Egon Zakrajsek

Federal Reserve Board - Division of Monetary Affairs

20th and C Streets, NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 13,434

SSRN RANKINGS

Top 13,434

in Total Papers Downloads

3,310

CITATIONS
Rank 2,700

SSRN RANKINGS

Top 2,700

in Total Papers Citations

207

Scholarly Papers (26)

1.

Capital Requirements, Business Loans, and Business Cycles: An Empirical Analysis of the Standardized Approach in the New Basel Capital Accord

FEDS Working Paper No. 2001-48
Number of pages: 48 Posted: 14 Dec 2001
Federal Reserve Board - Division of Monetary Affairs, Federal Reserve Board - Department of Monetary Affairs and Federal Reserve Board - Division of Monetary Affairs
Downloads 554 (45,254)
Citation 17

Abstract:

Loading...

New Basel Capital Accord, standardized approach, C&I loans, business cycles

2.

Interest Rate Risk and Bank Equity Valuations

FEDS Working Paper No. 2012-26
Number of pages: 47 Posted: 09 May 2012
Government of the United States of America - Division of Monetary Affairs, Federal Reserve Board and Federal Reserve Board - Division of Monetary Affairs
Downloads 347 (79,960)
Citation 5

Abstract:

Loading...

FOMC announcements, interest rate surprises, maturity transformation, bank profitability

3.

Inventory Dynamics and Business Cycles: What Has Changed?

FEDS Working Paper No. 2003-26, FRB of New York Staff Report No. 156
Number of pages: 43 Posted: 02 Sep 2003
Egon Zakrajsek and Jonathan McCarthy
Federal Reserve Board - Division of Monetary Affairs and Federal Reserve Bank of New York - Research Department
Downloads 280 (101,594)
Citation 7

Abstract:

Loading...

Inventories, inventory management, business cycles, GDP volatility

4.

Purchasing Power Parity: Three Stakes Through the Heart of the Unit Root Null

FRB of New York Staff Report Working Paper No. 80
Number of pages: 45 Posted: 27 Sep 1999
Matthew Higgins and Egon Zakrajsek
Independent and Federal Reserve Board - Division of Monetary Affairs
Downloads 270 (105,460)
Citation 12

Abstract:

Loading...

Changes in Bank Lending Standards and the Macroeconomy

Number of pages: 38 Posted: 10 Feb 2011 Last Revised: 27 Apr 2012
Board of Governors of the Federal Reserve System (FRB), Board of Governors of the Federal Reserve System, Federal Reserve Board and Federal Reserve Board - Division of Monetary Affairs
Downloads 184 (153,517)
Citation 5

Abstract:

Loading...

bank credit channel, broad credit channel, financial accelerator, loan supply shocks

Changes in Bank Lending Standards and the Macroeconomy

FEDS Working Paper No. 2012-24
Number of pages: 41 Posted: 09 May 2012
Federal Reserve Board, Federal Reserve Board - Division of Monetary Affairs, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System (FRB)
Downloads 69 (315,558)
Citation 5

Abstract:

Loading...

Credit supply shocks, bank credit policies, financial accelerator

6.

The Magnitude and Cyclical Behavior of Financial Market Frictions

FEDS Working Paper No. 2004-70
Number of pages: 39 Posted: 28 Jan 2005
Andrew T. Levin, Fabio M. Natalucci and Egon Zakrajsek
affiliation not provided to SSRN, U.S. Federal Reserve Board - Division of Monetary Affairs and Federal Reserve Board - Division of Monetary Affairs
Downloads 215 (132,784)
Citation 18

Abstract:

Loading...

External finance premium, bankruptcy costs, financial accelerator

Credit-Market Sentiment and the Business Cycle

FEDS Working Paper No. 2015-028r1, http://dx.doi.org/10.17016/FEDS.2015.028r1
Number of pages: 57 Posted: 24 May 2015
David Lopez-Salido, Jeremy C. Stein and Egon Zakrajsek
Board of Governors of the Federal Reserve System, Harvard University - Department of Economics and Federal Reserve Board - Division of Monetary Affairs
Downloads 111 (232,799)

Abstract:

Loading...

business cycles, credit-market sentiment, financial stability

Credit-Market Sentiment and the Business Cycle

FEDS Working Paper No. 2015-28
Number of pages: 57 Posted: 11 Jan 2017
David Lopez-Salido, Jeremy C. Stein and Egon Zakrajsek
Board of Governors of the Federal Reserve System, Harvard University - Department of Economics and Federal Reserve Board - Division of Monetary Affairs
Downloads 48 (377,997)

Abstract:

Loading...

