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Inflation expectations and behavior: Do survey respondents act on their beliefs?

Armantier, Olivier; Bruin, Wändi Bruine de; Topa, Giorgio - Federal Reserve Bank of New York - 2011

We compare the inflation expectations reported by consumers in a survey with their behavior in a financially incentivized investment experiment designed such that future inflation affects payoffs. The inflation expectations survey is found to be informative in the sense that the beliefs reported...

Persistent link: https://www.econbiz.de/10009274483

Negative equity and housing investment

Haughwout, Andrew; Sutherland, Sarah; Tracy, Joseph - Federal Reserve Bank of New York - 2013

investments. Housing investment expenditures economy-wide are sizable, averaging 45 percent of the value of new home construction … investments by roughly 75 percent. The large increase in negative equity due to declining housing prices during the housing bust …

Persistent link: https://www.econbiz.de/10010699376

Heterogeneity and stability: bolster the strong, not the weak

Choi, Dong Beom - Federal Reserve Bank of New York - 2013

This paper provides a model of systemic panic among financial institutions with heterogeneous fragilities. Concerns about potential spillovers from each other generate strategic interaction among institutions, triggering a preemption game in which one tries to exit the market before the others...

Persistent link: https://www.econbiz.de/10010699383

No good deals—no bad models

Boyarchenko, Nina; Cerrato, Mario; Crosby, John; … - Federal Reserve Bank of New York - 2012

Faced with the problem of pricing complex contingent claims, investors seek to make their valuations robust to model uncertainty. We construct a notion of a model-uncertainty-induced utility function and show that model uncertainty increases investors’ effective risk aversion. Using this...

Persistent link: https://www.econbiz.de/10011027208

Doing well by doing good? Community development venture capital

Kovner, Anna; Lerner, Josh - Federal Reserve Bank of New York - 2012

This paper examines the investments and performance of community development venture capital (CDVC). We find … substantial differences between CDVC and traditional venture capital (VC) investments: CDVC investments are far more likely to be … earlier-stage investments and in industries outside the venture capital mainstream that have lower probabilities of successful …

Persistent link: https://www.econbiz.de/10010585872

Have financial markets become more informative?

Bai, Jennie; Philippon, Thomas; Savov, Alexi - Federal Reserve Bank of New York - 2012

The finance industry has grown. Financial markets have become more liquid. Information technology has improved. But have prices become more informative? Using stock and bond prices to forecast earnings, we find that the information content of market prices has not increased since 1960. The...

Persistent link: https://www.econbiz.de/10010585873

The private premium in public bonds

Kovner, Anna; Wei, Chenyang - Federal Reserve Bank of New York - 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/10010551296

The minimum balance at risk: a proposal to mitigate the systemic risks posed by money market funds

McCabe, Patrick E.; Cipriani, Marco; Holscher, Michael; … - Federal Reserve Bank of New York - 2012

This paper introduces a proposal for money market fund (MMF) reform that could mitigate systemic risks arising from these funds by protecting shareholders, such as retail investors, who do not redeem quickly from distressed funds. Our proposal would require that a small fraction of each MMF...

Persistent link: https://www.econbiz.de/10010570176

How much do bank shocks affect investment? Evidence from matched bank-firm loan data

Amiti, Mary; Weinstein, David E. - Federal Reserve Bank of New York - 2013

We show that supply-side financial shocks have a large impact on the investment decisions of firms. We do this by developing a new methodology to separate firms' credit shocks from loan supply shocks, using a vast sample of matched bank-firm lending data. We decompose loan movements in Japan for...

Persistent link: https://www.econbiz.de/10010633796

Up close it feels dangerous: 'anxiety' in the face of risk

Eisenbach, Thomas M.; Schmalz, Martin C. - Federal Reserve Bank of New York - 2013

Motivated by individuals' emotional response to risk at different time horizons, we model an 'anxious' agent--one who is more risk averse with respect to imminent risks than distant risks. Such preferences describe well-documented features of 1) individual behavior, 2) equilibrium prices, and 3)...

Persistent link: https://www.econbiz.de/10010640517