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Showing papers by "Federal Reserve System published in 2022"


Journal ArticleDOI
TL;DR: In this article, a novel bond-level latent fragility measure based on asset illiquidity of mutual funds holding the bond was proposed to find that corporate bonds bearing higher fragility subsequently experience higher return volatility and more outflows-induced mutual fund selling over the period of 2006-2019.

21 citations


Journal ArticleDOI
TL;DR: This paper explored a range of alternative measures of business exit, including novel measures based on paycheck issuance and phone-tracking data, which indicate exit was elevated in certain sectors during the first year of the COVID-19 pandemic.

20 citations


Journal ArticleDOI
TL;DR: In this article , the authors study whether institutional investors that sign the Principles for Responsible Investment (PRI), a commitment to responsible investing, exhibit better portfolio-level environmental, social, and governance (ESG) scores.
Abstract: Abstract We study whether institutional investors that sign the Principles for Responsible Investment (PRI), a commitment to responsible investing, exhibit better portfolio-level environmental, social, and governance (ESG) scores. Signatories outside of the USA have superior ESG scores than nonsignatories, but US signatories have at best similar ESG ratings, and worse scores if they have underperformed recently, are retail-client facing, and joined the PRI late. US signatories do not improve the ESG scores of portfolio companies after investing in them. Commercial motives, uncertainty about fiduciary duties, and lower ESG market maturity explain why US-domiciled PRI signatories do not follow through on their responsible investment commitments.

13 citations


Journal ArticleDOI
TL;DR: In this paper , the authors studied the magnitude and distribution of U.S. earnings changes during the COVID-19 pandemic and how fiscal relief offset lost earnings and found that workers starting in the bottom half of the distribution were more likely to experience an earnings decline of at least 10 percent.

10 citations


Journal ArticleDOI
TL;DR: In this article , the authors develop a theory linking misallocation in marginal products of capital (MPK) to macroeconomic risk and show that risk-based MPK dispersion in part shapes the dynamic behavior of aggregate productivity, namely, its long-run level, volatility and skewness.

7 citations


Journal ArticleDOI
TL;DR: In this article, an assessment of China's macro-economy over 1978-2017, highlighting several neglected channels underlining its great expansion, is presented, which reveals an above unity value of the elasticity of capital-labor substitution and a time varying pattern of factor augmenting technical change.

5 citations


Journal ArticleDOI
TL;DR: In this paper , the authors embed an extension of the canonical epidemiology model in a New Keynesian model and analyze the role of monetary policy as a virus spreads and triggers a sizable recession.

4 citations


Journal ArticleDOI
TL;DR: In this paper , the authors provide a brief history of the CDS market and discuss its main characteristics, including the widespread adoption of standardized coupons and upfront premiums and the increased reliance on centralized counterparties.
Abstract: Credit default swaps (CDS) are the most common type of credit derivative. This paper provides a brief history of the CDS market and discusses its main characteristics. After describing the basic mechanics of a CDS, I present a simple valuation framework that focuses on the relationship between conditions in the cash and CDS markets as well as an approach to mark to market existing CDS positions. The discussion highlights how the 2008 global financial crisis helped shape current practices and conventions in the CDS market, including the widespread adoption of standardized coupons and upfront premiums and the increased reliance on centralized counterparties. I also address CDS indexes--focusing on their growing role as key indicators of investors’ attitudes toward credit risk--and briefly examine their behavior during periods of acute financial or economic dislocations, including those associated with the COVID-19 pandemic.

3 citations


Journal ArticleDOI
TL;DR: In this article , the authors study how syndicated lending networks propagate natural disasters and find that natural disasters lead to an increase in corporate credit demand in affected regions, and that banks meet the increase in credit demand by reducing credit to distant regions, unaffected by disasters.
Abstract: We study how syndicated lending networks propagate natural disasters. Natural disasters lead to an increase in corporate credit demand in affected regions. Banks meet the increase in credit demand in part by reducing credit to distant regions, unaffected by disasters. Capital constraints play a key role in this effect as lower-capital banks propagate disasters to unaffected regions to a greater extent. While shadow banks offset the reduction in bank credit supply on term loan syndicates, they do not offset the loss in credit line financing. As a result, corporate credit in unaffected regions falls by approximately 3%.

3 citations


Journal ArticleDOI
TL;DR: This article revisited the relationship between trade and cross-country GDP correlation for 134 countries from 1970 to 2009 and introduced two notions of trade linkages: (i) direct bilateral trade index and (ii) common exposure to third countries capturing the role of trade networks.

3 citations


Journal ArticleDOI
TL;DR: In this article , the authors find that when volatility spikes, patient and more risk-averse investors should increase their exposure to stocks whereas impatient and less risk-aware investors should decrease it.

Journal ArticleDOI
TL;DR: The authors found that financial literacy is strongly predictive of having three months of liquid savings, controlling for income, income variability, and even parental resources, indicating that accumulation of an emergency fund is not simply a function of income.

