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Bank Capital Requirements for Market Risk: The Internal Models Approach

Hendricks, Darryll; Hirtle, Beverly - Federal Reserve Bank <New York, NY>; London School of … - 1997

[...]This paper presents an overview of the new capitalrequirements. In the first section, we describe the structureof the requirements and the considerations that went intotheir design. In addition, we address some of the concernsthat have been raised about the methods of calculating...

Persistent link: https://www.econbiz.de/10005870218

Is There an Inflation Puzzle?

Lown, Cara S.; Rich, Robert W. - Federal Reserve Bank <New York, NY>; London School of … - 1997

[...]This article explores the inflation puzzle andinvestigates whether compensation has acted as either atemporary restraint on inflation or as the underlying sourceof a new inflation regime.2 After reviewing the recent behavior of inflation, we specify and estimate a traditionalprice-inflation...

Persistent link: https://www.econbiz.de/10005870223

Financial Consolidationand Monetary Policy

English, William - United States / Reserve Board; London School of …

The 1990s were characterized by substantial financial sectorconsolidation across a large number of industrializedcountries...

Persistent link: https://www.econbiz.de/10005869393

Systemic Risk and Deposit Insurance Premiums

Acharya, Viral V.; Santos, João A. C.; Yorulmazer, Tanju - London School of Economics and Political Science

),1 which leads to “fire-sale”–related pecuniaryexternalities; and bank interconnectedness (Allen and Gale2000; Kahn and Santos …

Persistent link: https://www.econbiz.de/10005869397

Supervisory Information and the Frequency of Bank Examinations

Hirtle, Beverly J.; López, José A. - Federal Reserve Bank <New York, NY>; London School of … - 1999

length of time between bank examinations affects thequality of information available to supervisors. For thesepurposes, we … condition of a bank. Our analysisassumes that examination information incorporates twotypes of data: information available from … information that can be obtained onlythrough on-site examinations, such as confidential informationabout a bank’s troubled assets …

Persistent link: https://www.econbiz.de/10005870064

Evaluation of Value-at-Risk Models Using Historical Data

Hendricks, Darryll - Federal Reserve Bank <New York, NY>; London School of … - 1996

[...]We begin by explaining the three most commoncategories of value-at-risk models—equally weighted movingaverage approaches, exponentially weighted movingaverage approaches, and historical simulation approaches.Although within these three categories many differentapproaches exist, for the...

Persistent link: https://www.econbiz.de/10005870342

Trade and the Skill Premium Puzzle with Capital Market Imperfections

Bonfatti, Roberto; Ghatak, Maitreesh - University <Oxford> / Department of Economics; London … - 2010

An interesting puzzle is that trade liberalization in the 1980s and 1990s has been associated with a sharp increase in the skill premium in both developed and developing countries.This is in contrast with neoclassical theory, according to which trade should increase therelative return of the...

Persistent link: https://www.econbiz.de/10008860714

Consumption and real exchange rates with incomplete markets and non-traded goods

Benigno, Gianluca; Thoenissen, Christoph - London School of Economics and Political Science - 2008

This paper addresses the consumption–real exchange rate anomaly.International real business cycle models based on complete financialmarkets predict a unitary correlation between the realexchange rate and the ratio of home to foreign consumptionwhen subjected to supply-side shocks. In the data,...

Persistent link: https://www.econbiz.de/10009138476

Credit Constraints, Competition, and Meritocracy

Caselli, Francesco; Gennaioli, Nicola - London School of Economics and Political Science - 2004

[...]This paper studies a simple model of the talent-ownership mismatch — or failure ofmeritocracy — brought about by credit market imperfections that arise as a consequence ofagency problems in the borrower-lender relationship. Our model highlights the interactionbetween the market for...

Persistent link: https://www.econbiz.de/10009305079

Rural labor and credit markets

Caselli, Francesco - London School of Economics and Political Science - 1996

This paper studies changes over time in the incidence of labor tying. The existingliterature is successful in explaining the emergence of this institution, but contains thecounterfactual implication that there should be an increasing trend in labor tying. However,previous contributions have so...

Persistent link: https://www.econbiz.de/10009305096