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Federal Reserve Bank of Philadelphia

Working Papers

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1993

94-1 Efficiency of banks in the Third Federal Reserve District
by Loretta J. Mester
93-30 Entry and exit, product variety and the business cycle
by Satyajit Chatterjee & Russell W. Cooper
93-29 Inventories, production smoothing, and anticipated demand variations
by Satyajit Chatterjee & B. Ravikumar
93-28 Market conduct and excess capacity in banking: a cross-country comparison
by Sherrill Shaffer
93-27 Does city income growth increase suburban income growth, house value appreciation, and population growth?
by Richard Voith
93-26 Hyperinflations and moral hazard in the appropriation of seigniorage
by Carlos E. Zarazaga
93-25 Macroeconomic risk and Treasury bill pricing: an application of the Factor-Arch model
by Keith Sill
93-24 Recent research in commercial banking: information and lending
by Leonard I. Nakamura
93-23 The impact of branch banking on pricing and service availability: theory and evidence
by Paul S. Calem & Leonard I. Nakamura
93-22 Testing neoclassical convergence in regional incomes and earnings
by Gerald Carlino & Leonard Mills
93-21 What determines the sacrifice ratio?
by Laurence Ball
93-20 Money and output: the relative importance of real and nominal shocks
by Shaghil Ahmed
93-19 Patterns of residential mortgage activity in Philadelphia's low-and moderate-income neighborhoods: 1990-1991
by Paul S. Calem
93-18 Network externalities and shared electronic banking network adoption
by James J. McAndrews & Robert J. Kauffman
93-17 Accounting for the demand for financial capital and risk-taking in bank cost functions
by Joseph P. Hughes & Loretta J. Mester
93-16 Why are credit card rates sticky?
by Loretta J. Mester
93-15 Loan screening within and outside of customer relationships
by Leonard I. Nakamura
93-14 Ricardian equivalence with wage-rate uncertainty
by Dean Croushore
93-13 Relative-price changes as aggregate supply shocks
by Laurence Ball & N. Gregory Mankiw
93-12 Regime switching with time-varying transition probabilities
by Francis X. Diebold & Joon-Haeng Lee & Gretchen C. Weinbach
93-11 Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures
by Francis X. Diebold & Celia Chen
93-10 When do regulators close banks? When should they?
by George J. Mailath & Loretta J. Mester
93-9 Strategic complementarity in business formation: aggregate fluctuations and sunspot equilibria
by Satyajit Chatterjee & Russell W. Cooper & B. Ravikumar
93-8 Stable cartels with a Cournot fringe
by Sherrill Shaffer
93-6 On comparing information in forecasts from econometric models: a comment on Fair and Shiller
by Francis X. Diebold
93-5 On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean
by Yin-Wong Cheung & Francis X. Diebold
93-4 Exact maximum likelihood estimation of ARCH models
by Francis X. Diebold & Til Schuermann
93-3 Financial intermediation as vertical integration
by Mitchell Berlin & Loretta J. Mester
93-2 On cointegration and exchange rate dynamics
by Francis X. Diebold & Javier Gardeazabal & Kamil Yilmaz
93-1 Regional income dynamics
by Gerald Carlino & Robert DeFina

