#2005-027B "Non-parametric, Unconditional Quantile Estimation for Efficiency Analysis with an Application to Federal Reserve Check Processing Operations"
by David C. Wheelock, and Paul Wilson
April 2005
Revised February 2007

This paper examines the technical efficiency of U.S. Federal Reserve check processing offices over 1980–2003. More...

PUBLISHED: Journal of Econometrics, July 2008, 145(1-2), pp. 209-25

#2005-023A "A Specialized Inventory Problem in Banks: Optimizing Retail Sweeps"
by Suresh K. Nair, and Richard G. Anderson
April 2005

Deposits held at Federal Reserve Banks are an essential input to the business activity of most depository institutions in the United States. Managing these deposits is an important and complex inventory problem, for two reasons. More...

PUBLISHED: Production Optimization and Management Science, May 2008, 17(3), pp. 285-95

#2005-022A "The Delinquency of Subprime Mortgages"
by Michelle A. Danis, and Anthony Pennington-Cross
March 2005

This paper focuses on understanding the determinants of the performance of subprime mortgages. A growing body of literature recognizes the substantial lag between the time that a borrower stops making payments on a mortgage and the termination of the loan. More...

#2004-004A "When For-Profits and Not-For-Profits Compete: Theory and Empirical Evidence from Retail Banking"
by William R. Emmons, and Frank A. Schmid
February 2004

We model competition in local deposit markets between for-profit and not-for-profit financial institutions. For-profit retail banks may offer a superior bundle of financial services, but not-for-profit (occupational) credit unions enjoy sponsor subsidies that allow them to capture a share of the local market. More...

#2003-044C "A Spatial Analysis of State Banking Regulation"
by Thomas A. Garrett, Gary A. Wagner, and David C. Wheelock
December 2003
Revised February 2005

We use a spatial model to investigate a state's choice of branch banking and interstate banking regimes as a function of the regime choices made by other states and other variables suggested in the literature. We extend the basic spatial econometric model by allowing spatial dependence to vary by geographic region. More...

PUBLISHED: Papers in Regional Science, November 2005, 84(4), pp. 575-95

#2003-041A "Can Feedback from the Jumbo-CD Market Improve Bank Surveillance?"
by R. Alton Gilbert, Andrew P. Meyer, and Mark D. Vaughan
December 2003

We examine the value of jumbo certificate-of-deposit (CD) signals in bank surveillance. To do so, we first construct proxies for default premiums and deposit runoffs and then rank banks based on these risk proxies. Next, we rank banks based on the output of a logit model typical of the econometric models used in off-site surveillance. Finally, we compare jumbo-CD rankings and surveillance-model rankings as tools for predicting financial distress. More...

PUBLISHED: Federal Reserve Bank of Richmond Economic Quarterly, Spring 2006, 92(2), pp. 135-75

#2003-040D "Year-End Seasonality in One-Month LIBOR Derivatives"
by Christopher J. Neely, and Drew B. Winters
November 2003
Revised October 2005

We examine the markets for one-month LIBOR futures contracts and options on those futures for a year-end price effect consistent with the previously identified year-end rate increase in one-month LIBOR. The cash market rate increase appears in forward rates and derivative prices, which allows the derivatives to properly hedge year-end interest rate risk. More...

PUBLISHED: Journal of Derivatives, Spring 2006, 13(3), pp. 47-65

#2003-037A "Robust Nonparametric Estimation of Efficiency and Technical Change in U.S. Commercial Banking"
by David C. Wheelock, and Paul Wilson
November 2003

This paper examines the performance of the U.S. commercial banking industry over 1984–2002. Rather than measuring performance relative to the unknown (and difficult-to-estimate) boundary of the production set, performance for a given bank is measured relative to expected maximum output among m banks using no more of each input than the given bank. More...

#2003-036A "Input Inefficiency In Commercial Banks: A Normalized Quadratic Input Distance Approach"
by Thomas L. Marsh, Allen M. Featherstone, and Thomas A. Garrett
November 2003

A normalized quadratic input distance function is proposed with which to estimate technical efficiency on commercial banks regulated by the Federal Reserve System. The study period covers 1990 to 2000 using individual bank information from the Call and Banking Holding Company Database. More...

#2003-034A "The Federal Reserve Responds to Crises: September 11th Was Not the First"
by Christopher J. Neely
October 2003

A primary purpose of the Federal Reserve Act of 1913 was to prevent banking panics by establishing the Federal Reserve System to function as a lender of last resort. Other types of financial crisis require similar response, however, and the Federal Reserve has repeatedly used its capacity to generate liquidity to insulate the economy from crises in financial markets. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, March/April 2004, 86(2), pp. 27-42