Finance and Economics Discussion Series
2005 FEDS Papers 
2005-70 (December)
Expectations Formation and the Effectiveness of Strategies for Limiting the Consequences of the Zero Bound on Interest Rates
David L. Reifschneider and John M. Roberts
Abstract | Full paper (280 KB PDF)
Expectations Formation and the Effectiveness of Strategies for Limiting the Consequences of the Zero Bound on Interest Rates
David L. Reifschneider and John M. Roberts
Abstract | Full paper (280 KB PDF)
2005-69 (December)
Using Structural Shocks to Identify Models of Investment
John M. Roberts
Abstract | Full paper (366 KB PDF)
Using Structural Shocks to Identify Models of Investment
John M. Roberts
Abstract | Full paper (366 KB PDF)
2005-68 (December)
Using Subjective Expectations to Forecast Longevity: Do Survey Respondents Know Something We Don't Know?
Maria G. Perozek
Abstract | Full paper (262 KB PDF)
Using Subjective Expectations to Forecast Longevity: Do Survey Respondents Know Something We Don't Know?
Maria G. Perozek
Abstract | Full paper (262 KB PDF)
2005-67 (December)
Escaping the Samaritan's Dilemma: Implications of a Dynamic Model of Altruistic Intergenerational Transfers
Maria Perozek
Abstract | Full paper (274 KB PDF)
Escaping the Samaritan's Dilemma: Implications of a Dynamic Model of Altruistic Intergenerational Transfers
Maria Perozek
Abstract | Full paper (274 KB PDF)
2005-66 (December)
Modelling Inflation Dynamics: A Critical Review of Recent Research
Jeremy Rudd and Karl Whelan
Abstract | Full paper (399 KB PDF)
Modelling Inflation Dynamics: A Critical Review of Recent Research
Jeremy Rudd and Karl Whelan
Abstract | Full paper (399 KB PDF)
2005-65 (January 2006)
Retail Deposit Fees and Multimarket Banking
Timothy H. Hannan
Abstract | Full paper (124 KB PDF)
Retail Deposit Fees and Multimarket Banking
Timothy H. Hannan
Abstract | Full paper (124 KB PDF)
2005-64 (December)
Post Brown vs. the Board of Education: The Effects of the End of Court-Ordered Desegregation
Byron F. Lutz
Abstract | Full paper (383 KB PDF)
Post Brown vs. the Board of Education: The Effects of the End of Court-Ordered Desegregation
Byron F. Lutz
Abstract | Full paper (383 KB PDF)
2005-63 (December)
Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms
Benjamin Yibin Zhang, Hao Zhou, and Haibin Zhu
Abstract | Full paper (333 KB PDF)
Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms
Benjamin Yibin Zhang, Hao Zhou, and Haibin Zhu
Abstract | Full paper (333 KB PDF)
2005-62 (December)
An Inflation Goal with Multiple Reference Measures
William Whitesell
Abstract | Full paper (259 KB PDF)
An Inflation Goal with Multiple Reference Measures
William Whitesell
Abstract | Full paper (259 KB PDF)
2005-61 (September 2006)
How Did the 2003 Dividend Tax Cut Affect Stock Prices?
Gene Amromin, Paul Harrison, and Steven Sharpe
Abstract | Full paper (206 KB PDF)
How Did the 2003 Dividend Tax Cut Affect Stock Prices?
Gene Amromin, Paul Harrison, and Steven Sharpe
Abstract | Full paper (206 KB PDF)
2005-59 (December)
A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure
Liuren Wu and Frank Xiaoling Zhang
Abstract | Full paper (474 KB PDF)
A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure
Liuren Wu and Frank Xiaoling Zhang
Abstract | Full paper (474 KB PDF)
2005-58 (December)
Robustifying Learnability
Robert J. Tetlow and Peter von zur Muehlen
Abstract | Full paper (590 KB PDF)
Robustifying Learnability
Robert J. Tetlow and Peter von zur Muehlen
Abstract | Full paper (590 KB PDF)
2005-57 (December)
How Did the 2003 Dividend Tax Cut Affect Stock Prices and Corporate Payout Policy?
