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Author:English, William B. 

Working Paper
Interest rate risk and bank equity valuations

Because they engage in maturity transformation, a steepening of the yield curve should, all else equal, boost bank profitability. We re-examine this conventional wisdom by estimating the reaction of bank intraday stock returns to exogenous fluctuations in interest rates induced by monetary policy announcements. We construct a new measure of the mismatch between the repricing time or maturity of bank assets and liabilities and analyze how the reaction of stock returns varies with the size of this mismatch and other bank characteristics, including the usage of interest rate derivatives. Our ...
Finance and Economics Discussion Series , Paper 2012-26

Journal Article
Profits and balance sheet developments at U.S. commercial banks in 1993

Federal Reserve Bulletin , Issue Jun , Pages 483-507

Journal Article
Financial consolidation and monetary policy

Paper for a conference sponsored by the Federal Reserve Bank of New York entitled Financial Innovation and Monetary Transmission
Economic Policy Review , Volume 8 , Issue May , Pages 271-284

Working Paper
Evaluating \"correlation breakdowns\" during periods of market volatility

Financial market observers have noted that during periods of high market volatility, correlations between asset prices can differ substantially from those seen in quieter markets. For example, correlations among yield spreads were substantially higher during the fall of 1998 than in earlier or later periods. Such differences in correlations have been attributed either to structural breaks in the underlying distribution of returns or to "contagion" across markets that occurs only during periods of market turbulence. However, we argue that the differences may reflect nothing more than ...
International Finance Discussion Papers , Paper 658

Working Paper
The Federal Reserve's framework for monetary policy - recent changes and new questions

In recent years, the Federal Reserve has made substantial changes to its framework for monetary policymaking by providing greater clarity regarding its objectives, its intentions regarding the use of monetary policy--including nontraditional policy tools such as forward guidance and asset purchases--in the pursuit of those objectives, and its broader policy strategy. These changes reflected both a response to changes in economists' understanding of the most effective way to implement monetary policy and a response to specific challenges posed by the financial crisis and its aftermath, ...
Finance and Economics Discussion Series , Paper 2013-76

Journal Article
Profits and balance sheet developments at U.S. commercial banks in 1994

Federal Reserve Bulletin , Issue Jun , Pages 545-569

Journal Article
Profits and balance sheet developments at U.S. commercial banks in 1992

Federal Reserve Bulletin , Issue Jul

Working Paper
Interpreting the significance of lagged interest rate in estimated monetary policy rules

Many researchers have found that the lagged interest rate enters estimated monetary policy rules with overwhelming significance. However, a recent paper by Rudebusch (2002) argues that the lagged interest rate is not a fundamental component of the U.S. policy rule, and that its significance arises from the omission of serially correlated variables from the policy rule. This paper demonstrates that, contrary to Rudebusch's claims, these two hypotheses can be directly distinguished in the estimation of the policy rule. Our findings indicate that while serially correlated omitted variables may ...
Finance and Economics Discussion Series , Paper 2002-24

Journal Article
Recent Changes to the Federal Reserve's Survey of Terms of Business Lending

The Federal Reserve's quarterly Survey of Terms of Business Lending, which has been conducted for more than twenty years, collects information on interest rates and other characteristics of commercial bank business loans. The survey has been changed from time to time to recognize innovations in bank lending practices and to improve the measurement of the desired information. The most recent changes took effect with the May 1997 survey. The major improvement was the addition of an item measuring loan risk. In addition, the reporting panel, which had been limited to domestically chartered ...
Federal Reserve Bulletin , Volume 84 , Issue 8 , Pages pp. 604-615

Journal Article
Direct investment: a doubtful alternative to international debt

The paper considers a model in which private foreign investors make direct long-lived capital investments in a small developing country that is subject to stochastic shocks to production. Depending upon the preferences of the host country, we find that expropriation can occur because of either desperation or opportunism. We show that under reasonable assumptions, increased investment makes expropriation less likely to occur and that the level of investment chosen by atomistic foreign investors may be nonoptimal.
Quarterly Review , Volume 16 , Issue Win , Pages 12-22

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