Jose A. Lopez

Federal Reserve Bank of San Francisco

Economist

101 Market Street

San Francisco, CA 94105

United States

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 3,635

SSRN RANKINGS

Top 3,635

in Total Papers Downloads

14,964

SSRN CITATIONS
Rank 4,673

SSRN RANKINGS

Top 4,673

in Total Papers Citations

170

CROSSREF CITATIONS

117

Scholarly Papers (27)

1.

Evaluating Credit Risk Models

FRBSF Working Paper No. 99-06
Number of pages: 23 Posted: 27 Jul 1999
Jose A. Lopez and Marc R. Saidenberg
Federal Reserve Bank of San Francisco and affiliation not provided to SSRN
Downloads 3,822 (3,887)
Citation 3

Abstract:

Loading...

2.

Methods for Evaluating Value-at-Risk Estimates

Economic Policy Review, Vol. 4, No. 3, October 1998
Number of pages: 6 Posted: 16 Nov 2007
Jose A. Lopez
Federal Reserve Bank of San Francisco
Downloads 1,569 (16,527)
Citation 34

Abstract:

Loading...

capital regulation

3.

How Does Competition Impact Bank Risk Taking?

EFA 2007 Ljubljana Meetings Paper, FRB of San Francisco Working Paper No. 2007-23, AFA 2008 New Orleans Meetings Paper
Number of pages: 37 Posted: 27 Feb 2007
Banco de España, Banco de España and Federal Reserve Bank of San Francisco
Downloads 1,442 (18,773)
Citation 3

Abstract:

Loading...

bank competition, franchise value, Lerner index

4.

Regulatory Evaluation of Value-at-Risk Model

96-51
Number of pages: 34 Posted: 01 Feb 1997
Jose A. Lopez
Federal Reserve Bank of San Francisco
Downloads 1,330 (21,178)
Citation 2

Abstract:

Loading...

5.

How Does Competition Impact Bank Risk-Taking?

Banco de Espana Working Paper No. 1005
Number of pages: 35 Posted: 05 Apr 2010 Last Revised: 08 Apr 2010
Banco de España, Federal Reserve Bank of San Francisco and Banco de España
Downloads 901 (37,196)
Citation 46

Abstract:

Loading...

bank competition, franchise value, Lerner index, credit risk, financial stability

6.

Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework

FRB of San Francisco Working Paper No. 2000-21
Number of pages: 52 Posted: 28 Mar 2002
Jose A. Lopez and Christian A. Walter
Federal Reserve Bank of San Francisco and affiliation not provided to SSRN
Downloads 796 (44,088)
Citation 4

Abstract:

Loading...

covariance matrix, volatility forecasting, value-at-risk

7.

An Algorithmic Model for Retail Credit Portfolio Segmentation

Journal of Risk Model Validation, Forthcoming
Number of pages: 23 Posted: 13 Mar 2013 Last Revised: 28 May 2013
Andy Yeh and Jose A. Lopez
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 789 (44,600)

Abstract:

Loading...

Basel model development, Monte Carlo simulation, asymptotic single risk factor model, credit risk, segmentation, retail mortgage segmentation, k-means cluster analysis, risk capital management, asset correlation analysis

8.

Regulatory Evaluation of Value-at-Risk Models

FRB of New York Staff Report No. 33
Number of pages: 32 Posted: 09 Nov 2006
Jose A. Lopez
Federal Reserve Bank of San Francisco
Downloads 578 (66,836)
Citation 15

Abstract:

Loading...

value-at-risk, volatility modeling, probability forecasting, bank regulation

9.
Downloads 426 ( 96,785)
Citation 26

Empirical Analysis of Corporate Credit Lines

FRB of St. Louis Working Paper No. 2007-14
Number of pages: 36 Posted: 27 Feb 2007
Banco de España, Banco de España and Federal Reserve Bank of San Francisco
Downloads 303 (140,254)
Citation 6

Abstract:

Loading...

credit lines, firm default, bank lending

Empirical Analysis of Corporate Credit Lines

Banco de Espana Working Paper No. 0821
Number of pages: 35 Posted: 02 Oct 2008
Banco de España, Federal Reserve Bank of San Francisco and Banco de España
Downloads 123 (315,615)
Citation 24

Abstract:

Loading...

credit lines, firm default, bank lending, exposure at default

Empirical Analysis of Corporate Credit Lines

The Review of Financial Studies, Vol. 22, Issue 12, pp. 5069-5098, 2009
Posted: 24 Nov 2009
Gabriel Jiménez, Jose A. Lopez and Jesús Saurina
Banco de España, Federal Reserve Bank of San Francisco and Bank of Spain

Abstract:

Loading...

E32, G18, M21

10.

The Empirical Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size

FRB of San Francisco Working Paper No. 2002-05
Number of pages: 65 Posted: 04 May 2005
Jose A. Lopez
Federal Reserve Bank of San Francisco
Downloads 415 (99,699)
Citation 24

Abstract:

Loading...