1992

93-7 Monetary policy and oil price shocks: empirical implications of alternative responses
by Robert H. DeFina & Herbert E. Taylor
92-26 PSTAR+: a small macro model for policymakers
by Herb Taylor
92-25 Can a time-varying risk premium explain the failure of uncovered interest parity in the market for foreign exchange?
by Gregory P. Hopper
92-24 Search, switching costs, and the stickiness of credit card interest rates
by Paul S. Calem & Loretta J. Mester
92-23 A note on antitrust in a stochastic market
by Sherrill Shaffer
92-22 Sources of macroeconomic fluctuations in small open economies
by Shaghil Ahmed & Jae Ha Park
92-21 Estimating house price appreciation: a comparison of methods
by Theodore M. Crone & Richard P. Voith
92-20 "Flight to quality" in bank lending and economic activity
by William W. Lang & Leonard I. Nakamura
92-19 Vector-autoregression forecast models for the Third District states
by Theodore M. Crone & Sherry Delaney & Leonard O. Mills
92-18 Bank branching
by Leonard I.Nakamura & Bruno M. Parigi
92-17 Optimal linear taxation of polluting firms
by Sherrill Shaffer
92-16 An empirical investigation of money demand in the cash-in-advance model framework
by Keith Sill
92-15 The importance of the tax system in determining the marginal cost of funds
by Dean Croushore & Shaghil Ahmed
92-14 Efficiency in the savings and loan industry
by Loretta J. Mester
92-13 Structure, conduct, performance, and welfare
by Sherrill Shaffer
92-12 Reputation acquisition and persistence of moral hazard in credit markets
by Paul S. Calem
92-11 A revenue-restricted cost study of 100 large banks
by Sherrill Shaffer
92-10 Leasing as a lottery: implications for rational building surges and increasing vacancies
by Joseph Gyourko & Richard Voith
92-9 Debt covenants and renegotiation
by Mitchell Berlin & Loretta J. Mester
92-8 Perfectual signaling with imperfectly correlated costs
by Loretta J. Mester
92-7 Results of a survey of ATM network pricing
by James J. McAndrews
92-6 Ricardian equivalence under income uncertainty
by Dean Croushore
92-5 The location and quality effects of mergers
by Paul S. Calem
92-4 Further evidence concerning expense preference and the Fed
by Loretta J. Mester
92-3 The Delaware Valley Mortgage Plan: an analysis using HMDA data
by Paul S. Calem
92-2 The marginal cost of funds with nonseparable public spending
by Shaghil Ahmed & Dean Croushore

1991

92-1 Commercial bank information: implications for the structure of banking
by Leonard I. Nakamura
91-24 When do regulators close banks? When should they?
by George J. Mailath & Loretta J. Mester
91-23 A neoclassical model of seasonal fluctuations
by Satyajit Chatterjee & B. Ravikumar
91-22 The effect of transitional dynamics on the distribution of wealth in a neoclassical capital accumulation model
by Satyajit Chatterjee
91-21 A quality and risk-adjusted cost function for banks: evidence on the " too-big-to-fail" doctrine
by Joseph P. Hughes & Loretta J. Mester
91-20 The effects of countercyclical monetary policy on money and interest rates: an evaluation of evidence from FOMC documents
by John F. Boschen & Leonard O. Mills
91-19 Changing capitalization of CBD-oriented transportation systems: evidence from Philadelphia, 1970-1988
by Richard Voith
91-18 Have regional per-capita incomes converged?
by Gerald Carlino & Leonard Mills
91-17 Potential merger synergies among large commercial banks
by Sherrill Shaffer
91-16 The effects of exchange rate and productivity changes on U.S. industrial output at the state level
by Gerald Carlino & Richard Voith & Brian Cody
91-15 Optimal acceptance policies for journals
by Leonard I. Nakamura & Sherrill Shaffer
91-14 Efficient two-part tariffs with uncertainty and interdependent demand
by Sherrill Shaffer
91-13 Property taxes, homeownership capitalization rates, and housing consumption
by William T. Bogart & Richard Voith
91-12 Conduct in a banking duopoly
by Sherrill Shaffer & James DiSalvo
91-11 Further evidence on business cycle duration dependence
by Francis X. Diebold & Glenn D. Rudebusch & Daniel E. Sichel
91-10 Forecast announcements and locally persistent bias
by Sherrill Shaffer
91-9 Delegating monitoring with diseconomies of scale
by Leonard I. Nakamura
91-8 The short-run costs of disinflation
by Dean Croushore
91-7 The effect of rent control on housing quality change: a longitudinal analysis
by Choon-Geol Moon & Janet G. Stotsky
91-6 Expense preference and the Fed revisited
by Loretta J. Mester
91-5 Reputation acquisition, collateral, and moral hazard in debt markets
by Paul S. Calem
91-4 Financing constraints and investment: new evidence from the U.S. hospital industry
by Paul S. Calem & John A. Rizzo
91-3 Housing appraisals and redlining
by William W. Lang & Leonard I. Nakamura
91-2 Worker debt with bankruptcy
by James J. McAndrews & Leonard I. Nakamura
91-1 A measure of Federal Reserve credibility
by Dean Croushore & Ronald S. Koot

