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

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Viewing: 1 - 50 of 89 papers

1.

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 47
2.

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 8
3.

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 6
4.

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 3
5.

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 3
6.

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 26
7.

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 18
8.

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 11
9.

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 30
10.

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 25
11.

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 81
12.

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 80
13.

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 54
14.

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 13
15.

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 11
16.

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 2
17.

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 838
18.

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
Goethe University Frankfurt - Research Center SAFE
Downloads 102
19.

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 56
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 468
21.

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 905
22.

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 77
23.

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 183
24.

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 25
25.

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 409
26.

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 Board of Governors of the Federal Reserve
Downloads 723
27.

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 37
28.
Downloads 189
29.

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 175
30.

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 381
31.

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 Einaudi Institute for Economics and Finance (EIEF)
Downloads 415
32.

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 169
33.

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 1,446
34.

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 142
35.

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 99
36.

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 217
37.

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 695
38.

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 300
39.

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 59
40.

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 122
41.

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 93
42.

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 318
43.

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 196
44.

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 103
45.

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 543
46.

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 740
47.

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 150
48.

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 62
49.

Household Debt Repayment Behaviour: What Role Do Institutions Play?

FRB of Boston Quantitative Analysis Unit Working Paper No. 08-3
Number of pages: 36 Posted: 19 May 2008 Last Revised: 23 May 2008
Working Paper Series
Federal Reserve Board and University of Reading

Multiple version iconThere are 2 versions of this paper

Downloads 154
50.

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 232