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Federal Reserve Bank of Boston Risk & Policy Analysis Unit Research Paper Series

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1.

Using Loss Data to Quantify Operational Risk

Number of pages: 32 Posted: 29 Apr 2003
Working Paper Series
Federal Reserve Bank of Boston - Supervision and Regulation, Genentech, Inc., FitchRisk and Federal Reserve Bank of Boston - Supervision and Regulation
Downloads 4,684
2.

Implications of Alternative Operational Risk Modeling Techniques

Number of pages: 45 Posted: 20 Jun 2004
Working Paper Series
Federal Reserve Bank of Boston - Supervision and Regulation, Federal Reserve Bank of Boston - Supervision and Regulation and FitchRisk

Multiple version iconThere are 2 versions of this paper

Downloads 3,208
3.

Measuring Reputational Risk: The Market Reaction to Operational Loss Announcements

Number of pages: 34 Posted: 05 Dec 2005
Working Paper Series
affiliation not provided to SSRN and Federal Reserve Bank of Boston - Supervision and Regulation
Downloads 2,282
4.

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
Number of pages: 26 Posted: 02 Feb 2010
Working Paper Series
Federal Reserve Bank of Boston
Downloads 1,372
5.

The Impacts of Securitization on US Bank Holding Companies

Number of pages: 58 Posted: 06 Mar 2008
Working Paper Series
U.S. Federal Deposit Insurance Corporation (FDIC) and Federal Reserve Bank of Boston
Downloads 1,343
6.

A Rational Expectations Model of Financial Contagion

Board of Governors of the Federal Reserve Finance and Economics Discussion Series 98-48
Number of pages: 57 Posted: 26 Feb 1999
Working Paper Series
International Monetary Fund (IMF) - Research Department and Federal Reserve Bank of Boston

Multiple version iconThere are 2 versions of this paper

Downloads 1,160
7.

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
Number of pages: 60 Posted: 24 Feb 2012 Last Revised: 27 Feb 2012
Working Paper Series
Federal Reserve Bank of Boston
Downloads 853
8.

Derivatives Activity at Troubled Banks

96-52
Number of pages: 39 Posted: 07 Oct 2015
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston and Federal Reserve Bank of Boston - Supervision and Regulation
Downloads 829
9.

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
Number of pages: 15 Posted: 04 Nov 2008 Last Revised: 27 Nov 2008
Working Paper Series
Econ One Research, Federal Reserve Board, Federal Reserve Banks - Federal Reserve Bank of Boston and La Caixa
Downloads 713
10.

Capital and Risk: New Evidence on Implications of Large Operational Losses

FRB of Boston Working Paper No. 03-5
Number of pages: 31 Posted: 13 Jan 2005
Working Paper Series
Federal Reserve Bank of Boston - Supervision and Regulation, Genentech, Inc., FitchRisk and Federal Reserve Bank of Boston - Supervision and Regulation
Downloads 684
11.

The Hidden Dangers of Historical Simulation

FEDS Discussion Paper No. 2001-27
Number of pages: 62 Posted: 02 Oct 2001
Working Paper Series
Federal Reserve Bank of Boston
Downloads 667
12.

Liquidity Shocks, Local Banks, and Economic Activity: Evidence from the 2007-2009 Crisis

Number of pages: 66 Posted: 15 Nov 2010
Working Paper Series
Goethe University Frankfurt - Research Center SAFE and University of Warwick - Department of Economics
Downloads 659
13.

Big Bad Banks? The Winners and Losers from Bank Deregulation in the United States

Journal of Finance, Forthcoming
Number of pages: 47 Posted: 12 Jun 2009 Last Revised: 08 Feb 2010
Accepted Paper Series
City University London - Sir John Cass Business School, UC Berkeley and Brown University - Department of Economics
Downloads 646
14.

Momentum, Information Uncertainty, and Leverage - An Explanation Based on Recursive Preferences

EFA 2008 Athens Meetings Paper, AFA 2009 San Francisco Meetings Paper
Number of pages: 45 Posted: 05 Mar 2008 Last Revised: 14 Dec 2008
Working Paper Series
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Federal Reserve Bank of Boston
Downloads 596
15.

Improving Grid-Based Methods for Estimating Value at Risk of Fixed-Income Portfolios

Board of Governors of the Federal Reserve System, Finance and Economics Working Paper No. 25, 2000
Number of pages: 30 Posted: 02 Oct 2001
Working Paper Series
Federal Reserve Board and Federal Reserve Bank of Boston
Downloads 539
16.

Cross-Sectional Asset Pricing Puzzles: A Long-Run Perspective

Third Singapore International Conference on Finance 2009, AFA 2010 Atlanta Meetings Paper
Number of pages: 71 Posted: 12 Dec 2008 Last Revised: 29 Nov 2011
Working Paper Series
Hebrew University of Jerusalem - Jerusalem School of Business Administration, University of Arizona - Department of Finance and Federal Reserve Bank of Boston
Downloads 517
17.

