Search Results

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Working Paper
Measuring Sectoral Supply and Demand Shocks during COVID-19
Duarte, Joao B.; Faria-e-Castro, Miguel; Brinca, Pedro (2020-05)
We measure labor demand and supply shocks at the sector level around the COVID-19 outbreak, by estimating a Bayesian structural vector autoregression on monthly statistics of hours worked and real wages and applying the methodology proposed by Baumeister and Hamilton (2015). Our estimates suggest that two-thirds of the 16.24 percentage point drop in the growth rate of hours worked in April 2020 are attributable to supply. Most sectors were subject to historically large negative labor supply and demand shocks in March and April 2020, but there is substantial heterogeneity in the size of these ...
Working Papers , Paper 2020-011

Corporate Bond Spreads and the Pandemic II: Heterogeneity across Sectors
Ebsim, Mahdi; Kozlowski, Julian; Faria-e-Castro, Miguel (2020-04-14)
The COVID-19 pandemic’s effects on firm borrowing costs have been heterogeneous, with some sectors being more affected than others.
On the Economy

Working Paper
The (Unintended?) Consequences of the Largest Liquidity Injection Ever
Crosignani, Matteo; Fonseca, Luis; Faria-e-Castro, Miguel (2017-01)
We study the design of lender of last resort interventions and show that the provision of long-term liquidity incentivizes purchases of high-yield short-term securities by banks. Using a unique security-level data set, we find that the European Central Bank?s three-year Long-Term Refinancing Operation incentivized Portuguese banks to purchase short-term domestic government bonds that could be pledged to obtain central bank liquidity. This "collateral trade" effect is large, as banks purchased short-term bonds equivalent to 8.4% of amount outstanding. The resumption of public debt issuance ...
Finance and Economics Discussion Series , Paper 2017-011

Working Paper
Credit and Liquidity Policies during Large Crises
Ebsim, Mahdi; Kozlowski, Julian; Faria-e-Castro, Miguel (2022-01-24)
We compare firms’ financials during the Great Financial Crisis (GFC) and COVID-19. While the two crises featured similar increases in credit spreads, debt and liquid assets decreased during the GFC, but increased during COVID-19. In the cross section, leverage was the main determinant of credit spreads and investment during the GFC, but liquidity was more important during COVID-19. We augment a quantitative model of firm capital structure with a motive to hold liquid assets. The GFC resembled a combination of productivity and financial shocks, while COVID-19 also featured liquidity shocks. ...
Working Papers , Paper 2020-035

Working Paper
Dissecting the Great Retirement Boom
Birinci, Serdar; Faria-e-Castro, Miguel; See, Kurt (2024-07)
Between 2020 and 2023, the fraction of retirees in the working-age population in the U.S. increased above its pre-pandemic trend. Several explanations have been proposed to rationalize this gap, such as the rise in net worth due to higher asset returns, the labor market's deterioration due to higher unemployment risk, the expansion of fiscal support programs, and increased mortality risk. We quantitatively study the interaction of these factors and decompose their relative contribution to the recent rise in retirements using an incomplete markets, overlapping generations model with a ...
Working Papers , Paper 2024-017

The Comovement between Credit Spreads, Corporate Debt and Liquid Assets in Recent Crises
Kozlowski, Julian; Faria-e-Castro, Miguel; Jordan-Wood, Samuel (2021-11-09)
Credit spreads rose sharply during the 2008 financial crisis and the COVID-19 crisis. But their movement with corporate debt and liquid assets differed during those two periods.
On the Economy

Working Paper
Evergreening
Sanchez, Juan M.; Paul, Pascal; Faria-e-Castro, Miguel (2022-07-31)
We develop a simple model of relationship lending where lenders have incentives for evergreening loans by offering better terms to less productive and more indebted firms. We detect such lending behavior using loan-level supervisory data for the United States. Low-capitalized banks systematically distort firms’ risk assessments to window-dress their balance sheets. To avoid further reductions in their capital ratios, such banks extend relatively more credit to underreported borrowers. We incorporate the theoretical mechanism into a dynamic heterogeneous-firm model to show that evergreening ...
Working Paper Series , Paper 2022-14

Excess Retirements Continue despite Ebbing COVID-19 Pandemic
Faria-e-Castro, Miguel; Jordan-Wood, Samuel (2023-06-22)
COVID-19 spurred a wave of retirements. Though the effects of the pandemic have subsided, the number of retirees remains well above what would have been expected from socioeconomic trends.
On the Economy

Journal Article
Commercial Real Estate: Where Are the Financial Risks?
Faria-e-Castro, Miguel; Jordan-Wood, Samuel (2023-11-17)
Large banks, with assets over $100 billion, tend to have significantly lower exposure to commercial real estate market risks than the average commercial bank in the US.
Economic Synopses , Issue 22 , Pages 2 pages

Journal Article
Can Countercyclical Capital Buffers Help Prevent a Financial Crisis?
Faria-e-Castro, Miguel (2019-06-21)
Higher bank capital requirements may buffer the effects of crises.
Economic Synopses , Issue 15

show more (38)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords