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Articles 1921 - 1950 of 8517

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Trade Models And Macroeconomics, Ray C. Fair Dec 2019

Trade Models And Macroeconomics, Ray C. Fair

Cowles Foundation Discussion Papers

This paper discusses some macro links that are missing from trade models. A multicountry macroeconometric model is used to analyze the effects on the United States of increased import competition from China, an experiment that is common in the recent trade literature. In the macro story a fall in Chinese export prices is stimulative. Domestic prices fall, which increases real wage rates and real wealth, which increases household expenditures. In addition, the Fed may lower the interest rate because of the lower prices, which is stimulative. Trade models do not have these channels, and they likely overestimate the negative effects …

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Boosting: Why You Can Use The Hp Filter, Peter C.B. Phillips, Zhentao Shi Dec 2019

Boosting: Why You Can Use The Hp Filter, Peter C.B. Phillips, Zhentao Shi

Cowles Foundation Discussion Papers

The Hodrick-Prescott (HP) filter is one of the most widely used econometric methods in applied macroeconomic research. The technique is nonparametric and seeks to decompose a time series into a trend and a cyclical component unaided by economic theory or prior trend specification. Like all nonparametric methods, the HP filter depends critically on a tuning parameter that controls the degree of smoothing. Yet in contrast to modern nonparametric methods and applied work with these procedures, empirical practice with the HP filter almost universally relies on standard settings for the tuning parameter that have been suggested largely by experimentation with macroeconomic …

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Continuously Updated Indirect Inference In Heteroskedastic Spatial Models, Maria Kyriacou, Peter C.B. Phillips, Francesca Rossi Dec 2019

Continuously Updated Indirect Inference In Heteroskedastic Spatial Models, Maria Kyriacou, Peter C.B. Phillips, Francesca Rossi

Cowles Foundation Discussion Papers

Spatial units typically vary over many of their characteristics, introducing potential unobserved heterogeneity which invalidates commonly used homoskedasticity conditions. In the presence of unobserved heteroskedasticity, standard methods based on the (quasi-)likelihood function generally produce inconsistent estimates of both the spatial parameter and the coefficients of the exogenous regressors. A robust generalized method of moments estimator as well as a modified likelihood method have been proposed in the literature to address this issue. The present paper constructs an alternative indirect inference approach which relies on a simple ordinary least squares procedure as its starting point. Heteroskedasticity is accommodated by utilizing a …

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Nonlinear Cointegrating Power Function Regression With Endogeneity, Zhishui Hu, Peter C.B. Phillips, Qiying Wang Dec 2019

Nonlinear Cointegrating Power Function Regression With Endogeneity, Zhishui Hu, Peter C.B. Phillips, Qiying Wang

Cowles Foundation Discussion Papers

This paper develops an asymptotic theory for nonlinear cointegrating power function regression. The framework extends earlier work on the deterministic trend case and allows for both endogeneity and heteroskedasticity, which makes the models and inferential methods relevant to many empirical economic and financial applications, including predictive regression. Accompanying the asymptotic theory of nonlinear regression, the paper establishes some new results on weak convergence to stochastic integrals that go beyond the usual semi-martingale structure and considerably extend existing limit theory, complementing other recent findings on stochastic integral asymptotics. The paper also provides a general framework for extremum estimation limit theory that …

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Inference And Specification Testing In Threshold Regression With Endogeneity, Ping Yu, Qin Liao, Peter C.B. Phillips Dec 2019

Inference And Specification Testing In Threshold Regression With Endogeneity, Ping Yu, Qin Liao, Peter C.B. Phillips

Cowles Foundation Discussion Papers

We propose three new methods of inference for the threshold point in endogenous threshold regression and two specification tests designed to assess the presence of endogeneity and threshold effects without necessarily relying on instrumentation of the covariates. The first inferential method is a parametric two-stage least squares method and is suitable when instruments are available. The second and third methods are based on smoothing the objective function of the integrated difference kernel estimator in different ways and these methods do not require instrumentation. All three methods are applicable irrespective of endogeneity of the threshold variable. The two specification tests are …

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The Rescue Of American International Group, Module E: Maiden Lane Iii, Lily Engbith, Devyn Jeffereis Nov 2019

The Rescue Of American International Group, Module E: Maiden Lane Iii, Lily Engbith, Devyn Jeffereis

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No abstract provided.

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Tarp Monthly Report To Congress - October 2019, United States: Department Of The Treasury Nov 2019

Tarp Monthly Report To Congress - October 2019, United States: Department Of The Treasury

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No abstract provided.