Gene Amromin, Paul Harrison, Nellie Liang, and Steve Sharpe
Abstract | Full paper (166 KB PDF)
How Did the 2003 Dividend Tax Cut Affect Stock Prices and Corporate Payout Policy?
Gene Amromin, Paul Harrison, Nellie Liang, and Steve Sharpe
Abstract | Full paper (166 KB PDF)
2005-56 (December)
Competition and Price Discrimination in the Market for Mailing Lists
Ron Borzekowski, Raphael Thomadsen, and Charles Taragin
Abstract | Full paper (282 KB PDF)
Competition and Price Discrimination in the Market for Mailing Lists
Ron Borzekowski, Raphael Thomadsen, and Charles Taragin
Abstract | Full paper (282 KB PDF)
2005-55 (January 2006)
Alternative Central Bank Credit Policies for Liquidity Provision in a Model of Payments
David C. Mills, Jr.
Abstract | Full paper (209 KB PDF)
Alternative Central Bank Credit Policies for Liquidity Provision in a Model of Payments
David C. Mills, Jr.
Abstract | Full paper (209 KB PDF)
2005-54 (November)
Can Financial Innovation Help to Explain the Reduced Volatility of Economic Activity?
Karen E. Dynan, Douglas W. Elmendorf, and Daniel E. Sichel
Abstract | Full paper (425 KB PDF)
Can Financial Innovation Help to Explain the Reduced Volatility of Economic Activity?
Karen E. Dynan, Douglas W. Elmendorf, and Daniel E. Sichel
Abstract | Full paper (425 KB PDF)
2005-53 (November)
Jump-Diffusion Processes and Affine Term Structure Models: Additional Closed-Form Approximate Solutions, Distributional Assumptions for Jumps, and Parameter Estimates
J. Benson Durham
Abstract | Full paper (265 KB PDF)
Jump-Diffusion Processes and Affine Term Structure Models: Additional Closed-Form Approximate Solutions, Distributional Assumptions for Jumps, and Parameter Estimates
J. Benson Durham
Abstract | Full paper (265 KB PDF)
2005-52 (December)
Solving Stochastic Money-in-the-Utility-Function Models
Travis D. Nesmith
Abstract | Full paper (311 KB PDF)
Solving Stochastic Money-in-the-Utility-Function Models
Travis D. Nesmith
Abstract | Full paper (311 KB PDF)
2005-51 (November)
Monetary Policy with Imperfect Knowledge
Athanasios Orphanides and John C. Williams
Abstract | Full paper (168 KB PDF)
Monetary Policy with Imperfect Knowledge
Athanasios Orphanides and John C. Williams
Abstract | Full paper (168 KB PDF)
2005-50 (November)
Measuring Counterparty Credit Exposure to a Margined Counterparty
Michael S. Gibson
Abstract | Full paper (587 KB PDF)
Measuring Counterparty Credit Exposure to a Margined Counterparty
Michael S. Gibson
Abstract | Full paper (587 KB PDF)
2005-49 (October)
Job Creation and Housing Construction: Constraints on Metropolitan Area Employment Growth
Raven E. Saks
Abstract | Full paper (366 KB PDF)
Job Creation and Housing Construction: Constraints on Metropolitan Area Employment Growth
Raven E. Saks
Abstract | Full paper (366 KB PDF)
2005-48 (October)
Term Structure Estimation with Survey Data on Interest Rate Forecasts
Don H. Kim and Athanasios Orphanides
Abstract | Full paper (410 KB PDF)
Term Structure Estimation with Survey Data on Interest Rate Forecasts