Business cycles, Credit-market sentiment, Financial stability

Credit-Market Sentiment and the Business Cycle

NBER Working Paper No. w21879
Number of pages: 46 Posted: 20 Jan 2016
David Lopez-Salido, Jeremy C. Stein and Egon Zakrajsek
Board of Governors of the Federal Reserve System, Harvard University - Department of Economics and Federal Reserve Board - Division of Monetary Affairs
Downloads 14 (544,708)

Abstract:

Loading...

8.
Downloads 151 (182,271)
Citation 1

Inflation Dynamics During the Financial Crisis

FEDS Working Paper No. 2015-012, http://dx.doi.org/10.17016/FEDS.2015.012
Number of pages: 53 Posted: 19 Apr 2015
Boston University - Department of Economics, Brandeis University, Board of Governors of the Federal Reserve System and Federal Reserve Board - Division of Monetary Affairs
Downloads 147 (186,835)
Citation 1

Abstract:

Loading...

Deflation,Monetary policy,Prices, business fluctuations, cycles

Inflation Dynamics During the Financial Crisis

NBER Working Paper No. w22827
Number of pages: 61 Posted: 14 Nov 2016
Boston University - Department of Economics, Brandeis University, Board of Governors of the Federal Reserve System and Federal Reserve Board - Division of Monetary Affairs
Downloads 4 (606,259)
Citation 1

Abstract:

Loading...

9.

Microeconomic Inventory Adjustment: Evidence from U.S. Firm-Level Data

FRB of New York Staff Report No. 101
Number of pages: 39 Posted: 15 Sep 2000
Jonathan McCarthy and Egon Zakrajsek
Federal Reserve Bank of New York - Research Department and Federal Reserve Board - Division of Monetary Affairs
Downloads 151 (182,271)
Citation 1

Abstract:

Loading...

inventories, (S,s) inventory policies, linear-quadratic model, business cycles

10.

Stress-Testing U.S. Bank Holding Companies: A Dynamic Panel Quantile Regression Approach

International Journal of Forecasting, Forthcoming, FEDS Working Paper No. 2013-55
Number of pages: 44 Posted: 01 Nov 2013
Francisco Covas, Ben Rump and Egon Zakrajsek
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Federal Reserve Board - Division of Monetary Affairs
Downloads 90 (266,715)

Abstract:

Loading...

Macroprudential regulation, stress tests, capital shortfalls, density forecasting, quantile autoregression, panel data

11.

US Monetary Policy and International Bond Markets

FEDS Working Paper No. 2018-014
Number of pages: 34 Posted: 18 Feb 2018
Simon Gilchrist, Vivian Z. Yue and Egon Zakrajsek
New York University (NYU), Emory University and Federal Reserve Board - Division of Monetary Affairs
Downloads 86 (274,342)
Citation 1

Abstract:

Loading...

Conventional and Unconventional US Monetary Policy, Financial Spillovers, Sovereign Yields and Credit Spreads

12.

Credit Spreads and Business Cycle Fluctuations

NBER Working Paper No. w17021
Number of pages: 37 Posted: 09 May 2011 Last Revised: 14 May 2011
Simon Gilchrist and Egon Zakrajsek
Boston University - Department of Economics and Federal Reserve Board - Division of Monetary Affairs
Downloads 86 (274,342)
Citation 35

Abstract:

Loading...

Uncertainty, Financial Frictions, and Investment Dynamics

FEDS Working Paper No. 2014-69
Number of pages: 60 Posted: 01 Oct 2014
Simon Gilchrist, Jae Sim and Egon Zakrajsek
Boston University - Department of Economics, Board of Governors of the Federal Reserve System and Federal Reserve Board - Division of Monetary Affairs
Downloads 55 (354,987)
Citation 21

Abstract:

Loading...

Time-varying volatility, asset specificity, capital liquidity shocks, costly external finance, firm heterogeneity, general equilibrium

Uncertainty, Financial Frictions, and Investment Dynamics

NBER Working Paper No. w20038
Number of pages: 60 Posted: 14 Apr 2014
Simon Gilchrist, Jae Sim and Egon Zakrajsek
Boston University - Department of Economics, Board of Governors of the Federal Reserve System and Federal Reserve Board - Division of Monetary Affairs
Downloads 26 (472,153)
Citation 21

Abstract:

Loading...

Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

FEDS Working Paper No. 2012-77
Number of pages: 52 Posted: 08 Jan 2013
Board of Governors of the Federal Reserve - Division of International Finance, Boston University - Department of Economics, Johns Hopkins University - Department of Economics and Federal Reserve Board - Division of Monetary Affairs
Downloads 50 (371,271)
Citation 4

Abstract:

Loading...

Forecasting, real-time data, Bayesian Model Averaging, credit spreads

Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

NBER Working Paper No. w16725
Number of pages: 41 Posted: 31 Jan 2011 Last Revised: 04 Feb 2011
Board of Governors of the Federal Reserve - Division of International Finance, Boston University - Department of Economics, Johns Hopkins University - Department of Economics and Federal Reserve Board - Division of Monetary Affairs
Downloads 27 (466,535)
Citation 4

Abstract:

Loading...

15.

Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets

NBER Working Paper No. w14863
Number of pages: 50 Posted: 13 Apr 2009 Last Revised: 13 Aug 2010
Simon Gilchrist, Vladimir Yankov and Egon Zakrajsek
Boston University - Department of Economics, Federal Reserve Board and Federal Reserve Board - Division of Monetary Affairs
Downloads 77 (293,172)
Citation 41

Abstract:

Loading...

Factor Supplies and Specialization in the World Economy

Federal Reserve Bank of New York Research Paper Series - Staff Report, No. 107
Number of pages: 51 Posted: 29 Sep 2006
James Harrigan and Egon Zakrajsek
University of Virginia - Department of Economics and Federal Reserve Board - Division of Monetary Affairs
Downloads 49 (374,571)
Citation 18

Abstract:

Loading...

Factor Supplies and Specialization in the World Economy

NBER Working Paper No. w7848
Number of pages: 52 Posted: 13 Aug 2000 Last Revised: 25 Jun 2001
James Harrigan and Egon Zakrajsek
University of Virginia - Department of Economics and Federal Reserve Board - Division of Monetary Affairs
Downloads 24 (483,803)
Citation 18

Abstract:

Loading...

17.

Microeconomic Inventory Adjustment and Aggregate Dynamics

BIS Working Paper No. 63, FRB of New York Staff Report No. 54
Number of pages: 53 Posted: 13 Dec 2005
Jonathan McCarthy and Egon Zakrajsek
Federal Reserve Bank of New York - Research Department and Federal Reserve Board - Division of Monetary Affairs
Downloads 62 (329,796)
Citation 1

Abstract:

Loading...

18.

Investment and the Cost of Capital: New Evidence from the Corporate Bond Market

NBER Working Paper No. w13174
Number of pages: 42 Posted: 27 Jun 2007
Simon Gilchrist and Egon Zakrajsek
Boston University - Department of Economics and Federal Reserve Board - Division of Monetary Affairs
Downloads 57 (343,690)
Citation 12

Abstract:

Loading...

The Macroeconomic Impact of Financial and Uncertainty Shocks

FRB International Finance Discussion Paper No. 1166
Number of pages: 44 Posted: 27 May 2016
Board of Governors of the Federal Reserve System, Federal Reserve Board, Boston University - Department of Economics and Federal Reserve Board - Division of Monetary Affairs
Downloads 36 (423,946)

Abstract:

Loading...

Time-varying uncertainty, Financial conditions, Structural vector autoregression, Optimization-based identification

The Macroeconomic Impact of Financial and Uncertainty Shocks

NBER Working Paper No. w22058
Number of pages: 43 Posted: 07 Mar 2016
Board of Governors of the Federal Reserve System, Federal Reserve Board, Boston University - Department of Economics and Federal Reserve Board - Division of Monetary Affairs
Downloads 9 (575,539)

Abstract:

Loading...

20.

Misallocation and Financial Market Frictions: Some Direct Evidence from the Dispersion in Borrowing Costs

FEDS Working Paper No. 2012-08
Number of pages: 21 Posted: 04 May 2012
Simon Gilchrist, Egon Zakrajsek and Jae Sim
Boston University - Department of Economics, Federal Reserve Board - Division of Monetary Affairs and Board of Governors of the Federal Reserve System
Downloads 44 (384,896)
Citation 2

Abstract:

Loading...