Risk management

11.

Heat Waves, Meteor Showers, and Trading Volume: An Analysis of Volatility Spillovers in the U.S. Treasury Market

FRB of New York Staff Report No. 82
Number of pages: 37 Posted: 13 Nov 1999
Michael J. Fleming and Jose A. Lopez
Federal Reserve Bank of New York and Federal Reserve Bank of San Francisco
Downloads 351 (120,552)
Citation 11

Abstract:

Loading...

volatility, trading volume, GARCH, intraday, U.S. Treasury securities market

12.

Empirical Analysis of the Average Asset Correlation for Real Estate Investment Trusts

FRB of San Francisco Working Paper No. 2005-22
Number of pages: 34 Posted: 07 Dec 2005
Jose A. Lopez
Federal Reserve Bank of San Francisco
Downloads 292 (146,446)
Citation 1

Abstract:

Loading...

Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework

FRB of San Francisco Working Paper No. 2004-03
Number of pages: 56 Posted: 08 Dec 2003
Miguel A. Ferreira and Jose A. Lopez
Nova School of Business and Economics and Federal Reserve Bank of San Francisco
Downloads 281 (151,627)
Citation 5

Abstract:

Loading...

Interest rates, GARCH, Forecasting, Value-at-Risk

Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework

Journal of Financial Econometrics, Vol. 3, No. 1, pp. 126-168, Winter 2005
Posted: 29 Feb 2008
Miguel A. Ferreira and Jose A. Lopez
Nova School of Business and Economics and Federal Reserve Bank of San Francisco

Abstract:

Loading...

covariance models, forecasting, GARCH, interest rates, risk management, value-at-risk

Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework

Posted: 27 Oct 2004
Miguel A. Ferreira and Jose A. Lopez
Nova School of Business and Economics and Federal Reserve Bank of San Francisco

Abstract:

Loading...

Interest rates, Covariance models, GARCH, Forecasting, Value-at-Risk

14.

Determinants of Access to External Finance: Evidence from Spanish Firms

FRB of San Francisco Working Paper No. 2007-22
Number of pages: 42 Posted: 02 Nov 2007
Raquel Lago, Jesus Saurina Salas and Jose A. Lopez
Banco de España, Banco de España and Federal Reserve Bank of San Francisco
Downloads 268 (159,788)
Citation 3

Abstract:

Loading...

external finance, bank relationships, hold-up, business cycle

Alternative Measures of the Federal Reserve Banks' Cost of Equity Capital

FRB of Boston Public Policy Discussion Paper No. 05-2
Number of pages: 37 Posted: 04 Mar 2006
Michelle L. Barnes and Jose A. Lopez
Federal Reserve Bank of Boston and Federal Reserve Bank of San Francisco
Downloads 154 (264,725)
Citation 2

Abstract:

Loading...

cost of equity, return on equity, CAPM, payments system

Alternative Measures of the Federal Reserve Banks' Cost of Equity Capital

FRB of San Francisco Working Paper No. 2005-06
Number of pages: 37 Posted: 20 May 2005
Michelle L. Barnes and Jose A. Lopez
Federal Reserve Bank of Boston and Federal Reserve Bank of San Francisco
Downloads 105 (353,058)

Abstract:

Loading...

Monetary Control Act of 1980, CAPM model

16.

Supervisory Information and the Frequency of Bank Examinations

Economic Policy Review, Vol. 5, No. 1, April 1999
Number of pages: 19 Posted: 02 Aug 2007
Beverly Hirtle and Jose A. Lopez
Federal Reserve Bank of New York - Banking Studies Department and Federal Reserve Bank of San Francisco
Downloads 247 (173,191)
Citation 3

Abstract:

Loading...

bank supervision, bank examination

17.

Does Regional Economic Performance Affect Bank Conditions? New Analysis of an Old Question

FRB of San Francisco Working Paper No. 2004-01
Number of pages: 35 Posted: 05 May 2004
Mary C. Daly, John Krainer and Jose A. Lopez
Federal Reserve Bank of San Francisco, Board of Governors of the Federal Reserve System and Federal Reserve Bank of San Francisco
Downloads 205 (206,598)
Citation 2

Abstract:

Loading...

18.

How Effective is Lifeline Banking in Assisting the 'Unbanked'?

Current Issues in Economics and Finance, Vol. 4, No. 6, June 1998
Number of pages: 6 Posted: 03 Jul 2007
Joseph J. Doyle, Jose A. Lopez and Marc R. Saidenberg
Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA), Federal Reserve Bank of San Francisco and affiliation not provided to SSRN
Downloads 192 (219,146)
Citation 5

Abstract:

Loading...

lifeline, banking, unbanked, check cashing

19.

Formulating the Imputed Cost of Equity Capital for Priced Services at Federal Reserve Banks

Economic Policy Review, Vol. 9, No. 3, September 2003
Number of pages: 27 Posted: 25 Aug 2005
Edward J. Green, Jose A. Lopez and Zhenyu Wang
Federal Reserve Bank of Chicago, Federal Reserve Bank of San Francisco and Indiana University, Kelley School of Business
Downloads 152 (266,888)
Citation 2

Abstract:

Loading...

priced services, Federal Reserve Banks, cost of equity, asset pricing

20.