1990

90-30 Reforming deposit insurance when banks conduct loan workouts and runs are possible
by Leonard I. Nakamura
90-29 Monetary and exchange rate policies in anticipation of a European central bank
by Brian J. Cody
90-28 Regulation and endogenous contestability
by Sherrill Shaffer
90-26 Who changes the prime rate?
by Loretta J. Mester & Anthony Saunders
90-25 The impact of domestic market structure on exchange rate pass-through
by Ahmed H. Mohamed
90-24 Stable cartels with a Cournot fringe
by Sherrill Shaffer
90-23 Persistence and convergence in relative regional incomes
by Gerald Carlino & Leonard Mills
90-22 Transportation, sorting, and house values in the Philadelphia metropolitan area
by Richard Voith
90-21 Debt covenants and renegotiation
by Mitchell Berlin & Loretta J. Mester
90-20 The role of monetary and real shocks in near-permanent movements in GNP
by John F. Boschen & Leonard O. Mills
90-19 Seigniorage and the European Community: is European economic and monetary union in danger?
by Brian J. Cody
90-18 A test of competition in Canadian banking
by Sherrill Shaffer
90-17 Regional authorities, public services, and the location of economic activity
by James McAndrews & Richard Voith
90-16 When does the prime rate change?
by Loretta J. Mester & Anthony Saunders
90-15 Taxation as insurance against income uncertainty
by Dean Croushore
90-14 Aggregate deposit insurance funding and taxpayer bailouts
by Sherrill Shaffer
90-13 Perpetual signaling with imperfectly correlated costs
by Loretta J. Mester
90-12 Optimal bank closure for deposit insurers
by William W. Lang & Leonard I. Nakamura
90-11 Forecasting trends in the housing stock using age-specific demographic projections
by Theodore M. Crone & Leonard O. Mills
90-10 Local market and national components in house price appreciation
by Joseph Gyourko & Richard Voith
90-9 The welfare effects of distortionary taxation and government spending: some new results
by Shaghil Ahmed & Dean D. Croushore
90-8 Ricardian equivalence under income uncertainty
by Dean D. Croushore
90-3 Traditional and nontraditional banking: an information-theoretic approach
by Loretta J. Mester
90-2 The role of commodity prices in formulating monetary policy
by Brian J. Cody & Leonard O. Mills