Don H. Kim and Athanasios Orphanides
Abstract | Full paper (410 KB PDF)
2005-47 (October)
Stock Market Volatility and the Great Moderation
Sean D. Campbell
Abstract | Full paper (547 KB PDF)
Stock Market Volatility and the Great Moderation
Sean D. Campbell
Abstract | Full paper (547 KB PDF)
2005-46 (October)
ATM Surcharge Bans and Bank Market Structure: The Case of Iowa and its Neighbors
Timothy H. Hannan
Abstract | Full paper (189 KB PDF)
ATM Surcharge Bans and Bank Market Structure: The Case of Iowa and its Neighbors
Timothy H. Hannan
Abstract | Full paper (189 KB PDF)
2005-45 (October)
The Effects of Welfare Reform and Related Policies on Single Mothers' Welfare Use and Employment
Adam Looney
Abstract | Full paper (429 KB PDF)
The Effects of Welfare Reform and Related Policies on Single Mothers' Welfare Use and Employment
Adam Looney
Abstract | Full paper (429 KB PDF)
2005-44 (October)
The Effect of Anticipated Tax Changes on Intertemporal Labor Supply and the Realization of Taxable Income
Adam Looney and Monica Singhal
Abstract | Full paper (498 KB PDF)
The Effect of Anticipated Tax Changes on Intertemporal Labor Supply and the Realization of Taxable Income
Adam Looney and Monica Singhal
Abstract | Full paper (498 KB PDF)
2005-43 (October)
The Effects of Mortgage Prepayments on M2
Yueh-Yun C. O'Brien
Abstract | Full paper (224 KB PDF)
The Effects of Mortgage Prepayments on M2
Yueh-Yun C. O'Brien
Abstract | Full paper (224 KB PDF)
2005-42 (October)
Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases
Domenico Giannone, Lucrezia Reichlin, and David Small
Abstract | Full paper (421 KB PDF)
Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases
Domenico Giannone, Lucrezia Reichlin, and David Small
Abstract | Full paper (421 KB PDF)
2005-41 (September)
Estimates of Home Mortgage Originations, Repayments, and Debt on One-to-Four-Family Residences
Alan Greenspan and James Kennedy
Abstract | Full paper (729 KB PDF) | Data - Excel file (63 KB XLS) | Data - Screen reader
Estimates of Home Mortgage Originations, Repayments, and Debt on One-to-Four-Family Residences
Alan Greenspan and James Kennedy
Abstract | Full paper (729 KB PDF) | Data - Excel file (63 KB XLS) | Data - Screen reader
2005-40 (September 2008)
Risk, Uncertainty, and Asset Prices
Geert Bekaert, Eric Engstrom, and Yuhang Xing
Abstract | Full paper (429 KB PDF)
Risk, Uncertainty, and Asset Prices
Geert Bekaert, Eric Engstrom, and Yuhang Xing
Abstract | Full paper (429 KB PDF)
2005-39 (September)
Do Nonfinancial Firms Use Interest Rate Derivatives to Hedge?
Daniel Covitz and Steven A. Sharpe
Abstract | Full paper (195 KB PDF)
Do Nonfinancial Firms Use Interest Rate Derivatives to Hedge?
Daniel Covitz and Steven A. Sharpe
Abstract | Full paper (195 KB PDF)
2005-38 (September)
How Biased are Measures of Cyclical Movements in Productivity and Hours?
Stephanie Aaronson and Andrew Figura
Abstract | Full paper (91 KB PDF)
How Biased are Measures of Cyclical Movements in Productivity and Hours?
