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

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1.

Reach for Yield by U.S. Public Pension Funds

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 19-2
Number of pages: 68 Posted: 17 Jul 2019
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston, Federal Reserve Banks - Federal Reserve Bank of Boston, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of Boston and Federal Reserve Banks - Federal Reserve Bank of Boston

Multiple version iconThere are 2 versions of this paper

Downloads 134
2.

Variable Annuities: Underlying Risks and Sensitivities

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 19-1
Number of pages: 41 Posted: 17 Jul 2019
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 23
3.

The Shift from Active to Passive Investing: Potential Risks to Financial Stability?

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 18-4
Number of pages: 30 Posted: 24 Jan 2019 Last Revised: 21 Feb 2019
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Multiple version iconThere are 3 versions of this paper

Downloads 384
4.

Monetary Policy Divergence and Net Capital Flows: Accounting for Endogenous Policy Responses

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 18-5
Number of pages: 36 Posted: 24 Jan 2019 Last Revised: 21 Feb 2019
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 27
5.

Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 18-2
Number of pages: 57 Posted: 24 Jan 2019 Last Revised: 21 Feb 2019
Working Paper Series
Capital University of Economics and Business, Texas A&M University and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 19
6.

Optimal Delegation Under Unknown Bias: The Role of Concavity

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 18-1
Number of pages: 72 Posted: 24 Jan 2019 Last Revised: 21 Feb 2019
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 9
7.

Bad Sovereign or Bad Balance Sheets? Euro Interbank Market Fragmentation and Monetary Policy, 2011-2015

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 18-3
Number of pages: 49 Posted: 24 Jan 2019 Last Revised: 21 Feb 2019
Working Paper Series
Banque de France and Federal Reserve Banks - Federal Reserve Bank of Boston

Multiple version iconThere are 2 versions of this paper

Downloads 5
8.

Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 17-4
Number of pages: 58 Posted: 08 Nov 2017
Working Paper Series
Federal Reserve Bank of Boston
Downloads 36
9.

Simultaneous Spatial Panel Data Models with Common Shocks

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 17-3
Number of pages: 76 Posted: 08 Nov 2017
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 25
10.

The Intersection of U.S. Money Market Mutual Fund Reforms, Bank Liquidity Requirements, and the Federal Home Loan Bank System

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 17-5
Number of pages: 22 Posted: 08 Nov 2017
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston and Federal Reserve Bank of New York
Downloads 16
11.

International Financial Spillovers to Emerging Market Economies: How Important are Economic Fundamentals?

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 17-2
Number of pages: 42 Posted: 07 Sep 2017
Working Paper Series
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System - Division of International Finance (IFDP) and Federal Reserve Banks - Federal Reserve Bank of Boston

Multiple version iconThere are 2 versions of this paper

Downloads 40
12.

Estimating Loss Given Default from CDS Under Weak Identification

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 17-1
Number of pages: 49 Posted: 07 Sep 2017
Working Paper Series
Duke University
Downloads 32
13.

Liquidity Shocks, Dollar Funding Costs, and the Bank Lending Channel During the European Sovereign Crisis

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 16-4
Number of pages: 62 Posted: 07 Sep 2017
Working Paper Series
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of Boston

Multiple version iconThere are 3 versions of this paper

Downloads 116
14.

Cross-Sectional Factor Dynamics and Momentum Returns

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 15-2
Number of pages: 59 Posted: 07 Sep 2017
Working Paper Series
Interdisciplinary Center (IDC) Herzliyah and Federal Reserve Bank of Boston

Multiple version iconThere are 2 versions of this paper

Downloads 94
15.

Offshoring, Low-Skilled Immigration, and Labor Market Polarization

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 16-3
Number of pages: 43 Posted: 07 Sep 2017
Working Paper Series
Federal Reserve Bank of Atlanta and Federal Reserve Banks - Federal Reserve Bank of Boston

Multiple version iconThere are 2 versions of this paper

Downloads 80
16.

Offshore Production and Business Cycle Dynamics with Heterogeneous Firms

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 16-1
Number of pages: 43 Posted: 07 Sep 2017
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 19
17.

Macroprudential Policy: Case Study from a Tabletop Exercise

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 15-1
Number of pages: 42 Posted: 07 Sep 2017
Working Paper Series
International Monetary Fund, Federal Reserve Bank of Boston - Supervision and Regulation, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of Boston

Multiple version iconThere are 2 versions of this paper

Downloads 18
18.

Opacity and Disclosure in Short-Term Wholesale Funding Markets

FRB Boston Risk and Policy Analysis Unit Paper No. RPA 16-2
Number of pages: 18 Posted: 07 Sep 2017
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 4
19.

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 843
20.

