Federal Reserve Bank of New York Research Paper Series最新文献

{"title":"Is Equipment Price Deflation a Statistical Artifact?","authors":"B. Hobijn","doi":"10.2139/ssrn.921395","DOIUrl":"https://doi.org/10.2139/ssrn.921395","url":null,"abstract":"I argue that equipment price deflation might be overstated because the methods used to measure it rely on the erroneous assumption of perfectly competitive markets. The main intuition behind this argument is that what these price indices might actually capture not a price decrease but the erosion of the market power of existing vintages of machines. To illustrate my argument, I introduce an endogenous growth model in which heterogeneous final goods producers can choose the technology they will use. The various technologies are supplied by monopolistically competing machine suppliers. This market structure implies that the best machines are marketed to the best workers and are sold at the highest markup. In my model economy, the endogenously determined markups are such that standard methods will tend to find equipment price deflation, even though the model does not exhibit any equipment price deflation.","PeriodicalId":314858,"journal":{"name":"Federal Reserve Bank of New York Research Paper Series","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133079701","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}

{"title":"Measuring Treasury Market Liquidity","authors":"M. Fleming","doi":"10.2139/ssrn.276289","DOIUrl":"https://doi.org/10.2139/ssrn.276289","url":null,"abstract":"This paper examines a comprehensive set of liquidity measures for the U.S. Treasury market. The measures are analyzed relative to one another, across securities, and over time. I find highly significant price impact coefficients, such that a simple model that explains price changes with net order flow produces an R 2 statistic above 30% for the two-year note. The price impact coefficients are highly correlated with bid-ask spreads and with episodes of reported poor liquidity (such as the fall 1998 financial markets turmoil). Quote and trade sizes correlate modestly with these episodes and with the other liquidity measures, as do yield spreads between on-the-run and off-the-run securities. In contrast, trading volume and trading frequency are only weakly correlated with these other measures, suggesting that they are poor liquidity proxies. The various measures are positively correlated across securities, almost without exception, especially for Treasury notes.","PeriodicalId":314858,"journal":{"name":"Federal Reserve Bank of New York Research Paper Series","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123792515","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}

{"title":"Explaining the Recent Divergence in Payroll and Household Employment Growth","authors":"Chinhui Juhn, Simon M. Potter","doi":"10.2139/ssrn.996049","DOIUrl":"https://doi.org/10.2139/ssrn.996049","url":null,"abstract":"Each month, the government releases two estimates of U.S. employment growth - one based on a survey of firms, the other on a survey of households. Since 1994, these measures have diverged sharply. Evidence suggests that the household survey's estimate has risen more slowly because it undercounts working-age adults who have found employment during the current economic expansion.","PeriodicalId":314858,"journal":{"name":"Federal Reserve Bank of New York Research Paper Series","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129129258","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}

{"title":"Bond Market Discipline of Banks: Is the Market Tough Enough?","authors":"Donald P. Morgan, K. Stiroh","doi":"10.2139/ssrn.207148","DOIUrl":"https://doi.org/10.2139/ssrn.207148","url":null,"abstract":"As the banking business grows more complex, government supervisors of banks seem increasingly willing to share the role of policing bank risk with private investors, especially bondholders. This paper investigates the disciplinary role of markets using bond spreads, ratings, and bank portfolio data on over 4,100 new bonds issued between 1993 and 1998, including almost 600 bond issues by banks and bank holding companies. We find that the bond spread/rating relationship is the same for the bank issues as for nonbank issues, especially among the investment grade issues. This suggests that the bond market prices public measures of bank risk efficiently. Investors also look beyond the ratings, as spreads on the bank issues depend on the underlying portfolio of assets and loans. Banks contemplating a shift into riskier activities like trading, for example, can expect to pay higher spreads as a result. That is market discipline. The market, however, appears relatively soft on bigger banks and less transparent banks, pointing to possible slippage in the disciplinary mechanism for banks either considered too big to fail or too hard to understand by the bond market.","PeriodicalId":314858,"journal":{"name":"Federal Reserve Bank of New York Research Paper Series","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127978227","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}

{"title":"Payment Intermediation and the Origins of Banking","authors":"James McAndrews, W. Roberds","doi":"10.2139/ssrn.935335","DOIUrl":"https://doi.org/10.2139/ssrn.935335","url":null,"abstract":"The medieval banks of continental Europe facilitated trade by serving as payment intermediaries. Depositors commonly would pay one another by transferring bank balances with the aid of overdraft credit. We model this process in an environment of intermediate good exchange with incomplete contract enforcement. Our model suggests that the early banks were capable of accessing the \"netting credit\" that exists by virtue of there being a high proportion of offsetting transactions in an economy. Individual traders are unable to net their individual positions because of difficulty in enforcing contracts for future performance with the other traders. Banks, by standing between buyer and seller on a centralized basis, can internalize the offsetting nature of the whole set of trades. This original role of banks is still a vital one.","PeriodicalId":314858,"journal":{"name":"Federal Reserve Bank of New York Research Paper Series","volume":"118 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127979487","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}