The International Transmission of Financial Shocks: The Case of Japan

American Economic Review, Vol 87, No 4, September 1997
Number of pages: 37 Posted: 03 Jun 1997
Accepted Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston and Federal Reserve Bank of Boston - Supervision and Regulation
Downloads 517
18.

Relationship Lending: Does the Number of Banks Matter? Evidence from Us

EFA 2005 Moscow Meetings Paper
Number of pages: 28 Posted: 06 Jul 2005
Working Paper Series
La Caixa
Downloads 429
19.

Identifying the Macroeconomic Effect of Loan Supply Shocks

Number of pages: 32 Posted: 24 Jul 2000
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston, Federal Reserve Bank of Boston - Supervision and Regulation and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 423
20.

Firms as Liquidity Providers: Evidence from the 2007-2008 Financial Crisis

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 50 Posted: 17 Mar 2012 Last Revised: 29 May 2013
Accepted Paper Series
University of Zurich - Department of Banking and Finance and La Caixa
Downloads 421
21.

Is Banking Supervision Central to Central Banking?

Federal Reserve Bank of Boston 97-3
Number of pages: 36 Posted: 06 Apr 1998
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston, Federal Reserve Bank of Boston - Supervision and Regulation and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 418
22.

The Financial Sector and the Real Economy During the Financial Crisis: Evidence from the Commercial Paper Market

Number of pages: 33 Posted: 21 Nov 2010
Working Paper Series
Econ One Research, La Caixa, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 408
23.

How Your Counterparty Matters: Using Transaction Networks to Explain Returns in CCP Marketplaces

Number of pages: 47 Posted: 30 Apr 2010 Last Revised: 31 Jan 2012
Working Paper Series
Econ One Research, Imperial College London - Centre for Global Finance and Technology and Università di Roma "La Sapienza"
Downloads 405
24.

Credit Card Redlining

FRB of Boston Quantitative Analysis Unit Working Paper No. QAU08-1
Number of pages: 30 Posted: 04 Mar 2008 Last Revised: 29 Jun 2009
Working Paper Series
Econ One Research
Downloads 393
25.

Is Obesity Contagious? Social Networks vs. Environmental Factors in the Obesity Epidemic

FRB of Boston Quantitative Analysis Unit Working Paper No. QAU08-2, Journal of Health Economics, Forthcoming
Number of pages: 13 Posted: 27 Feb 2008
Working Paper Series
Econ One Research and University of Wisconsin - Madison - Robert M. La Follette School of Public Affairs
Downloads 388
26.

Information Diffusion Based Explanations of Asset Pricing Anomalies

FRB of Boston Quantitative Analysis Unit Working Paper No. QAU07-6
Number of pages: 37 Posted: 11 Sep 2007
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Richmond and RWC Asset Management
Downloads 380
27.

Collateral Damage: Effects of the Japanese Real Estate Collapse on Credit Availability and Real Activity in the United States

Federal Reserve Bank of Boston WP No. 97-5
Number of pages: 45 Posted: 02 May 1998
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston and Federal Reserve Bank of Boston - Supervision and Regulation
Downloads 375
28.

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
Number of pages: 59 Posted: 02 May 2010 Last Revised: 22 Feb 2012
Accepted Paper Series
Federal Reserve Board, Government of the United States of America - Division of Research and Statistics, Federal Reserve Bank of Boston - Supervision and Regulation, Board of Governors of the Federal Reserve System and Federal Reserve Bank of Boston - Research Department
Downloads 364
29.

Asymmetric Information and Liquidity Constraints: A New Test

FDIC Center for Financial Research Working Paper No. 2005-02
Number of pages: 47 Posted: 17 Dec 2004
Working Paper Series
SUNY at Stony Brook University - College of Business and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 351
30.

A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance

FEDs Series No. 2006-12
Number of pages: 68 Posted: 25 Feb 2005
Working Paper Series
Federal Reserve Bank of Boston
Downloads 334
31.

How Does Bribery Affect Public Service Delivery? Micro-Evidence from Service Users and Public Officials in Peru

Number of pages: 39 Posted: 27 Jan 2006
Working Paper Series
Natural Resource Governance Institute (NRGI), La Caixa and World Bank - Global Governance Group

Multiple version iconThere are 2 versions of this paper

Downloads 303
32.

Capital Constraints, Asymmetric Information, and Internal Capital Markets in Banking: New Evidence

EFA 2007 Ljubljana Meetings Paper
Number of pages: 45 Posted: 17 Mar 2006
Working Paper Series
SUNY at Stony Brook University - College of Business and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 292
33.