Bank Diversification, Market Structure and Bank Risk Taking: Theory and Evidence from U.S. Commercial Banks

FRB of Boston Risk and Policy Analysis Unit Working Paper No. 12-2
Number of pages: 58 Posted: 28 Aug 2015
Working Paper Series
Leibniz Institute for Financial Research SAFE
Downloads 124
21.

Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs

IESE Business School Working Paper No. 948
Number of pages: 96 Posted: 08 Jun 2012
Working Paper Series
European Central Bank (ECB), Federal Reserve Banks - Federal Reserve Bank of Boston and University of Navarra - IESE Business School

Multiple version iconThere are 4 versions of this paper

Downloads 60
22.

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 481
23.

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 937
24.

The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Triangular Systems, with Applications to Asset Pricing Models that Include a Mismeasured Factor

Journal of Applied Econometrics, Volume 29, August 2014, pp. 800-824
Number of pages: 48 Posted: 21 Sep 2011 Last Revised: 03 Jun 2015
Accepted Paper Series
Federal Reserve Board
Downloads 84
25.

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
Leibniz Institute for Financial Research SAFE
Downloads 184
26.

Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs

46th Annual AREUEA Conference Paper
Number of pages: 95 Posted: 01 Dec 2010 Last Revised: 15 Feb 2012
Working Paper Series
European Central Bank (ECB), Federal Reserve Banks - Federal Reserve Bank of Boston and University of Navarra - IESE Business School

Multiple version iconThere are 4 versions of this paper

Downloads 27
27.

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 Hong Kong Monetary Authority
Downloads 417
28.

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

Number of pages: 66 Posted: 15 Nov 2010
Working Paper Series
Leibniz Institute for Financial Research SAFE and Board of Governors of the Federal Reserve
Downloads 751
29.

Informational Easing: Improving Credit Conditions Through the Release of Information

Economic Policy Review, Vol. 16, No. 1, p. 77, August 2010
Number of pages: 11 Posted: 17 Sep 2010
Working Paper Series
Federal Reserve Bank of Boston
Downloads 39
30.
Downloads 194
31.

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 179
32.

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 391
33.

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, University of Cambridge - Finance and Einaudi Institute for Economics and Finance (EIEF)
Downloads 426
34.

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 174
35.

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 1,521
36.

Simple Estimators for the GARCH(1,1) Model

Number of pages: 52 Posted: 24 Nov 2009 Last Revised: 09 Sep 2014
Working Paper Series
Federal Reserve Board
Downloads 146
37.

Racial Discrimination and Competition

Number of pages: 58 Posted: 13 Aug 2009
Working Paper Series
University of California, Berkeley - Haas School of Business, Brown University - Department of Economics and Tel Aviv University - Eitan Berglas School of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 105
38.

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 225
39.

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, University of California, Berkeley - Haas School of Business and Brown University - Department of Economics
Downloads 811
40.

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 308
41.

Optimal Portfoliio Choice with Predictability in House Prices and Transaction Costs

Number of pages: 91 Posted: 23 Mar 2009 Last Revised: 14 Dec 2011
Working Paper Series
European Central Bank (ECB), Federal Reserve Banks - Federal Reserve Bank of Boston and University of Navarra - IESE Business School
Downloads 61
42.

Market Proxies as Factors in Linear Asset Pricing Models: Still Living with the Roll Critique

Journal of Empirical Finance 31 (2015), 36-53., FRB of Boston Quantitative Analysis Unit Working Paper No. 09-3
Number of pages: 39 Posted: 21 Mar 2009 Last Revised: 18 Aug 2015
Accepted Paper Series
Federal Reserve Board
Downloads 136
43.

Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs

Number of pages: 36 Posted: 14 Feb 2009 Last Revised: 20 Nov 2009
Working Paper Series
European Central Bank (ECB), Federal Reserve Banks - Federal Reserve Bank of Boston and University of Navarra - IESE Business School

Multiple version iconThere are 4 versions of this paper

Downloads 97
44.

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 342
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 204
46.

Risk and Default: Understanding Macro Drivers of Bankruptcy

Number of pages: 33 Posted: 26 Jan 2009 Last Revised: 11 Oct 2011
Working Paper Series
Econ One Research
Downloads 107
47.

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
Interdisciplinary Center (IDC) Herzliyah, University of Arizona - Department of Finance and Federal Reserve Bank of Boston
Downloads 551
48.

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 751
49.

Can the Performance of Structural Corporate Bond Models Be Improved?

Number of pages: 51 Posted: 21 Sep 2008 Last Revised: 11 Sep 2015
Working Paper Series
Monash University
Downloads 154
50.

GARCH-Based Identification and Estimation of Triangular Systems

FRB of Boston Quantitative Analysis Unit Working
Number of pages: 19 Posted: 05 Sep 2008 Last Revised: 22 May 2011
Working Paper Series
Federal Reserve Board
Downloads 66