FEDS 2018-020: The Effect of the Current Expected Credit Loss Standard (CECL)...
Sarah Chae, Robert F. Sarama, Cindy M. Vojtech, and James Wang | CECL, the new credit loss provisioning standard, is intended to promote proactive provisioning as loan loss reserves must incorporate...
View ArticleFEDS 2019-050: The Effects of Bank Capital Buffers on Bank Lending and Firm...
Jose M. Berrospide and Rochelle M. Edge | We use bank-firm matched data from regulatory filings (FR Y-14) to study how the capital buffers that large U.S. banks must satisfy to "pass" the quantitative...
View ArticleFEDS 2019-051: When do low-frequency measures really measure transaction costs?
Mohammad R. Jahan-Parvar and Filip Zikes | We compare popular measures of transaction costs based on daily data with their high-frequency data-based counterparts. We find that for U.S. equities and...
View ArticleIFDP 2019-1251: Risk-Taking Spillovers of U.S. Monetary Policy in the Global...
Seung Jung Lee, Lucy Qian Liu, and Viktors Stebunovs | We study the effects of U.S. interest rates and other factors on risk-taking in the global market for U.S. dollar syndicated term loans. We find...
View ArticleIFDP 2019-1252: Forecasting High-Risk Composite CAMELS Ratings
Lewis Gaul, Jonathan Jones, and Pinar Uysal | We investigate whether statistical learning models can contribute to supervisors' off-site monitoring of banks' overall condition. We use five statistical...
View ArticleIFDP 2019-1253: US Equity Tail Risk and Currency Risk Premia
Zhenzhen Fan, Juan M. Londono, and Xiao Xiao | We find that a US equity tail risk factor constructed from out-of-the-money S&P 500 put option prices explains the cross-sectional variation of...
View ArticleFEDS 2019-052: Shock Transmission through Cross-Border Bank Lending: Credit...
Galina Hale, Tümer Kapan, and Camelia Minoiu | We study the transmission of financial shocks across borders through international bank connections. Using data on cross-border interbank loans among...
View ArticleFEDS 2019-053: Expectations-Driven Liquidity Traps: Implications for Monetary...
Taisuke Nakata and Sebastian Schmidt | We study optimal monetary and fiscal policy in a New Keynesian model where occasional declines in agents' confidence give rise to persistent liquidity trap...
View ArticleFEDS 2019-054: Pricing Poseidon: Extreme Weather Uncertainty and Firm Return...
Mathias S. Kruttli, Brigitte Roth Tran, and Sumudu W. Watugala | We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets by identifying...
View ArticleFEDS 2019-055: Measuring the Liquidity Profile of Mutual Funds
Sirio Aramonte, Chiara Scotti, and Ilknur Zer | We measure the liquidity profile of open-end mutual funds using the sensitivity of their daily returns to aggregate liquidity. We study how this...
View ArticleFEDS 2019-040: Bond Risk Premiums at the Zero Lower Bound
Martin M. Andreasen, Kasper Jørgensen, and Andrew Meldrum | This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries...
View ArticleFEDS 2019-048: Reach for Yield by U.S. Public Pension Funds
Lina Lu, Matthew Pritsker, Andrei Zlate, Ken Anadu, and James Bohn | This paper studies whether U.S. public pension funds reach for yield by taking more investment risk in a low interest rate...
View ArticleFEDS 2019-049: Accounting for Innovations in Consumer Digital Services: IT...
David M. Byrne and Carol Corrado | This paper develops a framework for measuring digital services in the face of ongoing innovations in the delivery of content to consumers. We capture what...
View ArticleFEDS 2018-020: The Effect of the Current Expected Credit Loss Standard (CECL)...
Sarah Chae, Robert F. Sarama, Cindy M. Vojtech, and James Wang | CECL, the new credit loss provisioning standard, is intended to promote proactive provisioning as loan loss reserves must incorporate...
View ArticleFEDS 2019-050: The Effects of Bank Capital Buffers on Bank Lending and Firm...
Jose M. Berrospide and Rochelle M. Edge | We use bank-firm matched data from regulatory filings (FR Y-14) to study how the capital buffers that large U.S. banks must satisfy to "pass" the quantitative...
View ArticleFEDS 2019-051: When do low-frequency measures really measure transaction costs?
Mohammad R. Jahan-Parvar and Filip Zikes | We compare popular measures of transaction costs based on daily data with their high-frequency data-based counterparts. We find that for U.S. equities and...
View ArticleIFDP 2019-1251: Risk-Taking Spillovers of U.S. Monetary Policy in the Global...
Seung Jung Lee, Lucy Qian Liu, and Viktors Stebunovs | We study the effects of U.S. interest rates and other factors on risk-taking in the global market for U.S. dollar syndicated term loans. We find...
View ArticleIFDP 2019-1252: Forecasting High-Risk Composite CAMELS Ratings
Lewis Gaul, Jonathan Jones, and Pinar Uysal | We investigate whether statistical learning models can contribute to supervisors' off-site monitoring of banks' overall condition. We use five statistical...
View ArticleIFDP 2019-1253: US Equity Tail Risk and Currency Risk Premia
Zhenzhen Fan, Juan M. Londono, and Xiao Xiao | We find that a US equity tail risk factor constructed from out-of-the-money S&P 500 put option prices explains the cross-sectional variation of...
View ArticleFEDS 2019-052: Shock Transmission through Cross-Border Bank Lending: Credit...
Galina Hale, Tümer Kapan, and Camelia Minoiu | We study the transmission of financial shocks across borders through international bank connections. Using data on cross-border interbank loans among...
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