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Peek, Joe; Rosengren, Eric S. - Federal Reserve Bank of Boston - 1996

We find that a relatively large number of banks active in the derivatives market have low capital ratios and are considered institutions with a significant risk of failure by bank supervisors. However, we also find no evidence that the volume of derivatives activity at troubled banks affects the...

Persistent link: https://www.econbiz.de/10005713322

Interest sensitivity and volatility reductions: cross-section evidence

Irvine, F. Owen; Schuh, Scott - Federal Reserve Bank of Boston - 2005

As has been widely observed, the volatility of GDP has declined since the mid-1980s compared with prior years. One leading explanation for this decline is that monetary policy improved significantly in the later period. We utilize a cross-section of 2-digit manufacturing and trade industries to...

Persistent link: https://www.econbiz.de/10005379731

Maturity structure of term premia with time-varying expected returns

Hooker, Mark A. - Federal Reserve Bank of Boston - 1996

This paper analyzes the maturity structure of term premia using McCulloch's U.S. Treasury yield curve data from 1953-91, allowing expected returns to vary across time. One-, three-, six-, and twelve-month holding period returns on maturities up to five years are projected on three ex ante...

Persistent link: https://www.econbiz.de/10005379742

Monetary policy when interest rates are bounded at zero

Fuhrer, Jeffrey; Madigan, Brian - Federal Reserve Bank of Boston - 1994

This article assesses the importance of the zero lower bound on nominal interest rates for the conduct of monetary policy. The article employs a small, forward-looking model developed by Fuhrer and Moore. The model is simulated under several policy rules that involve either high- or...

Persistent link: https://www.econbiz.de/10005379747

Optimal monetary policy in a model with habit formation

Fuhrer, Jeffrey C. - Federal Reserve Bank of Boston - 2000

A number of recent papers have explored monetary policy options, including inflation targeting and inflation forecast targeting (notably Svensson (1999a, 1999b, 2000)) and price level targeting (Wolman 2000, Batini and Yates 1999, Blinder 1999). Most papers explore "optimal" monetary policy in...

Persistent link: https://www.econbiz.de/10005379793

Productivity shocks, investment, and the real interest rate

Olivei, Giovanni - Federal Reserve Bank of Boston - 1999

I analyze the effects of a favorable shift in expected future productivity on the current level of investment and the real interest rate. In a standard RBC model, an increase in expected future productivity raises the real rate, but decreases the current level of investment for plausible...

Persistent link: https://www.econbiz.de/10005713307

Modeling long-term nominal interest rates

Fuhrer, Jeffrey C. - Federal Reserve Bank of Boston - 1995

yields on bonds of different maturities. When coupled with rational expectations, however, most empirical renderings of the …

Persistent link: https://www.econbiz.de/10005713319

Defaultable debt, interest rates, and the current account

Aguiar, Mark; Gopinath, Gita - Federal Reserve Bank of Boston - 2004

World capital markets have experienced large-scale sovereign defaults on a number of occasions, the most recent being Argentina’s default in 2002. In this paper, we develop a quantitative model of debt and default in a small open economy. We use this model to match four empirical regularities...

Persistent link: https://www.econbiz.de/10005501366

The sensitivity of long-term interest rates to economic news: comment

Barnes, Michelle L.; Pancost, N. Aaron - Federal Reserve Bank of Boston - 2010

Refet Gürkaynak, Brian Sack, and Eric Swanson (2005) provide empirical evidence that long forward nominal rates are overly sensitive to monetary policy shocks, and that this is consistent with a model where long-term inflation expectations are not anchored because agents must infer the central...

Persistent link: https://www.econbiz.de/10008465689

Defaults of original issue high-yield convertible bonds

Rosengren, Eric S. - Federal Reserve Bank of Boston - 1992

The success in marketing original issue high-yield bonds has generated significant interest in their default experience … analysis to follow rated nonconvertible high-yield bonds over time; they find cumulative default rates for such bonds 10 years …, convertible bonds carry substantially lower coupon rates than nonconvertible bonds. These lower coupon rates may reduce the …

Persistent link: https://www.econbiz.de/10005379775