Stephanie Aaronson and Andrew Figura
Abstract | Full paper (91 KB PDF)
2005-37 (September)
A Computationally Efficient Characterization of Pure Strategy Nash Equilibria in Large Entry Games
Andrew Cohen
Abstract | Full paper (76 KB PDF)
A Computationally Efficient Characterization of Pure Strategy Nash Equilibria in Large Entry Games
Andrew Cohen
Abstract | Full paper (76 KB PDF)
2005-36 (September)
Large Investors: Implications for Equilibrium Asset, Returns, Shock Absorption, and Liquidity
Matthew Pritsker
Abstract | Full paper (1135 KB PDF)
Large Investors: Implications for Equilibrium Asset, Returns, Shock Absorption, and Liquidity
Matthew Pritsker
Abstract | Full paper (1135 KB PDF)
2005-35 (August)
Liquidity, Default, Taxes and Yields on Municipal Bonds
Junbo Wang, Chunchi Wu, and Frank Zhang
Abstract | Full paper (222 KB PDF)
Liquidity, Default, Taxes and Yields on Municipal Bonds
Junbo Wang, Chunchi Wu, and Frank Zhang
Abstract | Full paper (222 KB PDF)
2005-34 (September)
Optimal Policy Projections
Lars E.O. Svensson and Robert J. Tetlow
Abstract | Full paper (352 KB PDF)
Optimal Policy Projections
Lars E.O. Svensson and Robert J. Tetlow
Abstract | Full paper (352 KB PDF)
2005-33 (July 2008)
An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates
Don H. Kim and Jonathan H. Wright
Abstract | Full paper (237 KB PDF) | Data - Excel file (3.3 MB XLS) | Data - Screen reader
An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates
Don H. Kim and Jonathan H. Wright
Abstract | Full paper (237 KB PDF) | Data - Excel file (3.3 MB XLS) | Data - Screen reader
2005-32 (September)
The Household Spending Response to the 2003 Tax Cut: Evidence from Survey Data
Julia Lynn Coronado, Joseph P. Lupton, and Louise M. Sheiner
Abstract | Full paper (112 KB PDF)
The Household Spending Response to the 2003 Tax Cut: Evidence from Survey Data
Julia Lynn Coronado, Joseph P. Lupton, and Louise M. Sheiner
Abstract | Full paper (112 KB PDF)
2005-31 (August)
Has Output Become More Predictable? Changes in Greenbook Forecast Accuracy
Peter Tulip
Abstract | Full paper (195 KB PDF)
Has Output Become More Predictable? Changes in Greenbook Forecast Accuracy
Peter Tulip
Abstract | Full paper (195 KB PDF)
2005-30 (August)
Why and When do Spot Prices of Crude Oil Revert to Futures Price Levels?
Mark W. French
Abstract | Full paper (387 KB PDF)
Why and When do Spot Prices of Crude Oil Revert to Futures Price Levels?
Mark W. French
Abstract | Full paper (387 KB PDF)
2005-29 (July)
Using Federal Funds Futures Contracts for Monetary Policy Analysis
Refet S. Gurkaynak
Abstract | Full paper (255 KB PDF)
Using Federal Funds Futures Contracts for Monetary Policy Analysis
Refet S. Gurkaynak
Abstract | Full paper (255 KB PDF)
2005-28 (September)
Gestation Lags and the Relationship Between Investment and Q in Regressions
Jonathan N. Millar
Abstract | Full paper (397 KB PDF)
Gestation Lags and the Relationship Between Investment and Q in Regressions
Jonathan N. Millar
Abstract | Full paper (397 KB PDF)
2005-27 (May)
External Habit and the Cyclicality of Expected Stock Returns
Thomas D. Tallarini, Jr. and Harold H. Zhang
Abstract | Full paper (625 KB PDF)
External Habit and the Cyclicality of Expected Stock Returns
Thomas D. Tallarini, Jr. and Harold H. Zhang
Abstract | Full paper (625 KB PDF)
2005-26 (May)
From the Horse's Mouth: Gauging Conditional Expected Stock Returns from Investor Surveys
Gene Amromin and Steven A. Sharpe
Abstract | Full paper (1031 KB PDF)
From the Horse's Mouth: Gauging Conditional Expected Stock Returns from Investor Surveys
Gene Amromin and Steven A. Sharpe
Abstract | Full paper (1031 KB PDF)
2005-25 (May)
Prices, Production, and Inventories over the Automotive Model Year
