Board of Governors of the Federal Reserve System Research Series最新文献_第5页

Managing Capital Flows in the Presence of External Risks 外部风险下的资本流动管理

Board of Governors of the Federal Reserve System Research Series Pub Date : 2017-09-14 DOI: 10.17016/IFDP.2017.1213

Ricardo Reyes-Heroles, Gabriel Tenorio

{"title":"Managing Capital Flows in the Presence of External Risks","authors":"Ricardo Reyes-Heroles, Gabriel Tenorio","doi":"10.17016/IFDP.2017.1213","DOIUrl":"https://doi.org/10.17016/IFDP.2017.1213","url":null,"abstract":"We introduce external risks, in the form of shocks to the level and volatility of world interest rates, into a small open economy model subject to the risk of sudden stops?large recessions together with abrupt reversals in capital inflows| and characterize optimal macroprudential policy in response to these shocks. In the model, collateral constraints create a pecuniary externality that leads to \"overborrowing\" and sudden stops that arise when the constraints bind. The typical sudden stop generated by the model replicates existing empirical evidence for emerging market economies: Low and stable external interest rates reinforce \"overborrowing\" and lead to greater exposure to crises typically accompanied by abrupt increases in interest rates and a persistent rise in their volatility. We solve for the optimal policy and argue that the size of a tax on international borrowing that implements the policy depends on two factors, the incidence and the severity of potential future crises. We show quantitatively that these taxes respond to both the level and volatility of interest rates even though optimal decisions in the competitive equilibrium do not respond substantially to changes in volatility, and that the size of the optimal tax is non-monotonic with respect to external shocks.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121148467","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

Why Rent When You Can Buy? 能买为什么要租?

Board of Governors of the Federal Reserve System Research Series Pub Date : 2017-09-06 DOI: 10.2139/ssrn.3044576

Cyril Monnet, B. Narajabad

引用次数: 6

Managing Counterparty Risk in OTC Markets 管理场外交易市场的交易对手风险

Board of Governors of the Federal Reserve System Research Series Pub Date : 2017-08-15 DOI: 10.17016/FEDS.2017.083r1

C. Frei, A. Capponi, Celso Brunetti

引用次数: 3

International Transfer Pricing and Tax Avoidance: Evidence from Linked Trade-Tax Statistics in the UK 国际转让定价与避税:来自英国关联贸易税统计的证据

Board of Governors of the Federal Reserve System Research Series Pub Date : 2017-08-01 DOI: 10.17016/IFDP.2017.1214

L. Liu, Tim Schmidt-Eisenlohr, Dongxian Guo

引用次数: 39

A Price-Differentiation Model of the Interbank Market and its Application to a Financial Crisis 银行间市场的价格分化模型及其在金融危机中的应用

Board of Governors of the Federal Reserve System Research Series Pub Date : 2017-06-16 DOI: 10.17016/FEDS.2017.065

Kyungmin Kim

引用次数: 1

The Credit Card Act and Consumer Finance Company Lending 信用卡法案和消费者金融公司贷款

Board of Governors of the Federal Reserve System Research Series Pub Date : 2017-06-01 DOI: 10.17016/FEDS.2017.072

{"title":"The Credit Card Act and Consumer Finance Company Lending","authors":"","doi":"10.17016/FEDS.2017.072","DOIUrl":"https://doi.org/10.17016/FEDS.2017.072","url":null,"abstract":"Abstract The Credit Card Accountability and Disclosure Act (CARD Act) of 2009 restricted several risk management practices of credit card issuers. Using a quasi-experimental design with credit bureau data on consumer lending, we find evidence consistent with the hypothesis that the act's restrictions on risk management practices contributed to a large decline in bank card holding by higher risk, nonprime consumers but had little effect on prime consumers. Looking at consumer finance loans, historically a source of credit for higher risk consumers, we find greater reliance on such loans by nonprime consumers in states with high consumer finance rate ceilings following the CARD Act than by nonprime consumers in states with low rate ceilings or by prime consumers. That nonprime consumers in states with high consumer finance rate ceilings relied more heavily on consumer finance loans suggests that consumer finance loans were a substitute for subprime credit cards for risky consumers when rate ceilings permit such loans to be profitable. Consumer finance loans would not be available to many higher risk, nonprime consumers in low rate states because such loans would be unprofitable, and prime consumers would not need consumer finance loans because other less expensive types of credit would generally be available to them.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126481416","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 18

Information in Financial Markets: Who Gets it First? 金融市场中的信息:谁先得到?

