Working Paper
Do jumbo-CD holders care about anything?
King, Thomas B.; Vaughan, Mark D.; Meyer, Andrew P.; Hall, John R. (2002)
Uninsured deposits represent a theoretically appealing but relatively untested alternative to subordinated debt for incorporating market discipline into banking supervision. To make the deposit market a useful supervisory tool, it is necessary to know what types of risk are priced by depositors and in what proportions. Using a clustering technique to select from among a large set of potential regressors, as well as a carefully chosen set of control variables, we attempt to determine the types of risk that cause uninsured depositors to react in both the price and quantity dimensions. As a ...
Supervisory Policy Analysis Working Papers , Paper 2002-05

Journal Article
Yielding clues about recessions: the yield curve as a forecasting tool
Stojanovic, Dusan; Vaughan, Mark D. (1997-10)
It's been used for years as a predictor of future interest rates, but these days, the yield curve is being used to predict recessions.
The Regional Economist , Issue Oct , Pages 10-11

Journal Article
Are district banks losing their profit edge?
Meyer, Andrew P.; Vaughan, Mark D. (1997-04)
After decades of beating out their peers in the return on average assets race, Eighth District banks now trail the pack.
The Regional Economist , Issue Apr , Pages 12-13

Journal Article
The housing giants in plain view
Yeager, Timothy J.; Vaughan, Mark D.; Emmons, William R. (2004-07)
These government-sponsored enterprises continue to make headlines because of their explosive growth and resulting heavyweight status within the nation's financial system.
The Regional Economist , Issue Jul , Pages 4-9

Working Paper
Should the FDIC worry about the FHLB? the impact of Federal Home Loan Bank advances on the Bank Insurance Fund
Bennett, Rosalind L.; Yeager, Timothy J.; Vaughan, Mark D. (2005)
Does growing commercial-bank reliance on Federal Home Loan Bank (FHLBank) advances increase expected losses to the Bank Insurance Fund (BIF)? Our approach to this question begins by modeling the link between advances and expected losses. We then quantify the effect of advances on default probability with a CAMELS-downgrade model. Finally, we assess the impact on loss-given-default by estimating resolution costs in two scenarios: the liquidation of all banks with failure probabilities above two percent and the liquidation of all banks with advance-to-asset ratios above 15 percent. The evidence ...
Supervisory Policy Analysis Working Papers , Paper 2005-01

Journal Article
Banks and mortgages and loans--oh my! District bank loans: there's no place like home
Stojanovic, Dusan; Vaughan, Mark D. (1998-07)
The Regional Economist , Issue Jul , Pages 12-13

Journal Article
Could a CAMELS downgrade model improve off-site surveillance?
Vaughan, Mark D.; Gilbert, R. Alton; Meyer, Andrew P. (2002-01)
The Federal Reserve?s off-site surveillance system includes two econometric models that are collectively known as the System for Estimating Examination Ratings (SEER). One model, the SEER risk rank model, uses the latest financial statements to estimate the probability that each Fed-supervised bank will fail in the next two years. The other component, the SEER rating model, uses the latest financial statements to produce a ?shadow? CAMELS rating for each supervised bank. Banks identified as risky by either model receive closer supervisory scrutiny than other state-member banks.> Because many ...
Review , Volume 84 , Issue Jan. , Pages 47-63

Journal Article
Loan quality in the Eighth District: worth a closer look
Stojanovic, Dusan; Vaughan, Mark D. (1996-07)
The Regional Economist , Issue Jul , Pages 12-13

Journal Article
"Cedars" deposits: will they fly?
Yeager, Timothy J.; Vaughan, Mark D. (2003-10)
Deposit-hungry community banks are turning to a new funding tool called the Certificate of Deposit Account Registry Service. The service says it can help smaller banks attract more jumbo deposits from local customers.
The Regional Economist , Issue Oct , Pages 10-11

Working Paper
The role of a CAMEL downgrade model in bank surveillance
Vaughan, Mark D.; Gilbert, R. Alton; Meyer, Andrew P. (2000)
This article examines the potential contribution to bank supervision of a model designed to predict which banks will have their supervisory ratings downgraded in future periods. Bank supervisors rely on various tools of off-site surveillance to track the condition of banks under their jurisdiction between on-site examinations, including econometric models. One of the models that the Federal Reserve System uses for surveillance was estimated to predict bank failures. Because bank failures have been so rare during the last decade, the coefficients on this model have been "frozen" since 1991. ...
Working Papers , Paper 2000-021