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European Banking Union B: The Single Resolution Mechanism, Rosalind Z. Wiggins, Michael Wedow, Andrew Metrick Nov 2019

European Banking Union B: The Single Resolution Mechanism, Rosalind Z. Wiggins, Michael Wedow, Andrew Metrick

Journal of Financial Crises

The options available to European governments to respond to a multinational bank in financial trouble have been severely limited since each country has its own unique laws and authority applicable to banks operating within its borders. The Bank Recovery & Resolution Directive (BRRD), which was adopted in 2013 and scheduled to go into effect January 2015, harmonizes rules across EU countries for how to restructure and resolve failing banks. However, the directive would maintain the existing system of individual national resolution authorities and resolution funds. To better secure the Eurozone banks and to compliment the Single Supervisory Mechanism, which was …

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European Banking Union A: The Single Supervisory Mechanism, Rosalind Z. Wiggins, Michael Wedow, Andrew Metrick Nov 2019

European Banking Union A: The Single Supervisory Mechanism, Rosalind Z. Wiggins, Michael Wedow, Andrew Metrick

Journal of Financial Crises

At the peak of the Global Financial Crisis in fall 2008, each of the 27 member states in the European Union (EU) set many of its own banking rules and had its own bank regulators and supervisors. The crisis made the shortcomings of this decentralized approach obvious, and since its formation in January 2011, the European Banking Authority (EBA) has been developing a “Single Rulebook” that will harmonize banking rules across the EU countries. In June 2012, European leaders went even further, committing to a banking union that would better coordinate supervision of banks in the then 18-country Eurozone. A …

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European Central Bank Tools And Policy Actions A: Open Market Operations, Collateral Expansion And Standing Facilities, Chase P. Ross, Rosalind Z. Wiggins, Andrew Metrick Nov 2019

European Central Bank Tools And Policy Actions A: Open Market Operations, Collateral Expansion And Standing Facilities, Chase P. Ross, Rosalind Z. Wiggins, Andrew Metrick

Journal of Financial Crises

Beginning in August 2007, the European Central Bank (ECB) responded to market turmoil with a variety of standard and non-standard monetary policy tools. This case discusses the operational framework of the ECB’s open market operation tools and standing facilities before and during the financial crisis. Specifically, this case describes the ECB’s use of its main refinancing and longer-term refinancing operations, the expansion of collateral eligible for use in Eurosystem credit operations, and the ECB’s standing facilities, including its marginal lending and deposit facilities.

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“Who’S Driving The Bus?” Or How Digitization Is Influencing Archival Collections, Kathelene Mccarty Smith, David Gwynn, Beth Ann Koelsch, Jennifer Motszko Nov 2019

“Who’S Driving The Bus?” Or How Digitization Is Influencing Archival Collections, Kathelene Mccarty Smith, David Gwynn, Beth Ann Koelsch, Jennifer Motszko

Journal of Contemporary Archival Studies

Archivists who work directly with unique collections, as well as librarians and other professionals who coordinate digitization, generally agree that access should be prioritized. However, each group has its own goals, standards, and timelines that may conflict with those of their colleagues. The push to maximize access to collections may, in some cases, go so far as to influence collecting policies. Is the lure of rapid digitization affecting best practices of arrangement and description? If online access to the collections is the ultimate goal, and if each stakeholder has a different perspective on how best to accomplish this, who decides …

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Bismarck To No Effect: Fertility Decline And The Introduction Of Social Insurance In Prussia, Timothy W. Guinnane, Jochen Streb Nov 2019

Bismarck To No Effect: Fertility Decline And The Introduction Of Social Insurance In Prussia, Timothy W. Guinnane, Jochen Streb

Discussion Papers

Economists have long argued that introducing social insurance will reduce fertility. The hypothesis relies on standard models: if children are desirable in part because they provide security in case of disability or old age, then state programs that provide insurance against these events should induce couples to substitute away from children in the allocation of wealth. We test this claim using the introduction of social insurance in Germany in the 1880s and 1890s. Bismarck’s social-insurance system provided health insurance, workplace-accident insurance, and old age pensions to a majority of the working population. The German case appeals because the social insurance …

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Léon Walras, Irving Fisher And The Cowles Approach To General Equilibrium Analysis, Robert W. Dimand Nov 2019

Léon Walras, Irving Fisher And The Cowles Approach To General Equilibrium Analysis, Robert W. Dimand

Cowles Foundation Discussion Papers

This paper explores the relationship of Walras’s work to a particularly influential tradition of general equilibrium, that associated with the Cowles Commission for Research in Economics in Colorado in the 1930s and at the University of Chicago from 1939 to 1955, and its successor, the Cowles Foundation, at Yale University from 1955. Irving Fisher introduced general equilibrium analysis into North America with his 1891 Yale dissertation Mathematical Investigations in the Theory of Value and Prices (published 1892) and was responsible in 1892 for the first English translation of a monograph by Walras. Fisher was only able to obtain copies of …

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Lessons Learned : Tony Fratto, Rosalind Z. Wiggins, Mercedes Cardona Nov 2019

Lessons Learned : Tony Fratto, Rosalind Z. Wiggins, Mercedes Cardona

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Recommended Citation: Cardona, Mercedes and Wiggins, Rosalind Z. () "Lessons Learned: Tony Fratto," Journal of Financial Crises: Vol. 2 : Iss. 1, 153-155.

