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Bank:Federal Reserve Bank of Atlanta 

Journal Article
Credit derivatives and risk management

The striking growth of credit derivatives suggests that market participants find them to be useful tools for risk management. This paper illustrates credit derivatives' value with three examples: a commercial bank using credit derivatives to manage loan portfolio risk; an investment bank using them to manage the risks of underwriting securities; and an investor, such as an insurance company, asset manager, or hedge fund, using them to align credit risk exposure with a desired credit risk profile. ; But credit derivatives pose risk-management challenges of their own; the author discusses five ...
Economic Review , Volume 92 , Issue Q4 , Pages 25-41

Journal Article
Southeast's social, economic structures suggest long-term economic boom

Economics Update , Issue Oct , Pages 2

Journal Article
Moderate growth expected for the nation, Southeast in 1996

Regional Update , Issue Oct , Pages 1-4

Working Paper
Model confidence sets for forecasting models

The paper introduces the model confidence set (MCS) and applies it to the selection of forecasting models. An MCS is a set of models that is constructed so that it will contain the ?best? forecasting model, given a level of confidence. Thus, an MCS is analogous to a confidence interval for a parameter. The MCS acknowledges the limitations of the data so that uninformative data yield an MCS with many models, whereas informative data yield an MCS with only a few models. We revisit the empirical application in Stock and Watson (1999) and apply the MCS procedure to their set of inflation ...
FRB Atlanta Working Paper , Paper 2005-07

Working Paper
Quantifying "Quantitative Tightening" (QT): How Many Rate Hikes Is QT Equivalent To?

How many interest rate hikes is quantitative tightening (QT) equivalent to? In this paper, I examine this question based on the preferred-habitat model in Vayanos and Vila (2021). I define the equivalence between rate hikes and QT such that they both have the same impact on the 10-year yield. Based on the model calibrated to fit the nominal Treasury data between 1999 and 2022, I show that a passive roll-off of $2.2 trillion over three years is equivalent to an increase of 29 basis points in the current federal funds rate at normal times. However, during a crisis period with risk aversion ...
FRB Atlanta Working Paper , Paper 2022-8

Examining the Effects of COVID-19 on the Southeast Housing Market

To continue to monitor how the COVID-19 crisis is affecting housing in the Atlanta Fed's district, we conducted a Southeast Housing Market Poll from April 24 to May 1. Respondents included homebuilders and residential sales agents (referred to here as brokers).
Real Estate Research

Journal Article
Fed chairman discusses regulatory reform

Fed Chairman Ben Bernanke recently talked about reforming the approach to financial regulation in the United States and discussed adopting an approach that monitors, assesses, and addresses potential systemic risks.
Financial Update , Volume 22 , Issue 1

Journal Article
Fed offers guidance on supervising financial holding companies

Financial Update , Volume 13 , Issue Oct , Pages 3

Working Paper
A, B, C’s, (and D’s) for understanding VARs

The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms of matrices (A, B, C, D) that define a state-space system. An associated state space system (A, K, C, S) determines a vector autoregression (VAR) for observables available to an econometrician. We review circumstances in which the impulse response of the VAR resembles the impulse response associated with the economic model. We give four examples that illustrate a simple condition for checking whether the mapping from VAR shocks to economic shocks is invertible. The condition applies when there ...
FRB Atlanta Working Paper , Paper 2005-09

Journal Article
New Fed product monitors ACH transactions in real time

Federal Reserve Banks recently introduced a new risk management service that allows financial institutions to monitor automated clearinghouse transactions originated by their corporate customers.
Financial Update , Volume 18 , Issue Q 2

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