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Costly information, planning complementarities and the Phillips Curve

Acharya, Sushant - Federal Reserve Bank of New York - 2014

Standard sticky information pricing models successfully capture the sluggish movement of aggregate prices in response to monetary policy shocks but fail at matching the magnitude and frequency of price changes at the micro level. This paper shows that in a setting where firms choose when to...

Persistent link: https://www.econbiz.de/10010942921

International banking and liquidity risk transmission: lessons from across countries

Buch, Claudia M.; Goldberg, Linda S. - Federal Reserve Bank of New York - 2014

financial crisis. Yet we know little about the actual magnitudes and mechanisms for transmission of liquidity shocks through … studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk …

Persistent link: https://www.econbiz.de/10010784190

CDS and equity market reactions to stock issuances in the U.S. financial industry: evidence from the 2002-13 period

Mehran, Hamid; Wei, Chenyang; Cornette, Marcia Millon; … - Federal Reserve Bank of New York - 2014

We study market reactions to seasoned equity issuances that were announced by financial companies between 2002 and 2013. To assess the risk and valuation implications of these seasoned equity issuances, we conduct an event analysis using daily credit default swap (CDS) and stock market pricing...

Persistent link: https://www.econbiz.de/10010942922

How does risk management influence production decisions? evidence from a field experiment

Cole, Shawn; Gine, Xavier; Vickery, James - Federal Reserve Bank of New York - 2014

Weather is a key source of income risk, particularly in emerging market economies. This paper uses a randomized controlled trial involving a sample of Indian farmers to study how an innovative rainfall insurance product affects production decisions. We find that insurance provision induces...

Persistent link: https://www.econbiz.de/10011027207

ECB monetary operations and the interbank repo market

Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - Federal Reserve Bank of New York - 2013

We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...

Persistent link: https://www.econbiz.de/10010732481

Liquidity risk and U.S. bank lending at home and abroad

Goldberg, Linda S.; Correa, Ricardo; Rice, Tara - Federal Reserve Bank of New York - 2014

While the balance sheet structure of U.S. banks influences how they respond to liquidity risks, the mechanisms for the …-sectional differences in response to liquidity risk depend on the banks’ shares of core deposit funding. By contrast, differences across … global banks (those with foreign affiliates) are associated with ex ante liquidity management strategies as reflected in …

Persistent link: https://www.econbiz.de/10010784189

Belief updating among college students: evidence from experimental variation in information

Wiswall, Matthew; Zafar, Basit - Federal Reserve Bank of New York - 2011

We investigate how college students form and update their beliefs about future earnings using a unique “information” experiment. We provide college students true information about the population distribution of earnings and observe how this information causes respondents to update their...

Persistent link: https://www.econbiz.de/10009320708

Early contract renegotiation: An analysis of U.S. labor contracts from 1970 to 1995

Rich, Robert; Tracy, Joseph - Federal Reserve Bank of New York - 2011

episodes of increased inflation uncertainty, our results suggest that these contracts are flexible both ex ante and ex post to …

Persistent link: https://www.econbiz.de/10009358584

Estimating a structural model of herd behavior in financial markets

Cipriani, Marco; Guarino, Antonio - Federal Reserve Bank of New York - 2012

, rational herding arises because of information-event uncertainty. We estimate the model using 1995 stock market data for …

Persistent link: https://www.econbiz.de/10010552106

Inference, arbitrage, and asset price volatility

Adrian, Tobias - Federal Reserve Bank of New York - 2004

This paper models the impact of arbitrageurs on stock prices when arbitrageurs are uncertain about the drift of the dividend process of a risky asset. Under perfect information, the presence of risk-neutral arbitrageurs unambiguously reduces the volatility of asset returns. When arbitrageurs are...

Persistent link: https://www.econbiz.de/10005420543