Board of Governors of the Federal Reserve System Research Series最新文献_第7页

Credit Default Swaps in General Equilibrium: Spillovers, Credit Spreads, and Endogenous Default 一般均衡下的信用违约互换:溢出效应、信用利差和内生违约

Board of Governors of the Federal Reserve System Research Series Pub Date : 2016-04-19 DOI: 10.17016/FEDS.2016.042r1

Matthew Darst, Ehraz Refayet

{"title":"Credit Default Swaps in General Equilibrium: Spillovers, Credit Spreads, and Endogenous Default","authors":"Matthew Darst, Ehraz Refayet","doi":"10.17016/FEDS.2016.042r1","DOIUrl":"https://doi.org/10.17016/FEDS.2016.042r1","url":null,"abstract":"This paper highlights two new effects of credit default swap markets (CDS) in a general equilibrium setting. First, when firms' cash flows are correlated, CDSs impact the cost of capital{credit spreads{and investment for all firms, even those that are not CDS reference entities. Second, when firms internalize the credit spread changes, the incentive to issue safe rather than risky bonds is fundamentally altered. Issuing safe debt requires a transfer of profits from good states to bad states to ensure full repayment. Alternatively, issuing risky bonds maximizes profits in good states at the expense of default in bad states. Profits fall when credit spreads increase, which raises the opportunity cost of issuing risky debt compared to issuing safe debt. Symmetrically, lower credit spreads reduce the opportunity cost of issuing risky debt relative to safe debt. CDSs affect the credit spread at which firms issue risky debt, and ultimately the opportunity cost of issuing defaultable bonds even when underlying firm fundamentals remain unchanged. Hedging (Speculating on) credit risk lowers (raises) credit spreads and enlarges (reduces) the parameter region over which firms choose to issue risky debt.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129786983","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: 0

A Nowcasting Model for Canada: Do U.S. Variables Matter? 加拿大的临近预报模型:美国变量重要吗?

Board of Governors of the Federal Reserve System Research Series Pub Date : 2016-04-01 DOI: 10.17016/FEDS.2016.036

D. Bragoli, M. Modugno

引用次数: 20

Determinants of Capital Adequacy Ratios Under Basel III: Stress Testing and Sensitivity Analysis on Egyptian Banks 巴塞尔协议III下资本充足率的决定因素:对埃及银行的压力测试和敏感性分析

Board of Governors of the Federal Reserve System Research Series Pub Date : 2016-02-01 DOI: 10.2139/ssrn.2788482

T. Eldomiaty, Ashraf Bahie Eldin, Islam A. Azzam

{"title":"Determinants of Capital Adequacy Ratios Under Basel III: Stress Testing and Sensitivity Analysis on Egyptian Banks","authors":"T. Eldomiaty, Ashraf Bahie Eldin, Islam A. Azzam","doi":"10.2139/ssrn.2788482","DOIUrl":"https://doi.org/10.2139/ssrn.2788482","url":null,"abstract":"The objective of this paper is to (a) present an empirical evidence that explains bank internal financial ratios that influence capital adequacy ratio, (b) stress testing the impact of Basel III capital adequacy requirements on Egyptian banks, and (c) offer a road map, through a sensitivity analysis, to bank management regarding the implementation of the stress tests results. The data covers the period from 2010 to 2014 on a quarterly basis. The discriminant analysis is used for testing the robustness of the estimation. Stress testing is utilized based on the estimates the variables that meet Basel III new requirements of Capital adequacy ratio.The results show that (a) return on assets, return on equity, and asset-based market share have significant effects on capital adequacy ratio, (b) the ratios of loans/deposits and non-performing loans have positive significant effects on capital adequacy ratio, (c) the liquidity ratio in US $ has trivial effect on capital adequacy ratio, (d) liquidity ratio in Egyptian pound has insignificant effect on capital adequacy ratio, (e) the ratios of loans/deposits, non-performing loans and liquidity in U.S. $ are robust and significance determinants of capital adequacy ratio. In terms of stress testing, the results show that (a) the average optimal value for loans/deposit ratio is expected to increase to 0.7807 from the current level of 0.4663, (b) the average optimal value for non-performing loans is expected to increase to 0.2174 from the current level of 0.1010 and (c) the average optimal value for liquidity ratio in U.S $ is expected to increase to 1.0 from its current level of 0.5383.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115754929","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

Downward Nominal Wage Rigidity in the United States During and After the Great Recession 经济大衰退期间及之后美国名义工资的向下刚性

Board of Governors of the Federal Reserve System Research Series Pub Date : 2016-01-08 DOI: 10.17016/FEDS.2016.001

