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Discussion Paper
The Relationship between Macroeconomic Overheating and Financial Vulnerability : A Narrative Investigation
Palomino, Francisco J.; Afanasyeva, Elena; Modugno, Michele; Lee, Seung Jung (2018-10-12)
In this note, we follow a narrative approach to review historical episodes of significant financial imbalances and examine whether these episodes were linked to macroeconomic overheating.
FEDS Notes , Paper 2018-10-12-2

Working Paper
Risk Taking and Interest Rates : Evidence from Decades in the Global Syndicated Loan Market
Lee, Seung Jung; Stebunovs, Viktors; Liu, Lucy Qian (2017-01)
We study how low interest rates in the United States affect risk taking in the market for cross-border corporate loans. Because banks tend to originate these loans with intent to sell to nonbank investors, we examine risk taking by the broad financial system. To the extent that actions of the Federal Reserve affect U.S. interest rates, our analysis provides evidence of cross-border spillover effects of U.S. monetary policy and highlights the global lending and risk-taking channels. We find that movements in the U.S. interest rates have an important effect on ex-ante credit risk of ...
International Finance Discussion Papers , Paper 1188

Discussion Paper
The Relationship between Macroeconomic Overheating and Financial Vulnerability : A Quantitative Exploration
Palomino, Francisco J.; Afanasyeva, Elena; Modugno, Michele; Lee, Seung Jung (2018-10-12)
In this note, we explore the link between indicators of financial imbalances and macroeconomic performance, focusing on the experience of the United States. In an accompanying note, The Relationship between Macroeconomic Overheating and Financial Vulnerability: A Narrative Investigation, we follow a narrative approach to review historical episodes of significant financial imbalances and examine whether these episodes were linked to macroeconomic overheating.
FEDS Notes , Paper 2018-10-12-3

Working Paper
Bank Capital Pressures, Loan Substitutability, and Nonfinancial Employment
Lee, Seung Jung; Stebunovs, Viktors (2016-04)
We exploit the cross-state, cross-time variation in bank tangible capital ratios-brought about by bank branch deregulation on a state-by-state basis-to identify the effects of bank capital pressures on employment and firm dynamics during two waves of changes in bank capital regulation. We show that stronger capital pressures temporarily slowed down growth in employment in industries that depend on external finance, retarding growth in the average size of firms rather than in the number of firms. Such effects were particularly strong for smaller firms that may not have had access to national ...
International Finance Discussion Papers , Paper 1161

Working Paper
The Credit Crunch and Fall in Employment during the Great Recession
Lee, Seung Jung; Stebunovs, Viktors; Haltenhof, Samuel (2014-02)
We study the existence and economic significance of bank lending channels that affect employment in U.S. manufacturing industries. In particular, we address the question of how a dramatic worsening of firm and consumer access to bank credit, such as the one observed over the Great Recession, translates into job losses in these industries. To identify these channels, we rely on differences in the degree of external finance dependence and of asset tangibility across manufacturing industries and in the sensitivity of these industries' output to changes in the supply of consumer credit. We show ...
Finance and Economics Discussion Series , Paper 2014-06

Journal Article
What's Driving Leveraged Loan Spreads?
Lee, Seung Jung; Marsh, W. Blake (2019-02-27)
Syndicated loan spreads have declined since the financial crisis, reducing the cost of credit for corporate borrowers. However, the combination of aggressive loan pricing and weaker credit protections has concerned market observers. We find that syndicated loan spreads have declined across loan and borrower types since the crisis. We also find the decline has been more pronounced for highly leveraged borrowers and has accelerated since 2016, especially for term loans.
Macro Bulletin , Issue February 27, 2019 , Pages 1-5

Working Paper
Prudential Policies and Their Impact on Credit in the United States
Lee, Seung Jung; Calem, Paul S.; Correa, Ricardo (2016-12-13)
We analyze how two types of recently used prudential policies affected the supply of credit in the United States. First, we test whether the U.S. bank stress tests had any impact on the supply of mortgage credit. We find that the first Comprehensive Capital Analysis and Review (CCAR) stress test in 2011 had a negative effect on the share of jumbo mortgage originations and approval rates at stress-tested banks?banks with worse capital positions were impacted more negatively. Second, we analyze the impact of the 2013 Supervisory Guidance on Leveraged Lending and subsequent 2014 FAQ notice, ...
International Finance Discussion Papers , Paper 1186

Working Paper
Identifying Financial Crises Using Machine Learning on Textual Data
Chen, Mary; DeHaven, Matthew; Kitschelt, Isabel; Lee, Seung Jung; Sicilian, Martin (2023-03-31)
We use machine learning techniques on textual data to identify financial crises. The onset of a crisis and its duration have implications for real economic activity, and as such can be valuable inputs into macroprudential, monetary, and fiscal policy. The academic literature and the policy realm rely mostly on expert judgment to determine crises, often with a lag. Consequently, crisis durations and the buildup phases of vulnerabilities are usually determined only with the benefit of hindsight. Although we can identify and forecast a portion of crises worldwide to various degrees with ...
International Finance Discussion Papers , Paper 1374

Journal Article
Profits and balance sheet developments at U.S. commercial banks in 2009
Rose, Jonathan D.; Lee, Seung Jung (2010-05)
Reviews recent developments in the balance sheets and in the profitability of U.S. commercial banks. The article discusses how developments in the U.S. banking industry in 2009 and early 2010 were related to changes in financial markets and in the broader economy.
Federal Reserve Bulletin , Volume 96 , Issue May , Pages A1-37

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