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Working Paper
Specifying a consistent joint maximum-likelihood (JMLE) approach to testing bond models
Ramamurtie, Buddhavarapu Sailesh; Ulman, Scott (1996)
In this paper we extend the results derived in our earlier work to develop a methodology to employ the maximum-likelihood estimation technique for the pricing of interest rate instruments. In order to price bonds and their derivative assets, researchers must identify a preference parameter in addition to the dynamics for the interest rate process. There are two approaches to obtaining estimators for both preference and dynamics parameters: (1) a two-stage approach and (2) a single-stage joint maximum-likelihood (JMLE) approach. The first approach, while tractable, suffers from serious ...
FRB Atlanta Working Paper , Paper 96-15

Report
Three decades of financial sector risk
Houston, Joel F.; Stiroh, Kevin J. (2006)
This paper examines the evolution of risk in the U.S. financial sector using firm-level equity market data from 1975 to 2005. Over this period, financial sector volatility has steadily increased, reaching extraordinary levels from 1998 to 2002. Much of this recent turbulence can be attributed to a series of major financial shocks, and we find evidence of an upward trend in volatility only for the common component that affects the entire financial sector. While idiosyncratic volatility remains dominant, a combination of common shocks, deregulation, and diversification has reduced its relative ...
Staff Reports , Paper 248

Working Paper
Price reactions to public announcements
Rebello, Michael J.; Ramamurtie, Buddhavarapu Sailesh (1996)
We employ a parametric rational expectations equilibrium model to study the impact of public information releases on private information acquisition and asset prices in a large economy. We demonstrate that investors treat public information as a substitute for privately acquired information. Their attempts to substitute public for private information can amplify or even reverse the effect of public information releases on price volatility. The direction of the resulting change in price volatility is dependent on the level of public information regarding asset payoffs, the variance of asset ...
FRB Atlanta Working Paper , Paper 96-16

Conference Paper
Commentary : the impact of population aging on financial markets
Turner, Adair (2004-08)
Proceedings - Economic Policy Symposium - Jackson Hole , Issue Aug , Pages 217-228

Report
Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures
Menkveld, Albert J.; Sarkar, Asani; Van der Wel, Michel (2007)
Customer order flow correlates with permanent price changes in equity and non-equity markets. We examine macro news events in the thirty-year Treasury futures market to identify causality from customer flow to risk-free rates. We remove the positive feedback trading effect and establish that, in the fifteen minutes subsequent to the news, intermediaries rely on customer orders to determine a substantial part of the announcement?s effect on risk-free rates?about one-third relative to the instantaneous effect. Intermediaries appear to benefit from privately observing informed customers, since ...
Staff Reports , Paper 307

Speech
The outlook for the economy
Yellen, Janet L. (2010)
Presentation to Financial Executives International, San Francisco, CA, April 15, 2010
Speech , Paper 81

Journal Article
Monetary policy and financial market evolution
Smith, Bruce D.; Bencivenga, Valerie R. (2003-07)
Review , Volume 85 , Issue Jul , Pages 7-26

Journal Article
Financial markets conference explores venture capital
anonymous (2002-07)
Financial Update , Volume 15 , Issue Jul , Pages 5

Working Paper
Contractual opportunism, limited liability, and the role of financial coalitions
Smith, Stephen D.; Noe, Thomas H. (1994)
FRB Atlanta Working Paper , Paper 94-17

Working Paper
On the effectiveness of the Federal Reserve's new liquidity facilities
Wu, Tao (2008)
This paper examines the effectiveness of the new liquidity facilities that the Federal Reserve established in response to the recent financial crisis. I develop a no-arbitrage based affine term structure model with default risk and conduct a thorough factor analysis of the counterparty default risk among major financial institutions and the underlying mortgage default risk. The new facilities' effectiveness is examined, by first separately examining their effects in relieving financial institutions' liquidity concerns and reducing the counterparty risk premiums, and then quantifying their ...
Working Papers , Paper 0808

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