Journal ArticleDOI
TL;DR: In this paper , the authors study the nonlinear propagation mechanism of tax policy in a heterogeneous-agent equilibrium business cycle model with search frictions in the labor market and an extensive margin of employment adjustment.
Abstract: We study the nonlinear propagation mechanism of tax policy in a heterogeneous-agent equilibrium business cycle model with search frictions in the labor market and an extensive margin of employment adjustment. The model exhibits endogenous job destruction and endogenous hiring standards in the form of occasionally-binding zero-surplus constraints. After parameterizing the model using U.S. data, we find that the dynamic response of employment to a temporary change in the labor income tax is highly nonlinear, displaying sizable asymmetries and state dependence. Notably, the response to a tax rate cut is at least twice as large in a recession as in an expansion.


Journal ArticleDOI
TL;DR: The authors developed a model of learning about a central bank's reaction function from observed interest rates that takes into account the limited informational content at the zero lower bound, and applied this model to study the effectiveness of switching from inflation targeting to price-level targeting.





Journal ArticleDOI
TL;DR: This paper showed that sovereign default models with endogenous sovereign default risk can explain the time-varying volatility of emerging markets' interest rate spreads, even in the absence of shocks to the second moments of the exogenous stochastic variables.

DissertationDOI
13 Jul 2022

Journal ArticleDOI
TL;DR: In this article , the authors examine whether initial coin offerings (ICOs) are a beneficial form of financing with desirable economic properties. But they do not examine how financing a start-up via an ICO changes the incentives of an entrepreneur to exert effort to reduce cost.

Journal ArticleDOI
TL;DR: This paper found that banks reduce the supply of mortgage loans when policy uncertainty increases in their headquarter states as measured by the timing of U.S. gubernatorial elections and the reduction is larger for term-limited elections and close elections.
Abstract: We document that banks reduce the supply of mortgage loans when policy uncertainty increases in their headquarter states as measured by the timing of U.S. gubernatorial elections. The reduction is larger for term-limited elections and close elections. We utilize high-frequency, geographically granular loan-level data to address an identification problem arising from changing local loan demand: (i) we estimate a difference-in-difference specification with state/time or county/time fixed effects; (ii) banks reduce lending outside their home states as well when their home states hold elections; and (iii) we observe important cross-sectional differences in the way banks with different characteristics respond to policy uncertainty.

Journal ArticleDOI
TL;DR: In this paper , the authors examined the effect of the 2016 intermediate holding company (IHC) rule on the asset allocation of foreign banking organizations (FBOs) in the United States.


Journal ArticleDOI
TL;DR: In this paper , the effects of a new mitochondrial-acting drug on IR-induced ventricular arrhythmias, mitochondrial function, pro-inflammatory cytokines production, and the role of mitochondrial ATP-dependent K (mK-ATP) channels in rats’ hearts were investigated.
Abstract: Objective Ischemia/reperfusion (IR)-induced myocardial arrhythmias are a common clinical manifestation in patients with myocardial infarction after reperfusion therapy. Mitochondria play a critical role in cardioprotection. Here, we investigated the effects of KH176 as a new mitochondrial-acting drug on IR-induced ventricular arrhythmias, mitochondrial function, pro-inflammatory cytokines production, and the role of mitochondrial ATP-dependent K (mK-ATP) channels in rats’ hearts. Methods The hearts of Sprague Dawley rats (250 ± 30 g; 36 rats) underwent 35 min of ischemia followed by 120 min of reperfusion. Myocardial in vivo ischemia was induced by ligation of the left anterior descending coronary artery. KH176 at concentrations of 10 and 50 μM was intraperitoneally injected to rats 10 min before reperfusion onset. Ventricular arrhythmias were quantified during reperfusion, and cardiac mitochondrial function, nitric oxide, and pro-inflammatory cytokines levels were measured by fluorometric, spectrophotometric, and ELISA techniques. Results Administration of KH176 significantly reduced lactate-dehydrogenase release and the number, duration, incidence, and severity of ventricular arrhythmias induced by reperfusion injury. IR-induced elevation of mitochondrial reactive oxygen species production, and cardiac pro-inflammatory cytokines TNF-α, IL-6, and IL-1β, as well as reduction of mitochondrial membrane potential, ATP and nitric oxide levels were significantly restored by KH176 at 50 μM. However, the blockade of mK-ATP channels by 5-hydroxydecanoate considerably inhibited the effects of KH176 on all parameters except nitric oxide. Conclusion KH176 showed strong cardiac antiarrhythmic effects on IR-induced injury through improving mitochondrial function and reducing inflammatory and oxidative responses, and these protective effects are mediated by cardiac mK-ATP channels.


Journal ArticleDOI
14 May 2022
TL;DR: In this paper , the authors estimate the effect of social learning through Yelp on average restaurant quality across different types of markets and use a regression discontinuity design to show that restaurants are more likely to exit receiving low ratings on Yelp.
Abstract: We estimate the effect of social learning through Yelp on average restaurant quality across different types of markets. We use a regression discontinuity design to show that restaurants are more likely to exit receiving low ratings on Yelp. The effects of ratings on exit are especially strong for restaurants in zipcodes with high Yelp usage (e.g. more urban neighborhoods with higher income and education). Simulations show that in the long-run, the selective restaurant exit caused by Yelp increases average restaurant quality by 0.098 Yelp stars in the average zipcode, and by at least 0.238 stars in high usage markets.