Institution
Federal Reserve System
Other•Washington D.C., District of Columbia, United States•
About: Federal Reserve System is a other organization based out in Washington D.C., District of Columbia, United States. It is known for research contribution in the topics: Monetary policy & Inflation. The organization has 2373 authors who have published 10301 publications receiving 511979 citations.
Topics: Monetary policy, Inflation, Interest rate, Market liquidity, Debt
Papers published on a yearly basis
Papers
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TL;DR: In this article, the authors provide an overview of the subprime mortgage securitization process and the seven key informational frictions that arise, and discuss the ways that market participants work to minimize these frictions and speculate on how this process broke down.
Abstract: In this paper, we provide an overview of the subprime mortgage securitization process and the seven key informational frictions that arise. We discuss the ways that market participants work to minimize these frictions and speculate on how this process broke down. We continue with a complete picture of the subprime borrower and the subprime loan, discussing both predatory borrowing and predatory lending. We present the key structural features of a typical subprime securitization, document how rating agencies assign credit ratings to mortgage-backed securities, and outline how these agencies monitor the performance of mortgage pools over time. Throughout the paper, we draw upon the example of a mortgage pool securitized by New Century Financial during 2006.
132 citations
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TL;DR: An increase in credit supply driven by looser lending constraints in the mortgage market is the key force behind four empirical features of the housing boom before the Great Recession: the unpreceded, pre-emptive, and preemptive measures as discussed by the authors.
Abstract: An increase in credit supply driven by looser lending constraints in the mortgage market is the key force behind four empirical features of the housing boom before the Great Recession: the unpreced...
132 citations
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TL;DR: In this paper, the authors present a survey of the payment literature with the aim of integrating the various strands of payment research which have been largely pursued separately, and present newly available data to illustrate and investigate a number of underdeveloped areas in this literature.
Abstract: The payments literature ranges from theoretical general equilibrium models to practical payment issues related to the day-to-day operation of various national networks for the transfer of money. It is an area where economic theory and institutional structure are often closely intertwined and it is currently undergoing significant change, shifting from costly paper-based systems to technologically advanced electronic payments. The extant literature is surveyed here with the aim of integrating the various strands of payment research which have been largely pursued separately. In addition, we present newly available data to illustrate and investigate a number of underdeveloped areas in this literature. ” 1998 Elsevier Science B.V. All rights reserved.
132 citations
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TL;DR: In this paper, the zombie-firm hypothesis is explored and it is found that productivity growth is low in industries reputed to have heavy concentrations of zombie firms. But the reallocation of market share is going in the wrong direction in these industries, adding to already weak productivity performance.
Abstract: It is often claimed that one contributing factor to Japan's weak economic performance over the past decade is that Japanese banks have continued to provide financial support for highly inefficient, debt-ridden companies, commonly referred to as ‘zombie’ firms. Such poor banking practices in turn prevent more productive companies from gaining market share, strangling a potentially important source of productivity gains for the overall economy. To explore further the zombie-firm hypothesis, we use industry- and firm-level Japanese data and find evidence that productivity growth is low in industries reputed to have heavy concentrations of zombie firms. We also find that the reallocation of market share is going in the wrong direction in these industries, adding to already weak productivity performance. In addition, we find evidence that financial support from Japanese banks may have played a role in sustaining this perverse reallocation of market share.
132 citations
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TL;DR: The authors derived the Arrow-Pratt approximation of the certainty equivalent under model uncertainty as defined by the smooth model of decision making under ambiguity of Klibanoff, Marinacci and Mukerji.
Abstract: We derive the analogue of the classic Arrow-Pratt approximation of the certainty equivalent under model uncertainty as defined by the smooth model of decision making under ambiguity of Klibanoff, Marinacci and Mukerji (2005). We study its scope via a portfolio allocation exercise that delivers a tractable mean-variance model adjusted for model uncertainty. In a problem with a risk-free asset, a risky asset, and an ambiguous asset, we find that portfolio rebalancing in response to higher model uncertainty only depends on the ambiguous asset's alpha, setting the performance of the risky asset as benchmark. In addition, the portfolios recommended by our model are not systematically conservative on the share held in the ambiguous asset: indeed, in general, it is not true that greater ambiguity reduces the optimal demand for the ambiguous asset. The analytical tractability of the enhanced Arrow-Pratt approximation renders our model especially well suited for calibration exercises aimed at exploring the consequences of ambiguity aversion on equilibrium asset prices.
132 citations
Authors
Showing all 2412 results
Name | H-index | Papers | Citations |
---|---|---|---|
Ross Levine | 122 | 398 | 108067 |
Francis X. Diebold | 110 | 368 | 74723 |
Kenneth Rogoff | 107 | 390 | 75971 |
Allen N. Berger | 106 | 382 | 65596 |
Frederic S. Mishkin | 100 | 372 | 34898 |
Thomas J. Sargent | 96 | 370 | 39224 |
Ben S. Bernanke | 96 | 446 | 76378 |
Stijn Claessens | 96 | 462 | 42743 |
Andrew K. Rose | 88 | 374 | 42605 |
Martin Eichenbaum | 87 | 234 | 37611 |
Lawrence J. Christiano | 85 | 253 | 37734 |
Jie Yang | 78 | 532 | 20004 |
James P. Smith | 78 | 372 | 23013 |
Glenn D. Rudebusch | 73 | 226 | 22035 |
Edward C. Prescott | 72 | 235 | 55508 |