Adam Copeland, Wendy Dunn, and George Hall
Abstract | Full paper (263 KB PDF)
Prices, Production, and Inventories over the Automotive Model Year
Adam Copeland, Wendy Dunn, and George Hall
Abstract | Full paper (263 KB PDF)
2005-24 (May)
Gestation Lags for Capital, Cash Flows, and Tobins's Q
Jonathan N. Millar
Abstract | Full paper (656 KB PDF)
Gestation Lags for Capital, Cash Flows, and Tobins's Q
Jonathan N. Millar
Abstract | Full paper (656 KB PDF)
2005-23 (May)
Raising the Bar for Models of Turnover
Erwan Quintin and John J. Stevens
Abstract | Full paper (247 KB PDF)
Raising the Bar for Models of Turnover
Erwan Quintin and John J. Stevens
Abstract | Full paper (247 KB PDF)
2005-22 (May)
Growing Old Together: Firm Survival and Employee Turnover
Erwan Quintin and John J. Stevens
Abstract | Full paper (294 KB PDF)
Growing Old Together: Firm Survival and Employee Turnover
Erwan Quintin and John J. Stevens
Abstract | Full paper (294 KB PDF)
2005-21 (May)
A Review of Backtesting and Backtesting Procedures
Sean D. Campbell
Abstract | Full paper (175 KB PDF)
A Review of Backtesting and Backtesting Procedures
Sean D. Campbell
Abstract | Full paper (175 KB PDF)
2005-20 (May)
Branch Banking, Bank Competition, and Financial Stability
Mark Carlson and Kris James Mitchener
Abstract | Full paper (453 KB PDF)
Branch Banking, Bank Competition, and Financial Stability
Mark Carlson and Kris James Mitchener
Abstract | Full paper (453 KB PDF)
2005-19 (April)
Temporary Partial Expensing in a General-Equilibrium Model
Rochelle M. Edge and Jeremy B. Rudd
Abstract | Full paper (466 KB PDF)
Temporary Partial Expensing in a General-Equilibrium Model
Rochelle M. Edge and Jeremy B. Rudd
Abstract | Full paper (466 KB PDF)
2005-18 (April)
Yesterday's Bad Times are Today's Good Old Times: Retail Price Changes in the 1890s were Smaller, Less Frequent, and More Permanent
Alan Kackmeister
Abstract | Full paper (219 KB PDF)
Yesterday's Bad Times are Today's Good Old Times: Retail Price Changes in the 1890s were Smaller, Less Frequent, and More Permanent
Alan Kackmeister
Abstract | Full paper (219 KB PDF)
2005-17 (April)
Are Firms or Workers Behind the Shift Away from DB Pension Plan?
Stephanie Aaronson and Julia Coronado
Abstract | Full paper (478 KB PDF)
Are Firms or Workers Behind the Shift Away from DB Pension Plan?
Stephanie Aaronson and Julia Coronado
Abstract | Full paper (478 KB PDF)
2005-16 (April)
The Effects of Local Banking Market Structure on the Banking-Lending Channel of Monetary Policy
Robert M. Adams and Dean F. Amel
Abstract | Full paper (159 KB PDF)
The Effects of Local Banking Market Structure on the Banking-Lending Channel of Monetary Policy
Robert M. Adams and Dean F. Amel
Abstract | Full paper (159 KB PDF)
2005-15 (April)
The Effects of Competition from Large, Multimarket Firms on the Performance of Small, Single-Market Firms: Evidence from the Banking Industry
Allen N. Berger, Astrid A. Dick, Lawrence G. Goldberg, and Lawrence J. White
Abstract | Full paper (250 KB PDF)
The Effects of Competition from Large, Multimarket Firms on the Performance of Small, Single-Market Firms: Evidence from the Banking Industry
Allen N. Berger, Astrid A. Dick, Lawrence G. Goldberg, and Lawrence J. White
Abstract | Full paper (250 KB PDF)
2005-14 (April)
Tracking the Source of the Decline in GDP Volatility: An Analysis of the Automobile Industry
Valerie A. Ramey and Daniel J. Vine
Abstract | Full paper (827 KB PDF)
Tracking the Source of the Decline in GDP Volatility: An Analysis of the Automobile Industry
Valerie A. Ramey and Daniel J. Vine
Abstract | Full paper (827 KB PDF)
2005-13 (March)
Housing, House Prices, and the Equity Premium Puzzle
