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Bank:Board of Governors of the Federal Reserve System (U.S.) 

Discussion Paper
Determinants of commercial bank liability structure, 1970-75

Research Papers in Banking and Financial Economics , Paper 13

Working Paper
Are Central Cities Poor and Non-White?

For much of the 20th century, America's central cities were viewed as synonymous with economic and social hardship, often used as proxy for low-income communities of color. Since the 1990s, however, many metropolitan areas have seen a resurgence of interest in central city neighborhoods. Theoretical models of income sorting lead to ambiguous predictions about where households of different income levels will live within metropolitan areas. In this paper, we explore intra-city spatial patterns of income and race for U.S. metropolitan areas, focusing particularly on the locations of low-income ...
Finance and Economics Discussion Series , Paper 2017-031

Working Paper
Strategic Liquidity Mismatch and Financial Sector Stability

This paper examines whether banks strategically incorporate their competitors? liquidity mismatch policies when determining their own and how these collective decisions impact financial sector stability. Using a novel identification strategy exploiting the presence of partially overlapping peer groups, I show that banks? liquidity transformation activity is driven by that of their peers. These correlated decisions are concentrated on the asset side of riskier banks and are asymmetric, with mimicking occurring only when competitors are taking more risk. Accordingly, this strategic behavior ...
Finance and Economics Discussion Series , Paper 2019-082

Working Paper
Animal spirits, margin requirements, and stock price volatility

Finance and Economics Discussion Series , Paper 91

Working Paper
Distributed Ledger Technology in Payments, Clearing, and Settlement

Digital innovations in finance, loosely known as fintech, have garnered a great deal of attention across the financial industry. Distributed ledger technology (DLT) is one such innovation that has been cited as a means of transforming payment, clearing, and settlement (PCS) processes, including how funds are transferred and how securities, commodities, and derivatives are cleared and settled. DLT is a term that has been used by the industry in a variety of ways and so does not have a single definition. Because there is a wide spectrum of possible deployments of DLT, this paper will refer to ...
Finance and Economics Discussion Series , Paper 2016-095

Working Paper
Which Output Gap Estimates Are Stable in Real Time and Why?

Output gaps that are estimated in real time can differ substantially from those estimated after the fact. We aim to understand the real-time instability of output gap estimates by comparing a suite of reduced-form models. We propose a new statistical decomposition and find that including a Okun’s law relationship improves real-time stability by alleviating the end-point problem. Models that include the unemployment rate also produce output gaps with relevant economic content. However, we find that no model of the output gap is clearly superior to the others along each metric we consider.
Finance and Economics Discussion Series , Paper 2020-102

Discussion Paper
How Does Intergenerational Wealth Transmission Affect Wealth Concentration?

In this note, we seek to establish the role of intergenerational wealth transmission by using the Federal Reserve Board's Survey of Consumer Finances (SCF), which contains extensive information about household balance sheets, intergenerational transfers made and received, and demographic and socioeconomic characteristics of respondents.
FEDS Notes , Paper 2018-06-01

Working Paper
Missing Import Price Changes and Low Exchange Rate Pass-Through

A large body of empirical work has found that exchange rate movements have only modest effects on inflation. However, the response of an import price index to exchange rate movements may be underestimated because some import price changes are missed when constructing the index. We investigate downward biases that arise when items experiencing a price change are especially likely to exit or to enter the index. We show that, in theoretical pricing models, entry and exit have different implications for the timing and size of these biases. Using Bureau of Labor Statistics (BLS) microdata, we ...
International Finance Discussion Papers , Paper 1040

Working Paper
Post-simulation analysis of Monte Carlo experiments: interpreting Pesaran's (1974) study of non-nested hypothesis test statistics

"Monte Carlo experimentation in econometrics helps 'solve' deterministic problems by simulating stochastic analogues in which the analytical unknowns are reformulated as parameters to be estimated." (Hendry (1980) With that in mind, Monte Carlo studies may be divided operationally into three phases: design, simulation, and post-simulation analysis. This paper provides a guide to the last of those three, post-simulation analysis, given the design and simulation of a Monte Carlo study, and uses Pesaran's (1974) study of statistics for testing non-nested hypotheses to illustrate the techniques ...
International Finance Discussion Papers , Paper 276

Working Paper
Patent-Based News Shocks

We exploit firm-level data on patent grants and subsequent reactions of stocks to identify technological news shocks. Changes in stock market valuations due to announcements of individual patent grants represent expected future increases in the technology level, which we refer to as patent-based news shocks. Our patentbased news shocks resemble diffusion news, in that they do not affect total factor productivity in the short run but induce a strong permanent effect after five years. These shocks produce positive comovement between consumption, output, investment, and hours. Unlike the ...
International Finance Discussion Papers , Paper 1277

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