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Ypfs Lessons Learned Oral History Project: An Interview With Matthew A. Feldman, Matthew A. Feldman, Mary Anne Chute Lynch Oct 2019

Ypfs Lessons Learned Oral History Project: An Interview With Matthew A. Feldman, Matthew A. Feldman, Mary Anne Chute Lynch

Documents

Suggested Citation Form: Feldman, Matthew A., 2019. “Lessons Learned Interview."Interview by Mary Anne Chute Lynch and Alexander Nye. Yale Program on Financial Stability Lessons Learned Oral History Project. October 25, 2019. Transcript. https://ypfs.som.yale.edu/library/ypfs-lesson-learned-oral-history-project-interview-matthew-feldman

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Ypfs Lessons Learned Oral History Project: An Interview With Wendy Edelberg, Wendy Edelberg, Sandra Ward Oct 2019

Ypfs Lessons Learned Oral History Project: An Interview With Wendy Edelberg, Wendy Edelberg, Sandra Ward

Documents

Suggested Citation Form: Edelberg, Wendy, 2019. “Lessons Learned Interview."Interview by Sandra Ward. Yale Program on Financial Stability Lessons Learned Oral History Project. October 22, 2019. Transcript. https://ypfs.som.yale.edu/library/ypfs-lesson-learned-oral-history-project-interview-wendy-edelberg

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Ypfs Lessons Learned Oral History Project: An Interview With Raymond Dalio, Raymond Dalio, Andrew Metrick Oct 2019

Ypfs Lessons Learned Oral History Project: An Interview With Raymond Dalio, Raymond Dalio, Andrew Metrick

Documents

Suggested Citation Form: Dalio, Ray, 2019. “Lessons Learned Interview."Interview by Andrew Metrick. Yale Program on Financial Stability Lessons Learned Oral History Project. October 17, 2019. Transcript. https://ypfs.som.yale.edu/library/ypfs-lesson-learned-oral-history-project-interview-ray-dalio

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The Portuguese Experience On Banking Resolution - Challenges And Lessons Learned, Pedro Machado Oct 2019

The Portuguese Experience On Banking Resolution - Challenges And Lessons Learned, Pedro Machado

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No abstract provided.

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The Spanish Financial Sector Assistance Programme: 7 Years Later, Rolf Strauch Oct 2019

The Spanish Financial Sector Assistance Programme: 7 Years Later, Rolf Strauch

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No abstract provided.

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Monetary Policy Report, Banco Central De La Republica Argentina Oct 2019

Monetary Policy Report, Banco Central De La Republica Argentina

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No abstract provided.

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Ypfs Lessons Learned Oral History Project: An Interview With Diane Ellis, Sandra Ward, Diane Ellis Sep 2019

Ypfs Lessons Learned Oral History Project: An Interview With Diane Ellis, Sandra Ward, Diane Ellis

Documents

Suggested Citation Form: Ellis, Diane, 2019. “Lessons Learned Interview."Interview by Sandra Ward. Yale Program on Financial Stability Lessons Learned Oral History Project. September 24, 2019. Transcript. https://ypfs.som.yale.edu/library/ypfs-lesson-learned-oral-history-project-interview-diane-ellis

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Ypfs Lessons Learned Oral History Project: An Interview With Michael Krimminger, Michael H. Krimminger, Charlie Euchner Sep 2019

Ypfs Lessons Learned Oral History Project: An Interview With Michael Krimminger, Michael H. Krimminger, Charlie Euchner

Documents

Suggested Citation Form: Krimminger, Michael, 2019. “Lessons Learned Interview."Interview by Charles Euncher. Yale Program on Financial Stability Lessons Learned Oral History Project. September 24, 2019. Transcript. https://ypfs.som.yale.edu/library/ypfs-lesson-learned-oral-history-project-interview-michael-krimminger

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Exchange Fund Ordinance, Hong Kong Legislative Council Sep 2019

Exchange Fund Ordinance, Hong Kong Legislative Council

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No abstract provided.

