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Working Paper
The welfare consequences of ATM surcharges: evidence from a structural entry model
Gowrisankaran, Gautam; Krainer, John (2004)
We estimate a structural model of the market for automatic teller machines (ATMs) in order to evaluate the implications of regulating ATM surcharges on ATM entry and consumer and producer surplus. We estimate the model using data on firm and consumer locations, and identify the parameters of the model by exploiting a source of local quasi?experimental variation, that the state of Iowa banned ATM surcharges during our sample period while the state of Minnesota did not. We develop new econometric methods that allow us to estimate the parameters of equilibrium models without computing ...
Working Paper Series , Paper 2005-01

Working Paper
Risk overhang and loan portfolio decisions
Winton, Andrew; DeYoung, Robert; Gron, Anne (2005)
Despite operating under substantial regulatory constraints, we find that commercial banks manage their investments largely consistent with the predictions of portfolio choice models with capital market imperfections. Based on 1990-2002 data for small (assets less than $1 billion) U.S. commercial banks, net new lending to the business, real estate, and consumer sectors increased with expected sector profitability, tended to decrease with the illiquidity of existing (overhanging) loan stocks, and was responsive to correlations in cross-sector returns. Small banks are most appropriate for this ...
Working Paper Series , Paper WP-05-04

Working Paper
Quantifying embodied technological change
Wilson, Daniel J.; Sakellaris, Plutarchos (2001)
We estimate the rate of embodied technological change directly from plant-level manufacturing data on current output and input choices along with histories on their vintages of equipment investment. Our estimates range between 8 and 17 percent for the typical U.S. manufacturing plant during the years 1972-1996. Any number in this range is substantially larger than is conventionally accepted with some important implications. First, the role of investment-specific technological change as an engine of growth is even larger than previously estimated. Second, existing producer durable price ...
Working Paper Series , Paper 2001-16

Working Paper
The Federal Reserve’s Evolving Monetary Policy Implementation Framework: 1914-1923
Chabot, Benjamin (2017-01-18)
The Federal Reserve has relied upon a number of different monetary policy implementation frameworks throughout its history. This paper describes the original implementation framework that evolved between 1914 and 1923 in response to new policy objectives and changing market conditions.
Working Paper Series , Paper WP-2017-1

Working Paper
Specifying and estimating New Keynesian models with instrument rules and optimal monetary policies
Dennis, Richard (2004)
This paper estimates several popular sticky-price New Keynesian models in an effort to understand whether and under what circumstances these models can usefully describe observed outcomes. We estimate and compare specifications that contain different forms of habit formation, specifications that have either the gap or real marginal costs driving inflation, and specifications that use either optimal policymaking or a forward-looking Taylor-type rule to summarize monetary policy. Among other results, we find that the different forms of habit formation lead to very similar aggregate behavior, ...
Working Paper Series , Paper 2004-17

Working Paper
Measurement errors in Japanese Consumer Price Index
Shiratsuka, Shigenori (1999)
In Japan, the Consumer Price Index (CPI) is widely used as a measure of inflation or the cost of living. The CPI is constructed by using a fixed-weight Laspeyres formula. This formula is used mainly because of its ease of calculation and comprehension, thus limiting the total cost of constructing the statistics. However, such simplicity makes it difficult for the CPI to reflect dynamic changes in economic activity such as changes in consumers' behavior between goods in response to relative price fluctuation, the introduction of new goods, and the disappearance of old goods. As a result, ...
Working Paper Series , Paper WP-99-2

Working Paper
Estimation of a transformation model with truncation, interval observation and time-varying covariates
Hu, Luojia; Honore, Bo E. (2009)
Abrevaya (1999b) considered estimation of a transformation model in the presence of left-truncation. This paper observes that a cross-sectional version of the statistical model considered in Frederiksen, Honor, and Hu (2007) is a generalization of the model considered by Abrevaya (1999b) and the generalized model can be estimated by a pairwise comparison version of one of the estimators in Frederiksen, Honor, and Hu (2007). Specifically, our generalization will allow for discretized observations of the dependent variable and for piecewise constant time- varying explanatory variables.
Working Paper Series , Paper WP-09-16

Working Paper
The cost of banking panics in an age before “Too Big to Fail”
Chabot, Benjamin (2011)
How costly were the banking panics of the National Banking Era (1861-1913)? I combine two hand-collected data sets - the weekly statements of the New York Clearing House banks and the monthly holding period return of every stock listed on the NYSE - to estimate the cost of banking panics in an era before ?too big to fail.? The bank statements allow me to construct a hypothetical insurance contract which would have allowed investors to insure against sudden deposit withdrawals and the cross-section of stock returns allow us to draw inferences about the marginal utility during panic states. ...
Working Paper Series , Paper WP-2011-15

Working Paper
Measuring the effect of the zero lower bound on medium- and longer-term interest rates
Williams, John C.; Swanson, Eric T. (2012)
The zero lower bound on nominal interest rates has constrained the Federal Reserve?s setting of the overnight federal funds rate for over three years running. According to many macroeconomic models, such an extended period of being stuck at the zero bound has important implications for the effectiveness of monetary and fiscal policies. However, economic theory also implies that households? and firms? decisions depend on the entire path of expected future short-term interest rates, not just the current level of the overnight rate. Thus, interest rates with a year or more to maturity are ...
Working Paper Series , Paper 2012-02

Working Paper
Monetary policy and the currency denomination of debt: a tale of two equilibria
Velasco, Andres; Chang, Roberto (2004)
Exchange rate policies depend on portfolio choices, and portfolio choices depend on anticipated exchange rate policies. This opens the door to multiple equilibria in policy regimes. We construct a model in which agents optimally choose to denominate their assets and liabilities either in domestic or in foreign currency. The monetary authority optimally chooses to float or to fix the currency, after portfolios have been chosen. We identify conditions under which both fixing and floating are equilibrium policies: if agents expect fixing and arrange their portfolios accordingly, the monetary ...
Working Paper Series , Paper 2004-30

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