 Ethan Cohen-Cole
University of Maryland - College Park
Date Posted: January 26, 2009
Last Revised: October 11, 2011
Working Paper Series
52 downloads

Incl. Electronic Paper The Spread of the Credit Crisis: View from a Stock Correlation Network
Journal of the Korean Physical Society, Vol. 54, No. 6, p. 2460-2463 (2009)
 Reginald Smith
Independent
Date Posted: January 10, 2009
Last Revised: June 09, 2009
Accepted Paper Series
445 downloads

Incl. Electronic Paper Cross-Sectional Asset Pricing Puzzles: A Long-Run Perspective
Third Singapore International Conference on Finance 2009, AFA 2010 Atlanta Meetings Paper
 Doron Avramov , Scott Cederburg and Satadru Hore
Hebrew University of Jerusalem , University of Arizona - Department of Finance and Federal Reserve Bank of Boston
Date Posted: December 12, 2008
Last Revised: November 29, 2011
Working Paper Series
357 downloads

Incl. Electronic Paper Implicit Diffusions
 Yann Lecam
Evry University
Date Posted: November 16, 2008
Last Revised: August 02, 2009
Working Paper Series
148 downloads

Incl. Electronic Paper Looking Behind the Aggregates: A Reply to 'Facts and Myths About the Financial Crisis of 2008'
FRB of Boston Quantitative Analysis Unit Working Paper No. 08-5
 Ethan Cohen-Cole , Burcu Duygan-Bump , Jose L. Fillat and Judit Montoriol-Garriga
University of Maryland - College Park , Federal Reserve Board , Federal Reserve Banks - Federal Reserve Bank of Boston and Autonomous University of Barcelona - Department of Business Economics
Date Posted: November 04, 2008
Last Revised: November 27, 2008
Working Paper Series
590 downloads

Incl. Electronic Paper Long-Term Financial Statements Forecasting: Reinvesting Retained Earnings
Cheremushkin, Sergei V. 2010. “Long-Term Financial Statements Forecasting. Reinvesting Retained Earnings,” The Valuation Journal, Vol. 5, No. 2. pp. 46-87.,
Sergei Vasilievich Cheremushkin
affiliation not provided to SSRN
Date Posted: October 19, 2008
Last Revised: August 13, 2012
Accepted Paper Series
1480 downloads

Incl. Electronic Paper GARCH-Based Identification and Estimation of Triangular Systems
FRB of Boston Quantitative Analysis Unit Working
 Todd Prono
Commodity Futures Trading Commission
Date Posted: September 05, 2008
Last Revised: May 22, 2011
Working Paper Series
48 downloads

Pricing Inflation Indexed Derivatives: A Reinterpretation of the Jarrow-Yildirim model
 Paul Canty and Alessandro Paolo Luigi Cipollini
Deutsche Bank AG (London) and Deutsche Bank, Fixed Income Research
Date Posted: July 30, 2008
Last Revised: September 01, 2009
Working Paper Series

Incl. Electronic Paper Manipulation-Proof Performance Evaluation of Brazilian Fixed Income and Multimarket Funds
 Jose Renato Haas Ornelas , Aquiles Farias and Antonio F. A. Silva Jr. Jr.
Central Bank of Brazil , Government of the Federative Republic of Brazil - Central Bank of Brazil and Government of the Federative Republic of Brazil - Central Bank of Brazil
Date Posted: July 23, 2008
Working Paper Series
147 downloads

Incl. Electronic Paper Disclosure Quality, Cost of Capital, and Investors' Welfare
Chicago GSB Research Paper No. 08-06 , Accounting Review, Forthcoming
 Pingyang Gao
University of Chicago - Booth School of Business
Date Posted: July 07, 2008
Last Revised: September 10, 2009
Working Paper Series
1316 downloads

Incl. Electronic Paper Currency Hedging Programs: A Long-Term Perspective
Brandes Institute Research Paper No. 2007-02
 Brandes Institute
Brandes Investment Partners
Date Posted: June 20, 2008
Last Revised: September 01, 2009
Working Paper Series
477 downloads

Incl. Electronic Paper Household Debt Repayment Behaviour: What Role Do Institutions Play?
FRB of Boston Quantitative Analysis Unit Working Paper No. 08-3
 Burcu Duygan-Bump and Charles Grant
Federal Reserve Board and University of Reading
Date Posted: May 19, 2008
Last Revised: May 23, 2008
Working Paper Series
112 downloads


 

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