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Collateral damage: Sizing and assessing the subprime CDO crisis

Cordell, Larry; Huang, Yilin; Williams, Meredith - Federal Reserve Bank of Philadelphia - 2011

This paper conducts an in-depth analysis of structured finance asset-backed securities collateralized debt obligations … ABS/MBS securities and SF ABS CDOs. They estimate that 727 publicly traded SF ABS CDOs were issued between 1999 and 2007 … document the enormous cross-referencing of subprime securities into CDOs. They calculate that $201 billion of the underlying …

Persistent link: https://www.econbiz.de/10009216225

Large capital infusions, investor reactions, and the return and risk performance of financial institutions over the business cycle and recent finanical crisis

Elyasiani, Elyas; Mester, Loretta J.; Pagano, Michael S. - Federal Reserve Bank of Philadelphia - 2011

The authors examine investors' reactions to announcements of large seasoned equity offerings (SEOs) by U.S. financial institutions (FIs) from 2000 to 2009. These offerings include market infusions as well as injections of government capital under the Troubled Asset Relief Program (TARP). The...

Persistent link: https://www.econbiz.de/10009320870

Large capital infusions, investor reactions, and the return and risk performance of financial institutions over the business cycle and recent finanical crisis

Elyasiani, Elyas; Mester, Loretta J.; Pagano, Michael S. - Federal Reserve Bank of Philadelphia - 2013

We examine investors’ reactions to announcements of large capital infusions by U.S. financial institutions (FIs) from 2000 to 2009. These infusions include private market infusions (seasoned equity offerings (SEOs)) as well as injections of government capital under the Troubled Asset Relief...

Persistent link: https://www.econbiz.de/10010661488

Banks in the securities business: market-based risk implications of section 20 subsidiaries

Geyfman, Victoria - Federal Reserve Bank of Philadelphia - 2005

bank-ineligible securities activities – and BHCs without such subsidiaries. Using market returns over a period of time in … which BHCs expanded into securities activities, from 1985 through 1999, this study finds evidence that BHCs that … in the securities business resulted in diversification gains. However, BHCs with Section 20 subsidiaries exhibited higher …

Persistent link: https://www.econbiz.de/10005512286

Strengthening our monetary policy framework: a speech at the 20th Annual Hyman P. Minsky Conference, April 14, 2011, New York, New York

Plosser, Charles I. - Federal Reserve Bank of Philadelphia - 2011

Presented by Charles I. Plosser, President and Chief Executive Officer, Federal Reserve Bank of Philadelphia. 20th Annual Hyman P. Minsky Conference, April 14, 2011, New York, New York.

Persistent link: https://www.econbiz.de/10010769184

Assessing DSGE model nonlinearities

Aruoba, S. Boragan; Bocola, Luigi; Schorfheide, Frank - Federal Reserve Bank of Philadelphia - 2013

We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional...

Persistent link: https://www.econbiz.de/10010718648

The private premium in public bonds

Kovner, Anna; Wei, Chenyang - Federal Reserve Bank of Philadelphia - 2012

This paper is the first to document the presence of a private premium in public bonds. We find that spreads are 31 basis points higher for public bonds of private companies than for bonds of public companies, even after controlling for observable differences, including rating, financial...

Persistent link: https://www.econbiz.de/10010551330

Information and screening in real estate finance: an introduction, cosponsored by the Journal of real estate finance and economics and the Federal Reserve Bank of Philadelphia, Mar...

Nakamura, Leonard I.; Lang, William W. - Federal Reserve Bank of Philadelphia - 1994

Persistent link: https://www.econbiz.de/10005502153

Efficient two-part tariffs with uncertainty and interdependent demand

Shaffer, Sherrill - Federal Reserve Bank of Philadelphia - 1991

Persistent link: https://www.econbiz.de/10005512274

The effect of transaction pricing on the adoption of electronic payments: a cross-country comparison

Bolt, Wilko; Humphrey, David; Uittenbogaard, Roland - Federal Reserve Bank of Philadelphia - 2005

Pricing should speed up the substitution of low cost electronic payments for expensive paper-based transactions and cash. But by how much? Norway has explicitly priced individual payment transactions and rapidly shifted to electronic payments while the Netherlands has experienced the same shift...

Persistent link: https://www.econbiz.de/10005512290