{"title":"Heat Waves, Meteor Showers, and Trading Volume: An Analysis of Volatility Spillovers in the U.S. Treasury Market","authors":"M. Fleming, Jose A. Lopez","doi":"10.2139/ssrn.173091","DOIUrl":"https://doi.org/10.2139/ssrn.173091","url":null,"abstract":"The market for U.S. Treasury securities operates around-the-clock from the three main trading centers of Tokyo, London, and New York. We examine this market for volatility spillovers using the methodology employed by Engle, Ito, and Lin (1990) for the foreign exchange market. We find meteor showers in Tokyo and London but not New York; i.e., volatility spills over into Tokyo and London from the other trading centers, but not into New York. We also find that lagged trading volume significantly impacts U.S. Treasury yield volatility for the overseas trading centers, although it does not change the basic meteor shower findings.","PeriodicalId":314858,"journal":{"name":"Federal Reserve Bank of New York Research Paper Series","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122929351","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}

{"title":"What Was the Market's View of U.K. Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds","authors":"Eli M. Remolona, M. Wickens, F. F. Gong","doi":"10.2139/ssrn.937350","DOIUrl":"https://doi.org/10.2139/ssrn.937350","url":null,"abstract":"A measure of the credibility of monetary policy is the inflation risk premium in nominal yields. This will be time varying and can be estimated by combining the information in the nominal term structure with that in the real term structure. We estimate these risk premia using a generalized CIR affine-yield model, with one factor driving the real term structure of monthly observations on two-year, five-year and ten-year UK index-linked debt and two factors driving the term structure of the corresponding nominal yields. Our estimates show that the inflation risk premium contributes on average about 100 basis points to nominal yields. Since the exit from the ERM this has fallen to 70 basis points, showing greater policy credibility. The inflation risk premium provides a correction to the break-even method of forecasting inflation and produces an unbiased forecast.","PeriodicalId":314858,"journal":{"name":"Federal Reserve Bank of New York Research Paper Series","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1998-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132290544","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}

{"title":"Capital from an Insurance Company Perspective","authors":"Robert E. Lewis","doi":"10.2139/SSRN.1030063","DOIUrl":"https://doi.org/10.2139/SSRN.1030063","url":null,"abstract":"The author provides a few practical comments on capital adequacy from an insurance company perspective. In doing so, he presents two views on capital adequacy and capital allocation in the insurance industry. The first view is the regulatory perspective, that is, the motivations behind regulatory capital requirements in the insurance industry, the structure of those requirements, and the relationship between regulatory capital amounts and the actual risks facing insurance companies. The second view is an insurance company perspective, in particular, the approach taken by the American International Group to determine adequate capital allocations for its various businesses and for the firm overall.","PeriodicalId":314858,"journal":{"name":"Federal Reserve Bank of New York Research Paper Series","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1998-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126627392","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}

{"title":"Issues in Financial Institution Capital in Emerging Market Economies","authors":"Allen B. Frankel","doi":"10.2139/ssrn.1030072","DOIUrl":"https://doi.org/10.2139/ssrn.1030072","url":null,"abstract":"This paper discusses a policy problem involving the integration of emerging market banking systems into international financial markets.","PeriodicalId":314858,"journal":{"name":"Federal Reserve Bank of New York Research Paper Series","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1998-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133167948","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}

{"title":"Risk Management: One Institution's Experience","authors":"Thomas G. Labrecque","doi":"10.2139/ssrn.1030077","DOIUrl":"https://doi.org/10.2139/ssrn.1030077","url":null,"abstract":"I am very pleased to be part of this forward-looking conference on developments in capital regulation. Because the purpose of capital is to support risk, I decided to approach this session from the viewpoint of someone leading an institution that depends, for its success or failure, on how well it manages risk. My plan is to take you through my experiences at Chase Manhattan Corporation and to close with some thoughts on the implications of these experiences for capital regulation in the twenty-first century. What I am going to describe to you is a dynamic approach to risk management, though not a perfect one. We continually make improvements, and we need to. Nevertheless, if I look back on the last six months--and the Asian crisis that has dominated this period--I would argue that never during this time did I feel that we had failed to understand the risks we were facing. In addition, I feel fairly confident that our regulators have a reasonably good understanding of the systems we use, and that, in the event of a crisis, these regulators would have access to daily information if they needed it. Let me speak for a minute about market risk. There has been considerable discussion at this conference about the limitations of the value-at-risk approach to risk measurement. This approach is, of course, imperfect: it is built on the same kinds of assumptions that we all use routinely in our work. In my view, value at risk is important, but it cannot stand alone. At Chase, we calculate our exposure to market risk by using both a value-at-risk system and a stress-test system. These systems apply to both the mark-to-market portfolio and the accrual portfolios. We use this combination of approaches to set limits on the risks we undertake and to assign capital to cover our exposures. We came into 1997 with five stress-test scenarios built into our systems: the October 1987 stock market crash, the 1992 exchange rate mechanism crisis, the March 1994 bond market sell-off, the December 1994 peso crisis, and a hypothetical flight-to-quality scenario. We are currently expanding this set of scenarios to include four new prospective scenarios. In developing at least three of these four, we will have to use our judgment to predict how currencies, interest rates, and markets would be affected. By contrast, in the case of four of the five scenarios now in use, we already know the outcome. Our risk limits in 1997, and certainly into early 1998, have been set by assessing our risks against these stress scenarios and the value-at-risk system. In fact, in the last year, the balance between the two approaches to risk management has probably moved more to the center. In any case, this combination of approaches has enabled us to manage market risk successfully. Now, turning briefly to credit risk, let me review how our institution handles it. First, at Chase, we monitor individual transactions from several angles. We examine not only how the transaction is structured but als","PeriodicalId":314858,"journal":{"name":"Federal Reserve Bank of New York Research Paper Series","volume":"142 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1998-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123458876","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}