Using Securities Market Information for Bank Supervisory Monitoring

Federal Reserve Bank of San Francisco Working Papers No. 2004-05
Number of pages: 48 Posted: 13 May 2004
John Krainer and Jose A. Lopez
Board of Governors of the Federal Reserve System and Federal Reserve Bank of San Francisco
Downloads 129 (303,263)
Citation 7

Abstract:

Loading...

Bank supervision

21.

Incorporating Equity Market Variables into Supervisory Monitoring Models

FRB of San Francisco Working Paper No. 2001-14
Number of pages: 51 Posted: 11 Dec 2001
John Krainer and Jose A. Lopez
Board of Governors of the Federal Reserve System and Federal Reserve Bank of San Francisco
Downloads 129 (303,263)
Citation 21

Abstract:

Loading...

market information, bank supervision, forecasting

22.

Forecast Evaluation and Combination

NBER Working Paper No. t0192
Number of pages: 48 Posted: 22 Jul 2000 Last Revised: 13 Jul 2022
Francis X. Diebold and Jose A. Lopez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 121 (317,907)
Citation 2

Abstract:

Loading...

23.

Foreign Bank Lending and Bond Underwriting in Japan During the Lost Decade

FRB of San Francisco Working Paper No. 2006-45
Number of pages: 37 Posted: 17 Aug 2007
Jose A. Lopez and Mark M. Spiegel
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco - Economic Research Department
Downloads 102 (357,387)

Abstract:

Loading...

Foreign banking, underwriting, samurai bonds

24.

Foreign Entry into Underwriting Services: Evidence from Japan's 'Big Bang' Deregulation

Number of pages: 41 Posted: 21 Jan 2009
Jose A. Lopez and Mark M. Spiegel
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco - Economic Research Department
Downloads 63 (471,357)

Abstract:

Loading...

underwriting, Japan, securities, euro-yen, Samurai, difference-in-differences

Uncertainty and Hyperinflation: European Inflation Dynamics after World War I

CESifo Working Paper Series No. 7066
Number of pages: 52 Posted: 21 Jul 2018
Jose A. Lopez and Kris James Mitchener
Federal Reserve Bank of San Francisco and Santa Clara University - Leavey School of Business - Economics Department
Downloads 40 (584,267)

Abstract:

Loading...

hyperinflation, uncertainty, exchange rates, prices, reparations

Uncertainty and Hyperinflation: European Inflation Dynamics after World War I

NBER Working Paper No. w24624
Number of pages: 51 Posted: 25 May 2018 Last Revised: 14 Apr 2022
Jose A. Lopez and Kris James Mitchener
Federal Reserve Bank of San Francisco and Santa Clara University - Leavey School of Business - Economics Department
Downloads 14 (778,211)
Citation 1

Abstract:

Loading...

Uncertainty and Hyperinflation: European Inflation Dynamics after World War I

CEPR Discussion Paper No. DP12951
Number of pages: 53 Posted: 31 May 2018
Jose A. Lopez and Kris James Mitchener
Federal Reserve Bank of San Francisco and Santa Clara University - Leavey School of Business - Economics Department
Downloads 0
  • Add to Cart

Abstract:

Loading...

Exchange Rates, Hyperinflation, prices, reparations, uncertainty

26.

Calibrating Macroprudential Policies for the Canadian Mortgage Market

C.D. Howe Institute Commentary 570 (2020)
Number of pages: 28 Posted: 04 May 2020
Scott A. Brave, Jeremy Kronick and Jose A. Lopez
Morning Consult, C.D. Howe Institute and Federal Reserve Bank of San Francisco
Downloads 37 (587,800)

Abstract:

Loading...

Financial Services and Regulation; Monetary Policy

Why Have Negative Nominal Interest Rates Had Such a Small Effect on Bank Performance? Cross Country Evidence

NBER Working Paper No. w25004
Number of pages: 37 Posted: 17 Sep 2018 Last Revised: 28 Apr 2022
Federal Reserve Bank of San Francisco, NUS Business SchoolUniversity of California - Haas School of Business and Federal Reserve Bank of San Francisco - Economic Research Department
Downloads 14 (778,211)
Citation 21

Abstract:

Loading...

Why Have Negative Nominal Interest Rates Had Such a Small Effect on Bank Performance? Cross Country Evidence

CEPR Discussion Paper No. DP13010
Number of pages: 34 Posted: 26 Jun 2018
Federal Reserve Bank of San Francisco, NUS Business SchoolUniversity of California - Haas School of Business and Federal Reserve Bank of San Francisco - Economic Research Department
Downloads 0
  • Add to Cart

Abstract:

Loading...

data, deposit, effective, empirical, firm, panel, regression, zero bound