1989

90-7 Consumer choice with state-dependent uncertainty about product quality: late trains and commuter rail ridership
by Richard Voith
90-6 Regional impacts of exchange rate movements
by Gerald Carlino & Brian Cody & Richard Voith
90-5 Immunizing options against changes in volatility
by Sherrill Shaffer
90-4 Investing in conflict
by Sherrill Shaffer
90-1 Accounting for differences in aggregate state productivity
by Gerald A. Carlino & Richard Voith
89-30 Are bank loans unique? The case of hospital debt financing
by Paul S. Calem & John A. Rizzo
89-29 On the reasons for gradual markdowns by retailers
by Paul S. Calem
89-28 Regulatory distortion of competition
by Sherrill Shaffer
89-27 Testing for expense preference behavior: mutual versus stock savings and loans
by Loretta J. Mester
89-26 The concentration/conduct relationship in bank deposit markets
by Paul S. Calem & Gerald A. Carlino
89-25 Money in the utility function: an adequate microfoundation of money?
by Dean D. Croushore
89-24 The effect of government bonds on asset prices: an asset markets equilibrium approach
by Joel Houston & Aris Protopapadakis
89-23 The dynamics of credit markets in a model with learning
by William W. Lang & Leonard I. Nakamura
89-22 Multiple-market contact in an incomplete-information model with imperfectly correlated cost
by Loretta J. Mester
89-21 In search of a stable velocity relationship
by Herb Taylor
89-20 Transactions costs and optimal inflation
by Dean D. Croushore
89-19 Bubbles and stock price volatility
by Behzad T. Diba
89-18 Transaction costs and option configuration
by Sherrill Shaffer
89-17 Cournot oligopoly with external costs
by Sherrill Shaffer
89-16 Real and monetary explanations of permanent movements in GNP
by John F. Boschen & Leonard O. Mills
89-15 Entry-deterring debt
by James J. McAndrews & Leonard I. Nakamura
89-14 The optimal response of monetary policy to oil price shocks
by Robert H. DeFina & Herbert E. Taylor
89-13 Learning in the marketplace: free entry is free riding
by William W. Lang & Leonard I. Nakamura
89-12 An examination of wage behavior in macroeconomic models with long term contracts
by William W. Lang
89-11 Loan workouts and commercial bank information: why banks are special
by Leonard I. Nakamura
89-10 The federal funds rate and the channels of monetary transmission
by Ben S. Bernanke & Alan S. Blinder
89-8 Money, inflation and the expected real interest rate
by Behzad T. Diba & Seonghwan Oh
89-5 Evaluating commodity prices as a gauge for monetary policy
by Brian J. Cody & Leonard O. Mills
89-4 Intertemporal analysis of state and local government spending: theory and tests
by Douglas Holtz-Eakin & Harvey S. Rosen
89-3 Strategic role complementarity
by James J. McAndrews
89-2 Optimal exchange market intervention: evidence from France and West Germany during the post-Bretton Woods era
by Brian J. Cody
89-1 Pooling intensifies joint failure risk
by Sherrill Shaffer
88-21 Viability in multiproduct industries
by Loretta J. Mester

1988

89-9 Incentives to engage in bank window-dressing: manager vs. stockholder conflicts
by Linda Allen & Anthony Saunders
89-7 Additions to bank loan-loss reserves: good news or bad news?
by Theoharry Grammatikos & Anthony Saunders
89-6 Can the end user improve an econometric forecast?
by Sherrill Shaffer
88-20 Credit card rate stickiness in a screening model of consumer credit
by Loretta J. Mester
88-19 Have money-stock fluctuations had a liquidity effect on expected real interest rates?
by Behzad T. Diba & Seonghwan Oh
88-18 Contestable two-part tariffs with income effects
by Sherrill Shaffer
88-17 Structural shifts and the volatility of chaotic markets
by Sherrill Shaffer
88-16 Changes in interstate banking laws: the impact on shareholder wealth
by Harold A. Black & M. Andrew Fields & Robert Schweitzer
88-15 Information losses in a dynamic model of credit
by William W. Lang & Leonard I. Nakamura
88-14 Are production economies a motive for mutual to stock conversions in the savings and loan industry?
by Loretta J. Mester
88-13 A testing strategy for expense preference behavior
by Loretta J. Mester
88-12 On gradual price reduction as a retail sales strategy
by Paul S. Calem
88-11 Testing for cointegration in the presence of moving average errors
by John F. Boschen & Leonard O. Mills
88-10 What do saving - investment relationships tell us about capital mobility?
by David Y. Wong
88-9 Employee turnover and regional wage differentials
by Robert H. DeFina
88-8 Housing price functions and ownership capitalization rates
by Peter Linneman & Richard Voith
88-7 Exchange controls, political risk and the Eurocurrency market: new evidence from tests of covered interest rate parity
by Brian J. Cody
88-6 Concentration, prices and output in the automobile industry
by Peter Linneman & Richard Voith
88-5 Agglomeration economies and technical change in urban manufacturing
by Paul S. Calem & Gerald A. Carlino
88-4 Natural vacancy rates and the persistence of shocks in U.S. office markets
by Richard Voith & Theodore Crone
88-3 Inflation, taxation, and the international allocation of capital
by David Y. Wong

