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Working Paper
Charging up a mountain of debt: households and their credit cards.
Yoo, Peter S. (1996)
I use the Surveys of Consumer Finances conducted in 1983, 1989 and 1992 to separate the growth of credit card debt into two categories, changes in the number of households with credit cards and changes in households credit card debt. I can then account for the relative contributions of increases in credit card availability, number of households, and average credit card debt. I also use the household income information to quantify the impact of more lower income households with credit cards. Data suggest that the increases in credit card debt is largely attributable to increased average credit ...
Working Papers , Paper 1996-015

Working Paper
Debt constrained asset markets
Kehoe, Timothy J.; Levine, David K. (1992)
We develop a theory of general equilibrium with endogenous debt limits in the form of individual rationality constraints similar to those in the dynamic consistency literature. If an agent defaults on a contract, he can be excluded from future contingent claims markets trading and can have his assets seized. He cannot be excluded from spot markets trading, however, and he has some private endowments that cannot be seized. All information is publicly held and common knowledge, and there is a complete set of contingent claims markets. Since there is complete information, an agent cannot enter ...
Working Papers , Paper 445

Working Paper
On the aggregate welfare cost of Great Depression unemployment
Chatterjee, Satyajit; Corbae, Dean (2006)
The potential benefit of policies that eliminate a small likelihood of economic crises is calculated. An economic crisis is defined as an increase in unemployment of the magnitude observed during the Great Depression. For the U.S., the maximum-likelihood estimate of entering a depression is found to be about once every 83 years. The welfare gain from setting this small probability to zero can range between 1 and 7 percent of annual consumption in perpetuity. For most estimates, more than half of these large gains result from a reduction in individual consumption volatility. ; This paper ...
Working Papers , Paper 06-18

Working Paper
Bayesian Estimation and Comparison of Conditional Moment Models
Simoni, Anna; Shin, Minchul; Chib, Siddhartha (2019-12-09)
We provide a Bayesian analysis of models in which the unknown distribution of the outcomes is speci?ed up to a set of conditional moment restrictions. This analysis is based on the nonparametric exponentially tilted empirical likelihood (ETEL) function, which is constructed to satisfy a sequence of unconditional moments, obtained from the conditional moments by an increasing (in sample size) vector of approximating functions (such as tensor splines based on the splines of each conditioning variable). The posterior distribution is shown to satisfy the Bernstein-von Mises theorem, subject to a ...
Working Papers , Paper 19-51

Working Paper
Has COVID Reversed Gentrification in Major U.S. Cities? An Empirical Examination of Residential Mobility in Gentrifying Neighborhoods During the COVID-19 Crisis
Ding, Lei; Hwang, Jackelyn (2022-08-17)
This paper examines whether neighborhoods that had been gentrifying lost their appeal during the pandemic because of COVID-induced health risks and increased work-from-home arrangements. By following the mobility pattern of residents in gentrifying neighborhoods in 39 major U.S. cities, we note a larger increase of 1.2 percentage points in the outmigration rate from gentrifying neighborhoods by the end of 2021, relative to nongentrifying ones, with out-of-city moves accounting for over 71 percent of the increased flight. The share of out-of-city moves into gentrifying neighborhoods also ...
Working Papers , Paper 22-20

Working Paper
Nowcasting Tail Risks to Economic Activity with Many Indicators
Clark, Todd E.; Carriero, Andrea; Massimiliano, Marcellino (2020-05-11)
This paper focuses on tail risk nowcasts of economic activity, measured by GDP growth, with a potentially wide array of monthly and weekly information. We consider different models (Bayesian mixed frequency regressions with stochastic volatility, classical and Bayesian quantile regressions, quantile MIDAS regressions) and also different methods for data reduction (either the combination of forecasts from smaller models or forecasts from models that incorporate data reduction). The results show that classical and MIDAS quantile regressions perform very well in-sample but not out-of-sample, ...
Working Papers , Paper 20-13

Working Paper
A quality and risk-adjusted cost function for banks: evidence on the \" too-big-to-fail\" doctrine
Mester, Loretta J.; Hughes, Joseph P. (1991)
Working Papers , Paper 91-21

Working Paper
The importance of the tax system in determining the marginal cost of funds
Croushore, Dean; Ahmed, Shaghil (1994)
Working Papers , Paper 94-7

Working Paper
Identification Through Sparsity in Factor Models
Freyaldenhoven, Simon (2020-06-22)
Factor models are generally subject to a rotational indeterminacy, meaning that individual factors are only identified up to a rotation. In the presence of local factors, which only affect a subset of the outcomes, we show that the implied sparsity of the loading matrix can be used to solve this rotational indeterminacy. We further prove that a rotation criterion based on the 1-norm of the loading matrix can be used to achieve identification even under approximate sparsity in the loading matrix. This enables us to consistently estimate individual factors, and to interpret them as structural ...
Working Papers , Paper 20-25

Working Paper
Network externalities and technology adoption: lessons from electronic payments
Stavins, Joanna; Gowrisankaran, Gautam (1999)
We seek to determine the presence and causes of network externalities for the automated clearinghouse (ACH) electronic payments system, using a monthly panel data set on individual bank adoption of ACH. We construct a model of ACH usage that shows how to separately identify network externalities from technological advancement and peer-group effects. We find significant evidence of network effects and find evidence that these network effects are not internalized. Moreover, a large part of these network effects is due to informational problems. Sunk costs of adoption appear to be low.
Working Papers , Paper 99-5

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