Continued consolidation of the U.S. banking industry and general increase in the
size of banks has prompted some policymakers to consider policies to discourage banks
from getting larger, including explicit caps on bank size.
This paper analyzes the sources of the racial difference in the intergenerational transmission of human
capital by developing and estimating a dynastic model of parental time and monetary inputs in early childhood with endogenous fertility, home hours, labor supply, marriage, and divorce.
This paper develops measures of the costs and benefits of governance regulations
within a dynamic principal agent model of hidden information and moral
hazard following the passage of the Sarbanes-Oxley Act (SOX).
This paper describes a large, monthly frequency, macroeconomic database with the goal of establishing a convenient starting point for empirical analysis that requires "big data."
Metro Business Cycles by Maria A. Arias, Charles S. Gascon, and David E. Rapach
Working Paper 2014-046B posted November 2014, updated February 2015
We construct monthly economic-activity indices for 51 U.S. metropolitan statistical
areas beginning in 1990. Each index is based on a dynamic factor model for 14 variables
measuring various aspects of economic activity in a metro area.
It is a robust finding that technical trading rules applied to foreign exchange markets
have earned substantial excess returns over long periods of time. However, the approach to
risk adjustment has typically been rather cursory, and has tended to focus on the CAPM.
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 they do not tell us how
long such effects last.
The nature of the business cycle appears to have changed. Prior to the 1990s, recoveries
from recessions were quick and steep; after the past three recessions, however, recoveries were
weak and prolonged.
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.
This paper uses several methods to study the interrelationship among Divisia monetary aggregates, prices, and income, allowing for nonstationary, nonlinearities, asymmetries, and time-varying relationships among the series.
The Malthusian theory of evolution disregards a pervasive fact about human
societies: they expand through conflict. When this is taken account of the long-run
favors not a large population at the level of subsistence, nor yet institutions that
maximize welfare or per capita output, but rather institutions that maximize free