Misallocation, financial market frictions, borrowing costs, firm-level evidence, total factor productivity, financial distortions, firms-specific borrowing costs

Monetary Policy and Real Borrowing Costs at the Zero Lower Bound

FEDS Working Paper No. 2014-39
Number of pages: 37 Posted: 07 Jun 2014
Simon Gilchrist, David Lopez-Salido and Egon Zakrajsek
Boston University - Department of Economics, Board of Governors of the Federal Reserve System and Federal Reserve Board - Division of Monetary Affairs
Downloads 24 (483,803)

Abstract:

Loading...

Unconventional monetary policy, LSAPs, forward guidance, term premia, corporate bond yields, mortgage interest rates

Monetary Policy and Real Borrowing Costs at the Zero Lower Bound

FEDS Working Paper No. 2014-03
Number of pages: 38 Posted: 05 Feb 2014
Simon Gilchrist, David Lopez-Salido and Egon Zakrajsek
Boston University - Department of Economics, Board of Governors of the Federal Reserve System and Federal Reserve Board - Division of Monetary Affairs
Downloads 15 (538,474)

Abstract:

Loading...

Unconventional monetary policy, LSAPs, forward guidance, term premia, corporate bond yields, mortgage interest rates

Monetary Policy and Real Borrowing Costs at the Zero Lower Bound

NBER Working Paper No. w20094
Number of pages: 37 Posted: 06 May 2014
Simon Gilchrist, David Lopez-Salido and Egon Zakrajsek
Boston University - Department of Economics, Board of Governors of the Federal Reserve System and Federal Reserve Board - Division of Monetary Affairs
Downloads 4 (606,259)

Abstract:

Loading...

The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk

FEDS Working Paper No. 2013-56
Number of pages: 32 Posted: 04 Nov 2013
Simon Gilchrist and Egon Zakrajsek
Boston University - Department of Economics and Federal Reserve Board - Division of Monetary Affairs
Downloads 24 (483,803)
Citation 2

Abstract:

Loading...

credit default swap (CDS), default risk channel, LSAPs, quantitative easing, identification through heteroskedasticity

The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk

NBER Working Paper No. w19337
Number of pages: 32 Posted: 17 Aug 2013 Last Revised: 25 Aug 2013
Simon Gilchrist and Egon Zakrajsek
Boston University - Department of Economics and Federal Reserve Board - Division of Monetary Affairs
Downloads 15 (538,474)
Citation 2

Abstract:

Loading...

23.

Trade Inventories

FRB of New York Staff Report No. 53
Number of pages: 47 Posted: 15 Oct 2006
Jonathan McCarthy and Egon Zakrajsek
Federal Reserve Bank of New York - Research Department and Federal Reserve Board - Division of Monetary Affairs
Downloads 33 (426,671)
Citation 1

Abstract:

Loading...

24.

Financial Heterogeneity and Monetary Union

FEDS Working Paper No. 2018-043
Number of pages: 58 Posted: 29 Jun 2018
New York University (NYU), Brandeis University, Board of Governors of the Federal Reserve System and Federal Reserve Board - Division of Monetary Affairs
Downloads 13 (529,813)
Citation 1

Abstract:

Loading...

Eurozone, Financial crisis, Fiscal devaluation, Inflation dynamics, Markups, Monetary union

25.

Misallocation and Financial Frictions: Some Direct Evidence from the Dispersion in Borrowing Costs

NBER Working Paper No. w18550
Number of pages: 30 Posted: 20 Nov 2012 Last Revised: 29 Nov 2012
Simon Gilchrist, Jae Sim and Egon Zakrajsek
Boston University - Department of Economics, Board of Governors of the Federal Reserve System and Federal Reserve Board - Division of Monetary Affairs
Downloads 10 (546,513)
Citation 2

Abstract:

Loading...

26.

Credit Risk and the Macroeconomy: Evidence from an Estimated DSGE Model

Posted: 21 Jun 2012
Simon Gilchrist, Alberto Ortiz and Egon Zakrajsek
Boston University - Department of Economics, Oberlin College and Federal Reserve Board - Division of Monetary Affairs

Abstract:

Loading...

Credit spreads, financial accelerator, DSGE models, Bayesian estimation