Secondary loan participations, or loan "stripping," is a recent innovation in banking. In a secondary loan participation, or loan sale, a bank makes a loan and then sells the loan, without recourse, to a third party. Bank loans hitherto were nonmarketable securities which could only be removed...

This paper examines the stochastic properties of aggregate macroeconomic time series from the standpoint of fractionally integrated models, and focuses on the persistence of economic shocks. We develop a simple macroeconomic model that exhibits long-term dependence, a consequence of aggregation...

This paper calculates the stochastic properties of consumption when income follows a fractional stochastic process, and shows how this may explain both the excess sensitivity and the excess smoothness paradoxes. It then uses a recently developed improvement of the Rescaled Range Statistic to...

This paper examines the stochastic properties of aggregate macroeconomic time series from the standpoint of fractionally integrated models, and focuses on the persistence of economic shocks. We develop a simple macroeconomic model that exhibits long-term dependence, a consequence of aggregation...

Secondary loan participations, or loan sales, are a recent innovation in banking. In a secondary loan participation, or loan sale, a bank makes a loan and then sells the cash stream from the loan without explicit contractual recourse, guarantee, insurance, or other credit enhancement, to a third...