Your House or Your Credit Card, Which Would You Choose? Personal Delinquency Tradeoffs and Precautionary Liquidity Motives

Number of pages: 43 Posted: 29 May 2009 Last Revised: 08 Mar 2010
Working Paper Series
Econ One Research and Federal Reserve Banks - Federal Reserve Bank of Boston

Multiple version iconThere are 2 versions of this paper

Downloads 291
34.

Large Investors: Implications for Equilibrium Asset, Returns, Shock Absorption, and Liquidity

FEDS Working Paper No. 2005-36
Number of pages: 74 Posted: 20 Oct 2005
Working Paper Series
Federal Reserve Bank of Boston
Downloads 290
35.

Forgive and Forget: Who Gets Credit after Bankruptcy and Why?

EFA 2009 Bergen Meetings Paper
Number of pages: 37 Posted: 12 Feb 2009
Working Paper Series
Econ One Research, Federal Reserve Board and La Caixa
Downloads 286
36.

Model Uncertainty and the Deterrent Effect of Capital Punishment

Columbia Public Law Research Paper No. 07-138, FRB of Boston Quantitative Analysis Unit Working Paper
Number of pages: 41 Posted: 06 Apr 2007
Working Paper Series
Econ One Research, University of Chicago, Columbia Law School and Carnegie Mellon University - H. John Heinz III School of Public Policy and Management

Multiple version iconThere are 2 versions of this paper

Downloads 258
37.

The Behavior of Bid-Ask Spreads and Volume in Options Markets During the Competition for Listings in 1999

AFA 2003 Washington, DC Meetings
Number of pages: 38 Posted: 27 Dec 2002
Working Paper Series
Federal Reserve Bank of Boston - Supervision and Regulation, University of Richmond - E. Claiborne Robins School of Business and American University
Downloads 258
38.

Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models

Finance and Economics Discussion Series 97-26
Number of pages: 49 Posted: 26 Nov 1997
Working Paper Series
Federal Reserve Bank of Boston
Downloads 257
39.

The Repercussions on Small Banks and Small Businesses of Procyclical Bank Capital and Countercyclical Loan Guarantees

AFA 2008 New Orleans Meetings Paper
Number of pages: 45 Posted: 17 Mar 2007
Working Paper Series
Federal Reserve Board - Division of Research and Statistics, Federal Reserve Banks - Federal Reserve Bank of Boston and University of California, Berkeley - Economic Analysis & Policy Group
Downloads 238
40.

Housing as a Measure for Long-Run Risk in Asset Pricing

AFA 2009 San Francisco Meetings Paper
Number of pages: 58 Posted: 09 Mar 2008 Last Revised: 07 May 2015
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 228
41.

Will Legislated Early Intervention Prevent the Next Banking Crisis?

Number of pages: 23 Posted: 05 Oct 1997 Last Revised: 07 Oct 2015
Working Paper Series
Federal Reserve Bank of Boston - Supervision and Regulation and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 218
42.

Comovement after Joining an Index: Spillovers of Nonfundamental Effects

Number of pages: 49 Posted: 17 Jun 2004
Working Paper Series
Pennsylvania State University, Korea University and Federal Reserve Banks - Federal Reserve Bank of Boston

Multiple version iconThere are 2 versions of this paper

Downloads 217
43.

Social Influence and Bankruptcy: Why do so Many Leave so Much on the Table?

Number of pages: 36 Posted: 23 Jun 2009 Last Revised: 08 Mar 2010
Working Paper Series
Econ One Research and Federal Reserve Board
Downloads 210
44.

Corporate Affiliations and the (Mis)Allocation of Credit

Number of pages: 46 Posted: 27 Oct 2002
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston and Federal Reserve Bank of Boston - Supervision and Regulation
Downloads 205
45.

Are All Health Outcomes 'Contagious'? Detecting Implausible Social Network Effects in Acne, Height, and Headaches

Number of pages: 23 Posted: 28 Jan 2009
Working Paper Series
Econ One Research and University of Wisconsin - Madison - Robert M. La Follette School of Public Affairs
Downloads 186
46.

Bank Organization, Market Structure and Risk-Taking: Evidence from U.S. Commercial Banks

Number of pages: 46 Posted: 11 May 2011 Last Revised: 30 May 2012
Working Paper Series
Goethe University Frankfurt - Research Center SAFE
Downloads 177
47.
Downloads 172
48.

Household Reaction to the Financial Crisis: Scared or Scarred?

Number of pages: 46 Posted: 15 May 2010
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 171
49.

Risk, Returns, and Multinational Production

AFA 2011 Denver Meetings Paper
Number of pages: 49 Posted: 17 Mar 2010
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston and Boston University
Downloads 165
50.

Multiple Groups Identification in the Linear-in-Means Model

Economics Letters, 2006
Number of pages: 6 Posted: 03 Aug 2006
Accepted Paper Series
Econ One Research
Downloads 150