RPA Working Paper Series

Working Papers coverRisk and Policy Analysis (RPA) Working Papers, formerly known as Quantitative Analysis Unit (QAU) Working Papers, present economic, financial and policy related research conducted by staff in the Federal Reserve Bank of Boston’s Risk and Policy Analysis Unit and are intended for publication in professional journals.

 

 

Latest Papers

No. RPA12-5
“Bank Deregulation and Racial Inequality in America”
by Ross Levine, Alexey Levkov, and Yona Rubinstein
Forthcoming in Critical Finance Review.

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Data and Programs

No. RPA12-4
“Knightian Uncertainty and Interbank Lending”
by Matthew Pritsker

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No. RPA12-3
“The Stability of Prime Money Market Mutual Funds: Sponsor Support from 2007 to 2011”
by Steffanie A. Brady, Ken E. Anadu, and Nathaniel R. Cooper

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No. QAU12-2
“Bank Diversification, Market Structure and Bank Risk Taking: Theory and Evidence from U.S. Commercial Banks”
by Martin Goetz

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No. QAU12-1
“Evaluating the Impact of Fair Value Accounting on Financial Institutions: Implications for Accounting Standards Setting and Bank Supervision”
by Sanders Shaffer

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No 2011 papers were published.

 

2010 Papers

No. QAU10-7
“Branching of Banks and Union Decline”
by Alexey Levkov

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No. QAU10-6
“Financing Constraints and Unemployment: Evidence from the Great Recession”
by Burcu Duygan-Bump, Alexey Levkov, and Judit Montoriol-Garriga
(Revised in December 2011)

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No. QAU10-5
“Risk, Returns, and Multinational Production”
by José L. Fillat and Stefania Garetto
(Revised in May 2013)

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No. QAU10-4
“Addressing the Pro-cyclicality of Capital Requirements with a Dynamic Loan Loss Provision System”
by José L. Fillat and Judit Montoriol-Garriga

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No. QAU10-3
“How Effective Were the Federal Reserve Emergency Liquidity Facilities? Evidence from the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility”
by Burcu Duygan-Bump, Patrick M. Parkinson, Eric S. Rosengren, Gustavo A. Suarez, Paul S. Willen

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No. QAU10-2
“Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs
by Stefano Corradin, José L. Fillat, and Carles Vergara-Alert
(Revised in May 2013)

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No. QAU10-1
“Fair Value Accounting: Villian or Innocent Victim?
Exploring the Links Between Fair Value Accounting, Bank Regulatory Capital, and the Recent Financial Crisis

by Sanders Shaffer

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2009 Papers

No. QAU09-5
“Your House or Your Credit Card, Which Would You Choose? Personal Delinquency Tradeoffs and Precautionary Liquidity Motives”
by Ethan Cohen-Cole and Jonathan Morse
(Revised in January 2010)

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No. QAU09-4
“A Question of Liquidity: The Great Banking Run of 2008?”
by Judit Montoriol-Garriga and Evan Sekeris

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No. QAU09-3
“Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique”
by Todd Prono

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No. QAU09-2
“Forgive and Forget: Who Gets Credit after Bankruptcy and Why?”
by Ethan Cohen-Cole, Burcu Duygan-Bump, and Judit Montoriol-Garriga

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No. QAU09-1
“The Option Value of Consumer Bankruptcy”
by Ethan Cohen-Cole

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2008 Papers

No. QAU08-7
“The Balance Sheet Channel”
by Ethan Cohen-Cole and Enrique Martinez-Garcia
(Revised in June 2009)

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No. QAU08-6
“Household Bankruptcy Decision: The Role of Social Stigma vs. Information Sharing”
by Ethan Cohen-Cole and Burcu Duygan-Bump

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No. QAU08-5
“Looking Behind the Aggregates: A Reply to 'Facts and Myths about the Financial Crisis of 2008'”
by Ethan Cohen-Cole, Burcu Duygan-Bump, José Fillat, and Judit Montoriol-Garriga

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No. QAU08-4
“GARCH-Based Identification and Estimation of Triangular Systems”
by Todd Prono

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No. QAU08-3
“Household Debt Repayment Behaviour: What Role Do Institutions Play?”
by Burcu Duygan-Bump and Charles Grant

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No. QAU08-2
“Is Obesity Contagious? Social Networks vs. Environmental Factors in the Obesity Epidemic”
by Ethan Cohen-Cole and Jason M. Fletcher
A subsequent version of this paper was published in Journal of Health Economics 27, no. 2 (2008): 1382-1387.

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No. QAU08-1
“Credit Card Redlining”
by Ethan Cohen-Cole

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2007 Papers

No. QAU07-8
“Loss Distribution Estimation, External Data and Model Averaging”
by Ethan Cohen-Cole and Todd Prono
A subsequent version of this paper was published in Journal of Financial Risk Management 4, no. 4 (2007): 59-66.

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No. QAU07-7
“Demonstration Effects in Preventive Care”
by Ritesh Banerjee, Ethan Cohen-Cole, and Giulio Zanella

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No. QAU07-6
“Information Diffusion Based Explanations of Asset Pricing Anomalies”
by Athanasios Bolmatis and Evan G. Sekeris

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No. QAU07-5
“Asset Liquidity, Debt Valuation and Credit Risk”
by Ethan Cohen-Cole

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No. QAU07-4
“Unpacking Social Interactions”
by Ethan Cohen-Cole and Giulio Zanella
A subsequent version of this paper was published in Economic Inquiry 46, no. 1 (2008).

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No. QAU07-3
“Model Uncertainty and the Deterrent Effect of Capital Punishment”
by Ethan Cohen-Cole, Steven Durlauf, Jeffrey Fagan, Daniel Nagin
Also listed as Wisconsin SSRI WPS 2007-3; Columbia Public Law Research Paper 07-138
A subsequent version of this paper was published in American Law and Economic Review 11, no. 2 (2009).

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No. QAU07-2
“The Relative Efficiency of Endogenous Proxies : Still Living with the Roll Critique”

by Todd Prono
Also listed as FRBB Research Department Working Paper 07-01
(Revised in March 2008)

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No. QAU07-1
“In Noise We Trust? Optimal Monetary Policy with Random Targets”

by Ethan Cohen-Cole and Bogdan Cosmaciuc
Also listed as FRBB Research Department Working Paper 06-14

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