Morris A. Davis and Robert F. Martin
Abstract | Full paper (485 KB PDF)
Housing, House Prices, and the Equity Premium Puzzle
Morris A. Davis and Robert F. Martin
Abstract | Full paper (485 KB PDF)
2005-12 (March)
A Nonlinear Look at Trend MFP Growth and the Business Cycle: Result from a Hybrid Kalman/Markov Switching Model
Mark W. French
Abstract | Full paper (309 KB PDF)
A Nonlinear Look at Trend MFP Growth and the Business Cycle: Result from a Hybrid Kalman/Markov Switching Model
Mark W. French
Abstract | Full paper (309 KB PDF)
2005-11 (March)
Job-Hopping in Silicon Valley: Some Evidence Concerning the Micro-Foundations of a High Technology Cluster
Bruce Fallick, Charles A. Fleischman, and James B. Rebitzer
Abstract | Full paper (245 KB PDF)
Job-Hopping in Silicon Valley: Some Evidence Concerning the Micro-Foundations of a High Technology Cluster
Bruce Fallick, Charles A. Fleischman, and James B. Rebitzer
Abstract | Full paper (245 KB PDF)
2005-10 (February)
An Empirical Analysis of Bond Recovery Rates: Exploring a Structural View of Default
Daniel Covitz and Song Han
Abstract | Full paper (266 KB PDF)
An Empirical Analysis of Bond Recovery Rates: Exploring a Structural View of Default
Daniel Covitz and Song Han
Abstract | Full paper (266 KB PDF)
2005-09 (January)
Density Selection and Combination Under Model Ambiguity: An Application to Stock Returns
Stefania D'Amico
Abstract | Full paper (373 KB PDF)
Density Selection and Combination Under Model Ambiguity: An Application to Stock Returns
Stefania D'Amico
Abstract | Full paper (373 KB PDF)
2005-08 (January)
Does Trading Frequency Affect Subordinated Debt Spreads?
Christopher Bianchi, Diana Hancock, and Laura Kawano
Abstract | Full paper (1582 KB PDF)
Does Trading Frequency Affect Subordinated Debt Spreads?
Christopher Bianchi, Diana Hancock, and Laura Kawano
Abstract | Full paper (1582 KB PDF)
2005-07 (January)
GSEs, Mortgage Rates, and Secondary Market Activities
Andreas Lehnert, Wayne Passmore, and Shane M. Sherlund
Abstract | Full paper (175 KB PDF)
GSEs, Mortgage Rates, and Secondary Market Activities
Andreas Lehnert, Wayne Passmore, and Shane M. Sherlund
Abstract | Full paper (175 KB PDF)
2005-06 (January)
The Effect of Housing Government-Sponsored Enterprises on Mortgage Rates
Wayne Passmore, Shane M. Sherlund, and Gillian Burgess
Abstract | Full paper (1554 KB PDF)
The Effect of Housing Government-Sponsored Enterprises on Mortgage Rates
Wayne Passmore, Shane M. Sherlund, and Gillian Burgess
Abstract | Full paper (1554 KB PDF)
2005-05 (January)
The GSE Implicit Subsidy and the Value of Government Ambiguity
Wayne Passmore
Abstract | Full paper (121 KB PDF)
The GSE Implicit Subsidy and the Value of Government Ambiguity
Wayne Passmore
Abstract | Full paper (121 KB PDF)
2005-03 (January)
Who Competes with Whom? The Case of Depository Institutions
Robert M. Adams, Kenneth P. Brevoort, and Elizabeth K. Kiser
Abstract | Full paper (236 KB PDF)
Who Competes with Whom? The Case of Depository Institutions
Robert M. Adams, Kenneth P. Brevoort, and Elizabeth K. Kiser
Abstract | Full paper (236 KB PDF)
2005-02 (January)
The Reform of October 1979: How It Happened and Why
David E. Lindsey, Athanasios Orphanides, and Robert H. Rasche
Abstract | Full paper (531 KB PDF)
The Reform of October 1979: How It Happened and Why
David E. Lindsey, Athanasios Orphanides, and Robert H. Rasche
Abstract | Full paper (531 KB PDF)
2005-01 (January)
Precautionary Savings Motives and Tax Efficiency of Household Portfolios: An Empirical Analysis
Gene Amromin
Abstract | Full paper (343 KB PDF)
Precautionary Savings Motives and Tax Efficiency of Household Portfolios: An Empirical Analysis
Gene Amromin
Abstract | Full paper (343 KB PDF)