This study examines bank risk by investigating the equity and loan portfolio characteristics of publicly-traded bank holding companies. Unlike the pattern for non-financial firms, equity betas of large banks are two to five times greater than those of small banks. In explaining this, we note...

We present new evidence that existing, but long-ignored, measures of consumer sentiment can reduce errors in forecasting total consumption expenditures and its components. The component questions of the aggregate Index of Consumer sentiment improve forecasts, not only of consumer expenditures on...

Lowering of underwriting standards may have contributed much to the unprecedented recent rise and subsequent fall of mortgage volumes and house prices. Conventional data do not satisfactorily measure aggregate underwriting standards over the past decade: the easing and then tightening of...

The Federal Reserve System imposes caps and charges fees on the negative intraday balances in banks' reserve accounts. i.e., on daylight overdrafts. Our empirical results suggest that caps alone did little to reduce daylight overdrafts in the aggregate. By contrast, the 1994 imposition of fees...

This study investigates whether the recent poor performance and inst ability of reduced-form interest-rate equations can be accounted for by changes in monetary policy regimes. The results imply that reduced -form coefficients move by statistically-significant and economically -meaningful...