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Working Paper
A closer look at nonparticipants during and after the Great Recession
Rios-Avila, Fernando; Pitts, M. Melinda; Hotchkiss, Julie L. (2012)
This paper uses matched individual-level data from the Current Population Survey to determine that around the 2008 recession, there was a significant upward shift in trend of the share of labor force leavers giving "Schooling" and "Other" as the reason for absence from the labor market. This trend shift is observed primarily among workers between the ages of 25 and 54 and is widespread across all educational groups with at least a high school degree. In addition, the upward shift in the trend of the schooling reason share occurred among workers previously employed in occupations and ...
FRB Atlanta Working Paper , Paper 2012-10

Working Paper
Foreclosure externalities: Some new evidence
Willen, Paul S.; Gerardi, Kristopher S.; Yao, Vincent W.; Rosenblatt, Eric (2012)
In a recent set of influential papers, researchers have argued that residential mortgage foreclosures reduce the sale prices of nearby properties. We revisit this issue using a more robust identification strategy combined with new data that contain information on the location of properties secured by seriously delinquent mortgages and information on the condition of foreclosed properties. We find that while properties in virtually all stages of distress have statistically significant, negative effects on nearby home values, the magnitudes are economically small, peak before the distressed ...
FRB Atlanta Working Paper , Paper 2012-11

Working Paper
Comparing New Keynesian models in the Euro area: a Bayesian approach
Rubio-Ramirez, Juan F.; Rabanal, Pau (2003)
This paper estimates and compares four versions of the sticky price New Keynesian model for the Euro area, using a Bayesian approach as described in Rabanal and Rubio-Ramrez (2003). We find that the average duration of price contracts is between four and eight quarters, similar to the one estimated in the United States, while price indexation is found to be smaller. On the other hand, average duration of wage contracts is estimated to between one and two quarters, lower than the one found for the United States, while wage indexation is higher. Finally, the marginal likelihood indicates that ...
FRB Atlanta Working Paper , Paper 2003-30

Working Paper
Data aggregation and the problem of measuring a bank's interest rate exposure
Cohen, Hugh (1994)
FRB Atlanta Working Paper , Paper 94-6

Working Paper
Payment system settlement and bank incentives
Roberds, William; Kahn, Charles M. (1996)
In this paper we consider the relative merits of net versus gross settlement of interbank payments. Net settlement economizes on the costs of holding non-interest-bearing reserves but increases moral hazard problems. The "put option" value of default under net settlement can also distort banks' investment incentives. ; Absent these distortions, net settlement dominates gross, although the optimal net settlement scheme may involve a positive probability of default. Net settlement becomes more attractive relative to gross settlement if bank assets have to be liquidated at less than book value.
FRB Atlanta Working Paper , Paper 96-10

Working Paper
Concentrated shareholdings and the number of outside analysts
Smith, Stephen D.; Sabherwal, Sanjiv (1999)
Assuming some fixed cost to information acquisition, diffuse shareholders in publicly held firms have little incentive to produce information that can substitute for the services of financial analysts. However, we argue that concentrated shareholdings, either by outsiders like institutions or by inside managers, reduce the demand for analyst services. The former group finds it worthwhile to produce its own information and avoid any moral hazard problems associated with analyst forecasts, while the concentration of shareholdings by insiders reduces the moral hazard problem associated with ...
FRB Atlanta Working Paper , Paper 99-7

Working Paper
Reducing foreclosures: no easy answers
Goette, Lorenz; Gerardi, Kristopher; Foote, Christopher L.; Willen, Paul S. (2009)
This paper takes a skeptical look at a leading argument about what is causing the foreclosure crisis and what should be done to stop it. We use an economic model to focus on two key decisions: the borrower's choice to default on a mortgage and the lender's subsequent choice whether to renegotiate or modify the loan. The theoretical model and econometric analysis illustrate that unaffordable loans, defined as those with high mortgage payments relative to income at origination, are unlikely to be the main reason that borrowers decide to default. In addition, this paper provides theoretical ...
FRB Atlanta Working Paper , Paper 2009-15

Working Paper
Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates
Mitra, Indrajit; Xu, Yu (2020-11-09)
We present a theory in which limited risk sharing of idiosyncratic labor income risk plays a key role in determining the dynamics of interest rates. Our production-based model relates the cross-sectional distribution of labor income risk to observable aggregate labor market variables. Our model makes two key predictions. First, it predicts positive risk premia for long-term bonds while simultaneously matching key macroeconomic moments. Second, it predicts a negative correlation between current labor market conditions (as measured by labor market tightness or the job-finding rate) and future ...
FRB Atlanta Working Paper , Paper 2020-20

Working Paper
Bayesian semiparametric multivariate GARCH modeling
Jensen, Mark J.; Maheu, John M. (2012)
This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature, the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given a flexible Dirichlet process prior. The GARCH functional form enters into each of the components of this mixture. We discuss conjugate methods that allow for scale mixtures and nonconjugate methods, which provide mixing over both the location and scale of the normal components. MCMC methods are ...
FRB Atlanta Working Paper , Paper 2012-09

Working Paper
Common trends and common cycles in Canada: who knew so much has been going on?
Wakerly, Elizabeth C.; Scott, Byron G.; Nason, James M. (2004)
It is generally accepted that convergence is well established for regional Canadian per capita outputs. The authors present evidence that long-run movements are driven by two stochastic common trends in this time series. This evidence casts doubt on the convergence hypothesis for Canada. Another prevalent belief is that Canada forms an optimal currency area (OCA). The authors uncover three serially correlated common cycles whose asymmetries suggest Canada is not an OCA. Their common trend-common cycle decomposition of regional outputs also reveals that trend shocks dominate fluctuations in ...
FRB Atlanta Working Paper , Paper 2004-5

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