Board of Governors of the Federal Reserve System Research Series Pub Date : 2017-05-10 DOI: 10.17016/FEDS.2017.023

Nathan Swem

引用次数: 4

The Role of Transfer Prices in Profit-Shifting by U.S. Multinational Firms: Evidence from the 2004 Homeland Investment Act 转移价格在美国跨国公司利润转移中的作用:来自2004年美国本土投资法案的证据

Board of Governors of the Federal Reserve System Research Series Pub Date : 2017-05-01 DOI: 10.17016/FEDS.2017.055

Aaron B. Flaaen

{"title":"The Role of Transfer Prices in Profit-Shifting by U.S. Multinational Firms: Evidence from the 2004 Homeland Investment Act","authors":"Aaron B. Flaaen","doi":"10.17016/FEDS.2017.055","DOIUrl":"https://doi.org/10.17016/FEDS.2017.055","url":null,"abstract":"Using unique transaction-level microdata, this paper documents profit-shifting behavior by U.S. multinational firms via the strategic transfer pricing of intra-firm trade. A simple model reveals how differences in tax rates, both the corporate tax rates across countries and the dividend repatriation tax rate over time, affect the worldwide profit-maximizing transfer-prices set by firms for intra-firm exports and imports. I test the predictions of the model in the context of the 2004 Homeland Investment Act (HIA), a one-time tax repatriation holiday which generated a discreet change in the incentives for U.S. firms to shift profits to low-tax jurisdictions. Matching individual trade transactions by firm, product, country, mode-of-transport, and month across arms-length and related-party transactions (following Bernard, Jensen, and Schott (2006) ) yields a measure of the transfer-price wedge at a point in time. A difference-in-difference strategy reveals that this wedge responds as predicted by the model: In the period following passage of the HIA, the export transfer price wedge increased in low-tax relative to high-tax countries, while the import transfer price wedge exhibited the opposite behavior. Consistent with the form of tax avoidance known as \"round-tripping, the results imply $6 billion USD of under-reported U.S. exports, nearly $7 billion USD of over-reported U.S. imports, and roughly $2 billion USD in foregone U.S. corporate tax receipts.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131580431","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 33

Safe Collateral, Arm's-Length Credit: Evidence from the Commercial Real Estate Mortgage Market 安全抵押品，公平信用:来自商业房地产抵押贷款市场的证据

Board of Governors of the Federal Reserve System Research Series Pub Date : 2017-05-01 DOI: 10.17016/FEDS.2017.056

Lamont K. Black, John Krainer, Joseph B. Nichols

引用次数: 2

Estimating the Competitive Effects of Common Ownership 共同所有制的竞争效应评估

Board of Governors of the Federal Reserve System Research Series Pub Date : 2017-04-21 DOI: 10.17016/FEDS.2017.029r1

Jacob P. Gramlich, Serafin Grundl

{"title":"Estimating the Competitive Effects of Common Ownership","authors":"Jacob P. Gramlich, Serafin Grundl","doi":"10.17016/FEDS.2017.029r1","DOIUrl":"https://doi.org/10.17016/FEDS.2017.029r1","url":null,"abstract":"If managers maximize the payoffs of their shareholders rather than firm profits, then it may be anticompetitive for a shareholder to own competing firms. This is because a manager?s objective function may place weight on profits of competitors who are held by the same shareholder. Recent research found evidence that common ownership by diversified institutional investors is anticompetitive by showing that prices in the airline and banking industries are related to generalized versions of the Herfindahl-Hirschman Index (HHI) that account for common ownership. In this paper we propose an alternative approach to estimating the competitive effects of common ownership that relates prices and quantities directly to the weights that such managers may be placing on the profits of their rivals. We argue that this approach has several advantages. First, the approach does not inherit the endogeneity problems of HHI regressions, which arise because HHI measures are functions of quantities. Second, because we treat quantities as outcomes we can look for competitive effects of common ownership on both prices and quantities. Third, while concentration measures vary only at the market-time level, the profit weights also vary at the firm level, which allows us to control for a richer set of unobservables. We apply this approach to data from the banking industry. Our empirical findings are mixed, though they?re preliminary as we investigate irregularities in ownership data (Anderson and Brockman (2016)). The sign of the estimated effect is sensitive to the specification. Economically, estimated effects on prices and quantities are fairly small.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114617189","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 24