Francisco Covas

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

6

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22

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48

Scholarly Papers (6)

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1.

Bank Liquidity and Capital Regulation in General Equilibrium

Downloads 355 (141,310)
Citation 12

Bank Liquidity and Capital Regulation in General Equilibrium

Number of pages: 38 Posted: 14 Sep 2014
Francisco Covas and John C. Driscoll
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 227 (222,673)
Citation 7

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bank regulation, liquidity requirements, capital requirements, incomplete markets, idiosyncratic risk, macroprudential policy

Bank Liquidity and Capital Regulation in General Equilibrium

FEDS Working Paper No. 2014-85
Number of pages: 39 Posted: 08 Nov 2014
Francisco Covas and John C. Driscoll
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 128 (365,832)
Citation 10

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Liquidity requirements, capital requirements, macroprudential policy, incomplete markets

2.

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 Bank for International Settlements (BIS)
Downloads 162 (302,019)
Citation 14

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

3.

Macroeconomic Effects of Banking Sector Losses Across Structural Models

Downloads 142 (336,632)
Citation 3

Macroeconomic Effects of Banking Sector Losses Across Structural Models

BIS Working Paper No. 507
Number of pages: 53 Posted: 03 Aug 2015
Luca Guerrieri, Matteo Iacoviello, Francisco Covas, John C. Driscoll, Mohammad R. Jahan-Parvar, Michael T. Kiley, Albert Queralto and Jae Sim
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, 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
Downloads 105 (423,633)

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Banks, DSGE Models, Capital Requirements, Bank Losses

Macroeconomic Effects of Banking Sector Losses Across Structural Models

FEDS Working Paper No. 2015-044, FEDS Working Paper No. 2015-44
Number of pages: 52 Posted: 10 Jul 2015
Luca Guerrieri, Matteo Iacoviello, Francisco Covas, John C. Driscoll, Michael T. Kiley, Mohammad R. Jahan-Parvar, Albert Queralto and Jae Sim
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, 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
Downloads 37 (734,496)
Citation 3

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Bank losses, Banks, Capital requirements, DSGE models

4.

Procyclicality of Capital Requirements in a General Equilibrium Model of Liquidity Dependence

FRB of Philadelphia Working Paper No. 09-23
Number of pages: 30 Posted: 08 Oct 2009
Francisco Covas and Shigeru Fujita
Board of Governors of the Federal Reserve System and Federal Reserve Bank of Philadelphia
Downloads 134 (352,213)
Citation 18

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Procyclicality, capital requirements, countercyclical regulation

5.

Private Risk Premium and Aggregate Uncertainty in the Model of Uninsurable Investment Risk

FRB of Philadelphia Working Paper No. 07-30
Number of pages: 38 Posted: 16 Jan 2008
Shigeru Fujita and Francisco Covas
Federal Reserve Bank of Philadelphia and Board of Governors of the Federal Reserve System
Downloads 110 (407,458)

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Uninsurable investment risk, aggregate uncertainty, private risk premium

6.

Private Equity Premium in a General Equilibrium Model of Uninsurable Investment Risk

FRB of Philadelphia Working Paper No. 11-18, Supersedes Working Paper 07-30
Number of pages: 33 Posted: 18 May 2011
Francisco Covas and Shigeru Fujita
Board of Governors of the Federal Reserve System and Federal Reserve Bank of Philadelphia
Downloads 72 (531,952)

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Uninsurable investment risk, aggregate uncertainty, private equity premium