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Board of Governors of the Federal Reserve System Research Series

Board of Governors: Finance & Economics Discussion Series (Topic)

Board of Governors: International Finance Discussion Papers (Topic)

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Viewing: 1 - 50 of 1,864 papers

1.

A Comparative Anatomy of Credit Risk Models

Journal of Banking and Finance, Vol. 24, No. 1/2, 2000, Board of Governors of the Federal Reserve System FEDS Paper No. 98-47
Number of pages: 29 Posted: 03 Mar 1999 Last Revised: 30 Jan 2011
Accepted Paper Series
Board of Governors of the Federal Reserve
Downloads 7,846
2.

Capital Structure and Firm Performance: A New Approach to Testing Agency Theory and an Application to the Banking Industry

FEDS Working Paper No. 2002-54
Number of pages: 39 Posted: 26 Jun 2003
Working Paper Series
University of South Carolina - Darla Moore School of Business and Bank of Italy
Downloads 5,301
3.

Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

Journal of Finance, 69, pp. 2045-2084., FRB International Finance Discussion Paper No. 980
Number of pages: 42 Posted: 06 Nov 2009 Last Revised: 18 Mar 2015
Accepted Paper Series
Federal Reserve Board - Division of International Finance, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System
Downloads 3,627
4.

A Coherent Framework for Stress-Testing

FEDS Working Paper No. 99-29
Number of pages: 14 Posted: 04 Jan 2000
Working Paper Series
University of Houston - Department of Finance
Downloads 2,873
5.

New Keynesian, Open-Economy Models and Their Implications for Monetary Policy

FRB International Finance Discussion Paper No. 762
Number of pages: 41 Posted: 28 Apr 2003
Working Paper Series
Board of Governors of the Federal Reserve and Board of Governors of the Federal Reserve System
Downloads 2,690
6.

Credit Scoring and the Availability, Price, and Risk of Small Business Credit

FRB of Atlanta Working Paper No. 2002-6, FEDS Working Paper No. 2002-26
Number of pages: 39 Posted: 23 Jun 2002
Working Paper Series
University of South Carolina - Darla Moore School of Business, Federal Reserve Bank of Atlanta and Georgetown University - Robert Emmett McDonough School of Business
Downloads 2,682
7.

Bank Risk Rating of Business Loan

Board of Governors of the Federal Reserve System FEDS Paper No. 98-51
Number of pages: 47 Posted: 03 Mar 1999
Working Paper Series
Government of the United States of America - Division of Monetary Affairs and Board of Governors of the Federal Reserve System
Downloads 2,672
8.

Is Corporate Governance Ineffective in Emerging Markets?

Federal Reserve Board FEDS Working Paper No. 99-63; Tuck-JQFA Contemporary Corporate Governance Issues II Conference
Number of pages: 42 Posted: 17 Apr 2000
Working Paper Series
Federal Reserve Board
Downloads 2,495
9.

Understanding the Risk of Synthetic CDOs

FEDS Working Paper No. 2004-36
Number of pages: 29 Posted: 28 Sep 2004
Working Paper Series
Federal Reserve Board
Downloads 2,325
10.

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 25 Jan 2005 Last Revised: 13 Mar 2009
Accepted Paper Series
Duke University - Finance, Federal Reserve Board and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,293
11.

The Implications of Risk Management Information Systems for the Organization of Financial Firms

International Finance Discussion Paper No. 632
Number of pages: 18 Posted: 16 Feb 1999
Working Paper Series
Federal Reserve Board
Downloads 2,200
12.

Credit Derivatives and Risk Management

FEDS Working Paper No. 2007-47
Number of pages: 23 Posted: 29 Nov 2007
Working Paper Series
Federal Reserve Board
Downloads 2,107
13.

Do Indicators of Financial Crises Work? An Evaluation of an Early Warning System

FRB International Finance Discussion Paper No. 675
Number of pages: 76 Posted: 10 Jan 2001
Working Paper Series
International Monetary Fund (IMF) - Research Department
Downloads 2,013
14.

Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms

FEDS Discussion Paper No. 2005-63, Review of Financial Studies, Forthcoming, BIS Working Paper No. 181
Number of pages: 43 Posted: 20 Sep 2007 Last Revised: 18 Oct 2013
Working Paper Series
UBS AG, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 1,799
15.

Corporate Share Repurchases in the 1990s: What Role Do Stock Options Play?

AFA 2002 Atlanta Meetings; FEDS Working Paper No. 2000-29
Number of pages: 43 Posted: 17 Aug 2000
Working Paper Series
University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,779
16.

Currency Hedging and Corporate Governance: A Cross-Country Analysis

FEDS Discussion Paper No. 858, Indiana University Working Paper
Number of pages: 47 Posted: 28 May 2003 Last Revised: 25 Aug 2015
Working Paper Series
University of Georgia - Department of Banking and Finance
Downloads 1,749
17.

Small Business Credit Availability and Relationship Lending: The Importance of Bank Organisational Structure

FEDS Working Paper No. 2001-36
Number of pages: 36 Posted: 04 Oct 2001
Working Paper Series
University of South Carolina - Darla Moore School of Business and Indiana University - Kelley School of Business - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,692
18.