1987

88-2 An analysis of the effect of ownership form on technology: stock versus mutual savings and loan associations
by Loretta J. Mester
88-1 Credit card rates and consumer search
by Mitchell Berlin & Loretta J. Mester
87-21 Exchange controls and the foreign exchange market: a model of political risk
by Brian J. Cody
87-20 Rational bubbles in stock prices?
by Behzad T. Diba & Herschel I. Grossman
87-19 From t-bills to common stocks: investigating the generality of intra- week return seasonality
by Mark J. Flannery & Aris A. Protopapadakis
87-18 Commuter rail ridership: the long and short haul
by Richard Voith
87-17 On estimating technical progress and returns to scale
by Paul Calem
87-16 Early unwindings and rollovers of stock index futures arbitrage programs: analysis and implications for predicting expiration day effects
by John J. Merrick, Jr.
87-15 The hedging performance of ECU futures contracts
by Anthony Saunders & Stanley Sienkiewicz
87-14 Tests of the relation between money and output in the real business cycle model
by John F. Boschen & Leonard O. Mills
87-13 Portfolio insurance with stock index futures
by John J. Merrick, Jr.
87-12 Bank size, collateral, and net purchase behavior in the federal funds market: empirical evidence a note
by Linda Allen & Stavros Peristiani & Anthony Saunders
87-11 Hedging with mispriced futures
by John J. Merrick, Jr.
87-10 Participation in the underground economy: a theoretical analysis
by Joel Houston
87-9 Estimating the size and implications of the underground economy
by Joel F. Houston
87-8 Financing, commitment and entry deterrence
by Mitchell Berlin & Paul Calem
87-7 The policy implications of the underground economy
by Joel Houston
87-6 Competitive effects of interstate bank mergers and acquisitions
by Paul Calem & Janice Moulton
87-5 Testing for expense preference behavior using cost data
by Loretta J. Mester
87-4 Price discovery in the stock market
by John J. Merrick, Jr.
87-3 Compensating variation in wages and rents
by Richard P. Voith
87-2 Volume determination in stock and stock index futures markets: an analysis of arbitrage and volatility effects
by John J. Merrick, Jr.
87-1 Deposit market segmentation: the case of MMDAs and Super-NOWs
by Paul Calem

1986

86-19 Optimal base drift: some VAR estimates
by Jan Loeys & Herb Taylor
86-18 The choice between bonds and bank loans
by Mitchell Berlin & Jan Loeys
86-17 Interregional flows of funds as a measure of economic integration in the United States
by Gerald Carlino & Richard Lang
86-16 The effect of implicit deposit insurance on banks portfolio choices with an application to international `overexposure'
by Alessandro Penati & Aris Protopapadakis
86-15 The long-run behavior of the public debt in the United States
by Brian R. Horrigan
86-14 Bank foreign lending, mandatory disclosure rules and the reaction of bank stock prices to the Mexican debt crisis
by Michael Smirlock & Howard Kaufold
86-13 The role of agglomeration potential in population and employment growth
by Gerald A. Carlino & Edwin S. Mills
86-12 Gold prices and government gold auctions: a test of resource valuation
by Stephen A. Meyer
86-11 Is money growth and inflation related to government deficits? Evidence from ten industrialized countries
by Aris A. Protopapadakis & Jeremy J. Siegel
86-10 Banking panics and business cycles: data sources, data construction, and further results
by Gary Gorton
86-9 Banking panics and business cycles
by Gary Gorton
86-8 The pattern of employment and residential land use and densities in a stochastic model of urban location
by John Gruenstein
86-7 Monetary indicators, commodity prices, and inflation
by Brian R. Horrigan
86-6 Inflation announcements and financial market reaction: evidence from the long-term bond market
by Michael Smirlock
86-4 The age of capital, the age of utilized capital, and tests of the embodiment hypothesis
by Richard McHugh & Julia Lane
86-3 MMDAs, super-NOWs, and the differentiation of bank deposit products
by Paul Calem
86-2 Returns and risks of U.S. bank foreign currency activities
by Theoharry Grammatikos & Anthony Saunders & Itzhak Swary
86-1 Has the United States overinvested in housing?
by Edwin S. Mills

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