Bruce C. Fallick, M. Lettau, W. Wascher

{"title":"Downward Nominal Wage Rigidity in the United States During and After the Great Recession","authors":"Bruce C. Fallick, M. Lettau, W. Wascher","doi":"10.17016/FEDS.2016.001","DOIUrl":"https://doi.org/10.17016/FEDS.2016.001","url":null,"abstract":"Rigidity in wages has long been thought to impede the functioning of labor markets. One recent strand of the research on wage flexibility in the United States and elsewhere has focused on the possibility of downward nominal wage rigidity and what implications such rigidity might have for the macroeconomy at low levels of inflation. The Great Recession of 2008-09, during which the unemployment rate topped 10 percent and price deflation was at times seen as a distinct possibility, along with the subsequent slow recovery and persistently low inflation, has added to the relevance of this line of inquiry. In this paper, we use establishment-level data from a nationally representative establishment-based compensation survey collected by the Bureau of Labor Statistics to investigate the extent to which downward nominal wage rigidity is present in U.S. labor markets. We use several distinct methods proposed in the literature to test for downward nominal wage rigidity, and to assess whether such rigidity is more severe at low rates of inflation and in the presence of negative economic shocks than in more normal economic times. Like earlier studies, we find evidence of a significant amount of downward nominal wage rigidity in the United States. We find no evidence that the high degree of labor market distress during the Great Recession reduced the amount of downward nominal wage rigidity and some evidence that operative rigidity may have increased during that period.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"409 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122900177","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: 46

Risky Mortgages, Bank Leverage and Credit Policy 风险抵押贷款、银行杠杆和信贷政策

Board of Governors of the Federal Reserve System Research Series Pub Date : 2015-12-18 DOI: 10.17016/FEDS.2015.110

F. Ferrante

{"title":"Risky Mortgages, Bank Leverage and Credit Policy","authors":"F. Ferrante","doi":"10.17016/FEDS.2015.110","DOIUrl":"https://doi.org/10.17016/FEDS.2015.110","url":null,"abstract":"Two key channels that allowed the 2007-2009 mortgage crisis to severely impact the real economy were: a housing net worth channel, as defined by Mian and Sufi (2014), which affected the wealth of leveraged households; and a bank net worth channel, which reduced the ability of financial intermediaries to provide credit. To capture these features of the Great Recession, I develop a DSGE model with balance-sheet constrained banks financing both risky mortgages and productive capital. Mortgages are provided to agents facing idiosyncratic housing depreciation risk, implying an endogenous default decision and a link between their borrowing capacity and house prices. The interaction among the housing net worth channel, the bank net worth channel and endogenous foreclosures generates novel amplification mechanisms. I analyze the quantitative implications of these new channels by considering two different shocks linked to the supply of mortgage credit: an increase in the variance of housing risk and a deterioration in the collateral value of mortgages for bank funding. Both shocks are able to produce co-movements in house prices, business investment, consumption and output. Finally, I study two types of policy interventions that are able to reduce the severity of a mortgage crisis: debt relief for borrowing households and central bank credit intermediation.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114640787","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: 6

Old-Fashioned Deposit Runs 老式的存款挤兑

Board of Governors of the Federal Reserve System Research Series Pub Date : 2015-12-18 DOI: 10.1142/s201013922350009x

J. Rose

引用次数: 7

Credit Risk, Liquidity and Lies 信用风险、流动性和谎言

Board of Governors of the Federal Reserve System Research Series Pub Date : 2015-12-18 DOI: 10.17016/FEDS.2015.112

T. King, K. Lewis

引用次数: 10

The Corporate Saving Glut in the Aftermath of the Global Financial Crisis 全球金融危机后的企业储蓄过剩

Board of Governors of the Federal Reserve System Research Series Pub Date : 2015-11-05 DOI: 10.17016/IFDP.2015.1150

Joseph W. Gruber, Steven B. Kamin

{"title":"The Corporate Saving Glut in the Aftermath of the Global Financial Crisis","authors":"Joseph W. Gruber, Steven B. Kamin","doi":"10.17016/IFDP.2015.1150","DOIUrl":"https://doi.org/10.17016/IFDP.2015.1150","url":null,"abstract":"We examine the increase in the net lending (saving minus investment) of nonfinancial corporations in the years preceding and especially following the Global Financial Crisis (GFC). We consider whether this increase in net lending is an endogenous reflection of the current weak pace of growth or an outcome of other factors, such as firms' desire to cut investment and hoard assets, and thus an exogenous drag on growth. Looking at G7 economies, we find that the fall in corporate investment during the GFC was in line with historical norms, given the path of GDP growth, interest rates, profits, and other relevant determinants. However, we find that investment declined from a surprisingly weak starting point, as corporate investment in many of the G7 economies started falling below our models' predictions in the years before the GFC. Moreover, corporate payouts to investors in the form of dividends and equity buybacks have trended up over the past 1-1/2 decades, inconsistent with the view that cautious firms were cutting back on investment spending to strengthen their balance sheets. Identifying the causes of the rise in corporate net lending and declines in investment rates starting in the years before the GFC should be an important focus of future research.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"295 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126776623","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: 48

Contracting with Feedback 与反馈签订合同

Board of Governors of the Federal Reserve System Research Series Pub Date : 2015-08-25 DOI: 10.2139/ssrn.2650708

Tse-Chun Lin, Q. Liu, Bo Sun

引用次数: 3

Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models 临近预测商业周期:动态异质因素模型的贝叶斯方法

Board of Governors of the Federal Reserve System Research Series Pub Date : 2015-08-12 DOI: 10.2139/ssrn.2650689

Antonello D’Agostino, D. Giannone, M. Lenza, M. Modugno

引用次数: 20