Stock Prices, Expected Returns, and Inflation

FEDS Working Paper No. 99-2
Number of pages: 46 Posted: 17 Apr 1999
Working Paper Series
Federal Reserve Board - Research & Statistics
Downloads 1,665
19.

Parameterizing Credit Risk Models with Rating Data

FEDS Working Paper No. 2000-47
Number of pages: 93 Posted: 25 Jan 2001
Working Paper Series
Advertising.com and Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - International Banking Section

Multiple version iconThere are 2 versions of this paper

Downloads 1,648
20.

The Dynamics of Market Entry: The Effects of Mergers and Acquisitions on Entry in the Banking Industry

AFA 2001 New Orleans; FEDS Working Paper No. 99-41
Number of pages: 45 Posted: 08 Dec 1999
Working Paper Series
University of South Carolina - Darla Moore School of Business, PepsiCo, University of Miami - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business, Department of Economics
Downloads 1,625
21.

The Current International Financial Crisis: How Much Is New?

Board of Governors of the Federal Reserve System International Finance Working Paper No. 636
Number of pages: 21 Posted: 13 Sep 1999
Working Paper Series
U.S. Board of Governors of the Federal Reserve - Division of International Finance (IFDP)
Downloads 1,563
22.

Testing Conflicts of Interest at Bond Rating Agencies with Market Anticipation: Evidence that Reputation Incentives Dominate

FEDS Working Paper No. 2003-68
Number of pages: 37 Posted: 05 Mar 2004
Working Paper Series
Federal Reserve Board - Division of Research & Statistics and Federal Reserve Board - Division of Research & Statistics
Downloads 1,543
23.

'Big Bang' Deregulation and Japanese Corporate Governance: A Survey of the Issues

FRB International Finance Discussion Paper No. 624
Number of pages: 35 Posted: 16 Oct 1998
Working Paper Series
Federal Reserve Board
Downloads 1,452
24.

Preventing Deflation: Lessons from Japan's Experience in the 1990s

FRB International Finance Discussion Paper No. 729
Number of pages: 64 Posted: 21 Jul 2003
Working Paper Series
National University of Ireland, Galway (NUIG) - Department of Economics, Peterson Institute, Board of Governors of the Federal Reserve System, U.S. Board of Governors of the Federal Reserve - Division of International Finance (IFDP), Federal Reserve Board - Trade and Quantitative Studies, Board of Governors of the Federal Reserve - Division of International Finance, Federal Reserve Board - Trade and Financial Studies, Federal Reserve Board - Division of Monetary Affairs, Board of Governors of the Federal Reserve System - Trade and Financial Studies Section, Federal Reserve Board and Johns Hopkins University - Department of Economics
Downloads 1,398
25.

Consumer Sentiment and the Stock Market

FEDS Working Paper No. 99-60
Number of pages: 20 Posted: 21 May 2000
Working Paper Series
Board of Governors of the Federal Reserve - Industrial Output Section
Downloads 1,379
26.

The Integration of the Financial Services Industry: Where are the Efficiencies?

FEDS Paper No. 2000-36
Number of pages: 39 Posted: 04 Oct 2000
Working Paper Series
University of South Carolina - Darla Moore School of Business
Downloads 1,317
27.

Information Systems for Risk Management

FRB International Finance Discussion Paper No. 585
Number of pages: 29 Posted: 14 Jun 2000
Working Paper Series
Federal Reserve Board
Downloads 1,311
28.

Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates

FDIC CFR Working Paper No. 06, EFA 2004 Maastricht Meetings Paper No. 3584, FEDS Working Paper, AFA 20004 Meetings
Number of pages: 32 Posted: 24 Oct 2003
Working Paper Series
University of Maryland - Robert H. Smith School of Business, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 1,309
29.

Good News is No News? The Impact of Credit Rating Changes on the Pricing of Asset-Backed Securities

FRB International Finance Discussion Paper No. 809
Number of pages: 28 Posted: 24 Jul 2004
Working Paper Series
U.S. Federal Reserve Board of Governors and affiliation not provided to SSRN
Downloads 1,304
30.

Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities

CRSP Working Paper No. 485; FEDS Working Paper No. 1999-47
Number of pages: 64 Posted: 17 Feb 2000
Working Paper Series
University of Calgary - Haskayne School of Business and University of Chicago - Booth School of Business
Downloads 1,299
31.

The Effects of Megamergers on Efficiency and Prices: Evidence from a Bank Profit Function

FEDS Paper Number 97-9
Number of pages: 66 Posted: 05 Dec 1997
Working Paper Series
Fitch Ratings Inc., University of South Carolina - Darla Moore School of Business and Florida State University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,289
32.

The Resurgence of Growth in the Late 1990s: Is Information Technology the Story?

FEDS Working Paper No. 2000-20
Number of pages: 51 Posted: 17 Sep 2000
Working Paper Series
American Enterprise Institute and Wellesley College
Downloads 1,282
33.

