This paper reviews and critically evaluates the empirical literature on the effects of U.S. unconventional monetary policy on both financial markets and the real economy. In order to understand how such policies could work, we also briefly review the literature on the theory of such policies.
The 1960s and 1970s witnessed rapid growth in the markets for new money market instruments, such as negotiable certificates of deposit (CDs) and Eurodollar deposits, as banks and investors sought ways around various regulations affecting funding markets.
As a result of legal restrictions on branch banking, an extensive interbank system developed in the United States during the 19th century to facilitate interregional payments and flows of liquidity and credit. Vast sums moved through the interbank system to meet seasonal and other demands, but the system also transmitted shocks during banking panics.
Gertler and Gilchrist (1994) provide seminal evidence for the prevailing view that adverse shocks are propagated via credit constraints: small firms are affected more during tight credit periods than large firms.
We provide new empirical evidence of a relationship between asset prices and trade-
Induced international R&D spillovers; in particular, we find that pairs of countries
that share more research and development exhibit more highly correlated stock market
returns and less volatile exchange rates.
This paper asked the question of whether the behavior and compensation of interlocked executives
and non-independent board of directors are consistent with the hypothesis of governance
problem or whether this problem is mitigated by implicit and market incentives.
Empirical work on asset prices suggests that pricing kernels have to be almost perfectly correlated across countries. If they are not, real exchange rates are too smooth to be consistent with high Sharpe ratios in asset markets.
This paper investigates the effects of the Sarbanes-Oxley Act (SOX) on CEO compensation,
using panel data constructed for the S&P 1500 firms on CEO compensation,
financial returns, and reported accounting income.
Rising costs of and returns to college have led to sizeable increases in the demand for
student loans in many countries. In the U.S., student loan default rates have also risen
for recent cohorts as labor market uncertainty and debt levels have increased.
This paper extends the previous literature on geographic (heat waves) and intertemporal
(meteor showers) foreign exchange volatility transmission to characterize the role of jumps and
Academic studies show that technical trading rules would have earned substantial excess returns over long periods in foreign exchange markets. However, the approach to risk adjustment has typically been rather cursory.
Event studies show that the Federal Reserve’s announcements of forward guidance and large-scale asset purchases had large and desired effects on asset prices but these studies do not tell us how long such effects last.
In 2005, reforms made formal personal bankruptcy much more costly. Shortly after, the US
began to experience its most severe recession in seventy years, and while personal bankruptcy
rates rose, they rose only modestly given the severity of the rise in unemployment.
This paper evaluates the most appropriate ways to model diffusion and jump features of high-frequency exchange rates in the presence of intraday periodicity in volatility. We show that periodic volatility distorts the size and power of conventional tests of Brownian motion, jumps and (in)finite activity.
We review the responses of the Federal Reserve to financial crises over the past 100 years. The authors of the Federal Reserve Act in 1913 created an institution that they hoped would prevent banking panics from occurring.
The recent financial crisis has focused attention on the relationship between access to finance and international trade, triggering a burgeoning segment of the literature evaluating this link empirically.