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On Her Own Account: How Strengthening Women’S Financial Control Impacts Labor Supply And Gender Norms, Erica Field, Rohini Pande, Natalia Rigol, Simone Schaner, Charity Troyer Moore Sep 2019

On Her Own Account: How Strengthening Women’S Financial Control Impacts Labor Supply And Gender Norms, Erica Field, Rohini Pande, Natalia Rigol, Simone Schaner, Charity Troyer Moore

Discussion Papers

Can greater control over earned income incentivize women to work and influence gender norms? In collaboration with Indian government partners, we provided rural women with individual bank accounts and randomly varied whether their wages from a public workfare program were directly deposited into these accounts or into the male household head’s account (the status quo). Women in a random subset of villages were also trained on account use. In the short run, relative to women just offered bank accounts, those who also received direct deposit and training increased their labor supply in the public and private sectors. In the long …

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Tarp Monthly Report To Congress August 2019, United States: Department Of The Treasury Sep 2019

Tarp Monthly Report To Congress August 2019, United States: Department Of The Treasury

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No abstract provided.

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Jacob Marschak And The Cowles Approaches To The Theory Of Money And Assets, Robert W. Dimand, Harald Hagemann Sep 2019

Jacob Marschak And The Cowles Approaches To The Theory Of Money And Assets, Robert W. Dimand, Harald Hagemann

Cowles Foundation Discussion Papers

Jacob Marschak shaped the emergence of monetary theory and portfolio choice at the Cowles Commission (which he directed from 1943 to 1948, but with which he was involved already from 1937) at the University of Chicago, where he was the doctoral teacher of Leonid Hurwicz, Harry Markowitz and Don Patinkin, and then from 1955 at the Cowles Foundation at Yale University, where he was a senior colleague of James Tobin until moving to UCLA in 1960. Marschak’s later attempts to clarify the concept of liquidity and to emphasize the role of new information for economic behavior date back as far …

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On Her Own Account: How Strengthening Women’S Financial Control Impacts Labor Supply And Gender Norms, Erica Field, Rohini Pande, Natalia Rigol, Simone Schaner, Charity Troyer Moore Sep 2019

On Her Own Account: How Strengthening Women’S Financial Control Impacts Labor Supply And Gender Norms, Erica Field, Rohini Pande, Natalia Rigol, Simone Schaner, Charity Troyer Moore

Cowles Foundation Discussion Papers

Can greater control over earned income incentivize women to work and influence gender norms? In collaboration with Indian government partners, we provided rural women with individual bank accounts and randomly varied whether their wages from a public workfare program were directly deposited into these accounts or into the male household head’s account (the status quo). Women in a random subset of villages were also trained on account use. In the short run, relative to women just offered bank accounts, those who also received direct deposit and training increased their labor supply in the public and private sectors. In the long …

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Bank Runs And Moral Hazard: A Review Of Deposit Insurance, Deniz Anginer, Asli Demirg¼§-Kunt Sep 2019

Bank Runs And Moral Hazard: A Review Of Deposit Insurance, Deniz Anginer, Asli Demirg¼§-Kunt

Documents

No abstract provided.

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Durables And Lemons: Private Information And The Market For Cars, Richard Blundell, Ran Gu, Soren Leth-Petersen, Hamish Low, Costas Meghir Sep 2019

Durables And Lemons: Private Information And The Market For Cars, Richard Blundell, Ran Gu, Soren Leth-Petersen, Hamish Low, Costas Meghir

Cowles Foundation Discussion Papers

We specify an equilibrium model of car ownership with private information where individuals sell and purchase new and second-hand cars over their life-cycle. Private information induces a transaction cost and distorts the market reducing the value of a car as a savings instrument. We estimate the model using data on car ownership in Denmark, linked to register data. The lemons penalty is estimated to be 18% of the price in the rst year of ownership, declining with the length of ownership. It leads to large reductions in the turnover of cars and in the probability of downgrading at job loss.

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Jpmorgan Chase London Whale E: Supervisory Oversight, Arwin G. Zeissler, Andrew Metrick Aug 2019

Jpmorgan Chase London Whale E: Supervisory Oversight, Arwin G. Zeissler, Andrew Metrick

Journal of Financial Crises

As a diversified financial service provider and the largest United States bank holding company, JPMorgan Chase (JPM) is supervised by multiple regulatory agencies. JPM’s commercial bank subsidiaries hold a national charter and therefore are regulated by the Office of the Comptroller of the Currency (OCC). Since the bank’s Chief Investment Office (CIO) invested the surplus deposits of JPM’s commercial bank units, the OCC was also CIO’s primary regulator. During the critical period from late January through March 2012, when CIO traders undertook the failed derivatives strategy that ultimately cost the bank $6 billion, JPM did not provide the OCC with …

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