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Working Paper
Shrinking Networks: A Spatial Analysis of Bank Branch Closures
Tranfaglia, Anna (2018-03-20)
As more consumers take advantage of online banking services, branch networks are declining across the country. Limited attention has been given to identifying any possible spatial patterns of branch closures and, more importantly, the community demographics where branches close their doors. This analysis uses an innovative spatial statistics concept to study financial services: Using data from 2010 to 2016, a random labelling test is conducted to understand branch closure clustering in the Philadelphia, Chicago, and Baltimore metropolitan statistical areas (MSAs). Additionally, spatial ...
Working Papers , Paper 18-12

Working Paper
How have global shocks impacted the real effective exchange rates of individual Euro area countries since the Euro's creation?
Mehl, Arnaud; Chudik, Alexander; Bussiere, Matthieu (2011)
This paper uncovers the response pattern to global shocks of euro area countries' real effective exchange rates before and after the start of Economic and Monetary Union (EMU), a largely open ended question when the euro was created. We apply to that end a newly developed methodology based on high dimensional VAR theory. This approach features a dominant unit to a large set of over 60 countries' real effective exchange rates and is based on the comparison of two estimated systems: one before and one after EMU. ; We find strong evidence that the pattern of responses depends crucially on the ...
Globalization Institute Working Papers , Paper 102

Working Paper
A Market Interpretation of Treatment Effects
Minton, Robert; Mulligan, Casey B. (2024-12-20)
Markets, likened to an invisible hand, often appear to contradict econometric assumptions that rule out spillovers of one person’s treatment on another’s outcomes. This paper provides a simple statistical framework highlighting that controls are indirectly affected by the treatment through the market. Further, the effect of the treatment on the treated reveals only part of the consequence for the treated of treating the entire market. When combined with economic theory, our framework leads to a new application of Marshall’s Laws of Derived Demand that relates econometric estimates of ...
Finance and Economics Discussion Series , Paper 2024-096

Working Paper
Assessing Macroeconomic Tail Risk
Matthes, Christian; Zhang, Donghai; Loria, Francesca (2019-04-19)
What drives macroeconomic tail risk? To answer this question, we borrow a definition of macroeconomic risk from Adrian et al. (2019) by studying (left-tail) percentiles of the forecast distribution of GDP growth. We use local projections (Jord, 2005) to assess how this measure of risk moves in response to economic shocks to the level of technology, monetary policy, and financial conditions. Furthermore, by studying various percentiles jointly, we study how the overall economic outlook?as characterized by the entire forecast distribution of GDP growth?shifts in response to shocks. We find that ...
Working Paper , Paper 19-10

Working Paper
Sample Selection Models Without Exclusion Restrictions: Parameter Heterogeneity and Partial Identification
Honore, Bo E.; Hu, Luojia (2021-07)
This paper studies semiparametric versions of the classical sample selection model (Heckman (1976, 1979)) without exclusion restrictions. We extend the analysis in Honoré and Hu (2020) by allowing for parameter heterogeneity and derive implications of this model. We also consider models that allow for heteroskedasticity and briefly discuss other extensions. The key ideas are illustrated in a simple wage regression for females. We find that the derived implications of a semiparametric version of Heckman's classical sample selection model are consistent with the data for women with no college ...
Working Paper Series , Paper WP 2022-33

Report
The Affordable Care Act and the COVID-19 Pandemic: A Regression Discontinuity Analysis
Pinkovskiy, Maxim L.; Chakrabarti, Rajashri; Nober, William; Meyerson, Lindsay; Avtar, Ruchi (2020-11-01)
Did Medicaid expansion under the Affordable Care Act affect the course of the COVID-19 pandemic? We answer this question using a regression discontinuity design for counties near the borders of states that expanded Medicaid with states that did not. Relevant covariates change continuously across the Medicaid expansion frontier. We find that (1) health insurance changes discontinuously at the frontier, (2) COVID-19 testing is discontinuously larger in Medicaid-expanding states, and (3) the fraction of beds occupied in ICUs is discontinuously smaller in Medicaid-expanding states. We also find ...
Staff Reports , Paper 948

Report
The Spread of COVID-19 and the BCG Vaccine: A Natural Experiment in Reunified Germany
Pinkovskiy, Maxim L.; Bluhm, Richard (2020-05-01)
As COVID-19 has spread across the globe, several observers noticed that countries still administering an old vaccine against tuberculosis—the BCG vaccine—have had fewer COVID-19 cases and deaths per capita in the early stages of the outbreak. This paper uses a geographic regression discontinuity analysis to study whether and how COVID-19 prevalence changes discontinuously at the old border between West Germany and East Germany. The border used to separate two countries with very different vaccination policies during the Cold War era. We provide formal evidence that there is indeed a ...
Staff Reports , Paper 926

Working Paper
Tail Sensitivity of US Bank Net Interest Margins: A Bayesian Penalized Quantile Regression Approach
Fritsch, Nicholas (2025-03-07)
Bank net interest margins (NIM) have been historically stable in the US on average, but this stability deteriorated in the post-2020 period, particularly in the tails of the distribution. Recent literature disagrees on the extent to which banks hedge interest rate risk, and past literature shows that credit risk and persistence are also important considerations for bank NIM. I use a novel approach to Bayesian dynamic panel quantile regression to document heterogeneity in US bank NIM estimated sensitivities to interest rates, credit risk, and own persistence. I find increased sensitivity to ...
Working Papers , Paper 25-09

Working Paper
What Drives Cyber Losses at U.S. Banks? Potential Statistical Markers
Murphy, Anthony; Tindall, Michael; Klemme, Kelly; Suek, Joseph I.; Dunbar, Seth (2025-05-15)
Bank supervisors and regulators are keen to understand and mitigate bank cyber risks. We model average annual loss (AAL) rates from “attritional” cyber-attacks and other cyber events using new, individual bank level data from the CyberCube “analytics platform” combined with standard bank performance measures. We estimate a variety of regression models to robustly identify the systematic drivers of these loss rates. We find that cyber risk AAL loss rates are significantly U-shaped in bank size, contrary to the view these risks are declining in bank size. Bank cyber risk contains a ...
Working Papers , Paper 2520

Report
On binscatter
Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; Feng , Yingjie (2019-02-01)
Binscatter is a popular method for visualizing bivariate relationships and conducting informal specification testing. We study the properties of this method formally and develop enhanced visualization and econometric binscatter tools. These include estimating conditional means with optimal binning and quantifying uncertainty. We also highlight a methodological problem related to covariate adjustment that can yield incorrect conclusions. We revisit two applications using our methodology and find substantially different results relative to those obtained using prior informal binscatter methods. ...
Staff Reports , Paper 881

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