#2008-006A "The Dynamic Interaction of Order Flows and the CAD/USD Exchange Rate"
by Nikola Gradojevic, and Christopher J. Neely
February 2008

We explore the relationship between disaggregated order flow, the Canada/U.S. dollar (CAD/USD) market and U.S. macroeconomic announcements. Three types of CAD order flow and the CAD/USD are cointegrated. More...

#2007-044A "Lending to Uncreditworthy Borrowers"
by Rajdeep Sengupta
October 2007

This paper models entry and competition in "high-risk" credit markets. An incumbent lender’s advantage over any outside bank derives from its knowledge of (i) the risk profile of its (creditworthy) clients and (ii) uncreditworthy types in the borrower population. More...

#2007-017A "Affiliated Mutual Funds and Analyst Optimism"
by Simona Mola, and Massimo Guidolin
April 2007

Prior studies have shown that investment banking affiliations place pressure on analysts to produce optimistic recommendations on the investment bank’s stock-clients. More...

#2007-011A "Handicapping Currency Design: Counterfeit Deterrence and Visual Accessibility in the United States and Abroad"
by Marcela M. Williams, and Richard G. Anderson
March 2007
Revised June 2007

Despite the increasing use of electronic payments, currency retains an important role in the payment system of every country. In this article, the authors compare and contrast tradeoffs among currency design features, including those primarily intended to deter counterfeiting and ones to improve usability by the visually impaired. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, September/October 2007, 89(5), pp. 371-414

#2007-007A "Social Learning and Monetary Policy Rules"
by Jasmina Arifovic, James B. Bullard, and Olena Kostyshyna
March 2007

We analyze the effects of social learning in a widely-studied monetary policy context. More...

#2006-058C "Strategic Online-Banking Adoption"
by Roberto Fuentes, Rubén Hernández-Murillo, and Gerard Llobet
October 2006
Revised January 2008

In this paper we study the determinants of banks’ decision to adopt a transactional website for their customers. More...

#2006-043A "Foreign Entry and Bank Competition"
by Rajdeep Sengupta
July 2006

Foreign entry and bank competition are modeled as the interaction between asymmetrically informed principals: the entrant uses collateral as a screening device to contest the incumbent's informational advantage. Both better information ex ante and stronger legal protection ex post are shown to facilitate the entry of low-cost outside competitors into credit markets. More...

PUBLISHED: Journal of Financial Economics, May 2007, 84(2), pp. 502-28

#2006-042A "The Termination of Subprime Hybrid and Fixed Rate Mortgages"
by Anthony Pennington-Cross, and Giang Ho
July 2006

Adjustable rate and hybrid loans have been a large and important component of subprime lending in the mortgage market. While maintaining the familiar 30-year term the typical adjustable rate loan in subprime is designed as a hybrid of fixed and adjustable characteristics. More...

#2006-041B "Robust Non-parametric Quantile Estimation of Efficiency and Productivity Change in U.S. Commercial Banking, 1985–2004"
by David C. Wheelock, and Paul Wilson
June 2006
Revised April 2007

This paper describes a non-parametric, unconditional, hyperbolic quantile estimator that unlike traditional non-parametric frontier estimators is both robust to data outliers and has a root-n convergence rate. More...

FORTHCOMING: Journal of Business and Economic Statistics

#2006-034A "Why Do Analysts Continue to Provide Favorable Coverage for Seasoned Stocks?"
by Simona Mola, and Massimo Guidolin
May 2006

Research has documented that the first report an investment bank affiliated analyst issues on a newly listed stock tends to be favorable. Our analysis of 16,824 relationships between analyst teams and established listed companies during 1995-2003 indicates that analyst coverage decisions of seasoned stocks are influenced by their affiliations with investment banks and mutual funds. More...