Currency and Banking Crises: The Early Warnings of Distress

FRB International Finance Discussion Paper No. 629
Number of pages: 41 Posted: 26 Dec 1998
Working Paper Series
George Washington University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,272
34.

How Accurate are Value-at-Risk Models at Commercial Banks

FEDS Working Paper No. 2001-31
Number of pages: 28 Posted: 28 Aug 2001
Working Paper Series
University of Houston - Department of Finance and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section
Downloads 1,261
35.

Earnings Forecasts and the Predictability of Stock Returns:Evidence from Trading the S&P

FEDS Discussion Paper No. 97-6
Number of pages: 25 Posted: 14 Apr 1997
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Government of the United States of America - Division of Research and Statistics and affiliation not provided to SSRN
Downloads 1,256
36.

Evaluating Correlation Breakdowns During Periods of Market Volatility

Board of Governors of the Federal Reserve System International Finance Working Paper No. 658
Number of pages: 33 Posted: 10 Jul 2000
Working Paper Series
Swiss National Bank and Government of the United States of America - Division of Monetary Affairs
Downloads 1,250
37.

Good News and Bad News about Share Repurchases

FEDS Paper No. 98-4
Number of pages: 28 Posted: 09 Aug 1998
Working Paper Series
Cambridge Finance Partners and Federal Reserve Board
Downloads 1,240
38.

The Growth of Consumer Credit and the Household Debt Service Burden

FEDS Working Paper No. 2000-12
Number of pages: 27 Posted: 31 Jul 2000
Working Paper Series
Putnam Investments - Macroeconomic Research
Downloads 1,211
39.

Uncovering Country Risk in Emerging Market Bond Prices

International Finance Working Paper No. 639
Number of pages: 37 Posted: 03 Aug 2000
Working Paper Series
affiliation not provided to SSRN and Cornell University
Downloads 1,179
40.

Information Costs and Home Bias: An Analysis of U.S. Holdings of Foreign Equities

FRB International Finance Discussion Paper No. 691
Number of pages: 57 Posted: 15 Feb 2001
Working Paper Series
National University of Ireland, Galway (NUIG) - Department of Economics, Government of the United States of America - International Financial Transactions Section and University of Virginia - Darden Business School
Downloads 1,150
41.

Measuring Counterparty Credit Exposure to a Margined Counterparty

FEDs Working Paper No. 2005-50
Number of pages: 18 Posted: 05 Jan 2006
Working Paper Series
Federal Reserve Board
Downloads 1,144
42.

Information Technology and Productivity: Where are We Now and Where are We Going?

Board of Governors of the Federal Reserve System FEDS 2002-29
Number of pages: 79 Posted: 28 Jul 2002
Working Paper Series
Wellesley College and American Enterprise Institute
Downloads 1,123
43.

Measuring the Reaction of Monetary Policy to the Stock Market

FEDS Working Paper No. 2001-14
Number of pages: 32 Posted: 11 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section

Multiple version iconThere are 2 versions of this paper

Downloads 1,084
44.

Size, Charter Value and Risk in Banking: An International Perspective

EFA 2001 Barcelona Meetings; FRB International Finance Discussion Paper No. 689
Number of pages: 42 Posted: 10 Jul 2001
Working Paper Series
International Monetary Fund and CESifo
Downloads 1,078
45.

How Consistent Are Credit Ratings? A Geographic and Sectoral Analysis of Default Risk

FRB International Finance Discussion Paper No. 668
Number of pages: 22 Posted: 13 Jul 2000
Working Paper Series
U.S. Federal Reserve Board of Governors and Bank for International Settlements (BIS)
Downloads 1,072
46.

Does Market Size Structure Affect Competition? The Case of Small Business Lending

Number of pages: 31 Posted: 14 Oct 2001
Working Paper Series
University of South Carolina - Darla Moore School of Business, Federal Reserve Bank of Chicago - Economic Research and Indiana University - Kelley School of Business - Department of Finance
Downloads 1,019
47.

The Rise in U.S. Household Indebtedness: Causes and Consequences

FEDS Working Paper No. 2007-37
Number of pages: 45 Posted: 03 Oct 2007
Working Paper Series
Harvard University and Board of Governors of the Federal Reserve
Downloads 1,018
48.

Why Has China Survived the Asian Crisis So Well? What Risks Remain?

FRB International Finance Discussion Paper No. 633
Number of pages: 36 Posted: 24 Mar 1999
Working Paper Series
Federal Reserve Bank of San Francisco and Board of Governors of the Federal Reserve System
Downloads 1,017
49.

Executive Compensation: A New View from a Long-Term Perspective, 1936-2005

FEDS Working Paper No. 2007-35, AFA 2008 New Orleans Meetings Paper
Number of pages: 76 Posted: 22 Mar 2007
Working Paper Series
Northwestern University and U.S. Federal Reserve - Division of Research and Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 991
50.

The Scope of Monetary Policy Actions Authorized under the Federal Reserve Act

FEDS Working Paper No. 2004-40
Number of pages: 47 Posted: 27 Dec 2004
Working Paper Series
Federal Reserve Board - Monetary Studies Section and Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
Downloads 984