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Publications

by members of

Financial Industry Studies Department
Federal Reserve Bank of Dallas
Dallas, Texas (United States)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2022

  1. Andrea Gamba & Alessio Saretto, 2022. "Endogenous Option Pricing," Working Papers 2202, Federal Reserve Bank of Dallas.
  2. Amit Goyal & Alessio Saretto, 2022. "Are Equity Option Returns Abnormal? IPCA Says No," Working Papers 2214, Federal Reserve Bank of Dallas.

2021

  1. Sung Je Byun & Aaron L. Game & Alexander Jiron & Pavel Kapinos & Kelly Klemme & Bert Loudis, 2021. "The Pandemic's Impact on Credit Risk: Averted or Delayed?," FEDS Notes 2021-07-30-3, Board of Governors of the Federal Reserve System (U.S.).
  2. Pallavi Basu & Luella Fu & Alessio Saretto & Wenguang Sun, 2021. "Empirical Bayes Control of the False Discovery Exceedance," Working Papers 2115, Federal Reserve Bank of Dallas.

2019

  1. Denise Duffy & Joseph G. Haubrich & Anna Kovner & Alex Musatov & Edward Simpson Prescott & Richard J. Rosen & Thomas D. Tallarini & Alexandros Vardoulakis & Emily Yang & Andrei Zlate, 2019. "Macroprudential Policy: Results from a Tabletop Exercise," Working Papers 19-11, Federal Reserve Bank of Cleveland.

2017

  1. Tarun Chordia & Amit Goyal & Alessio Saretto, 2017. "p-Hacking: Evidence from Two Million Trading Strategies," Swiss Finance Institute Research Paper Series 17-37, Swiss Finance Institute, revised Apr 2018.

2016

  1. Sung Je Byun, 2016. "Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil," Occasional Papers 16-3, Federal Reserve Bank of Dallas.
  2. Jiaqi Chen & Michael Tindall, 2016. "The Chen-Tindall system and the lasso operator: improving automatic model performance," Occasional Papers 16-1, Federal Reserve Bank of Dallas.
  3. Jiaqi Chen & Michael Tindall, 2016. "Dynamic Methods for Analyzing Hedge-Fund Performance: A Note Using Texas Energy-Related Funds," Occasional Papers 16-2, Federal Reserve Bank of Dallas.
  4. Jiaqi Chen & Michael Tindall & Wenbo Wu, 2016. "Hedge Fund Return Prediction and Fund Selection: A Machine-Learning Approach," Occasional Papers 16-4, Federal Reserve Bank of Dallas.
  5. Sriya Anbil & Alessio Saretto & Heather Tookes, 2016. "Does Hedging with Derivatives Reduce the Market's Perception of Credit Risk?," Finance and Economics Discussion Series 2016-100, Board of Governors of the Federal Reserve System (U.S.).

2015

  1. Sungje Byun & Soojin Jo, 2015. "Heterogeneity in the Dynamic Effects of Uncertainty on Investment," Staff Working Papers 15-34, Bank of Canada.

2014

  1. Jiaqi Chen & Michael Tindall, 2014. "Constructing Zero-Beta VIX Portfolios with Dynamic CAPM," Occasional Papers 14-1, Federal Reserve Bank of Dallas.

2013

  1. Jiaqi Chen & Michael Tindall, 2013. "Understanding hedge fund alpha using improved replication methodologies," Occasional Papers 13-2, Federal Reserve Bank of Dallas.
  2. Jiaqi Chen & Michael Tindall, 2013. "The structure of a machine-built forecasting system," Occasional Papers 13-1, Federal Reserve Bank of Dallas.

2012

  1. Jiaqi Chen & Michael Tindall, 2012. "Risk measurement illiquidity distortions," Occasional Papers 12-2, Federal Reserve Bank of Dallas.
  2. Jiaqi Chen & Michael Tindall, 2012. "Hedge fund dynamic market sensitivity," Occasional Papers 12-1, Federal Reserve Bank of Dallas.

2010

  1. Baixiao Liu & John J. McConnell & Alessio Saretto, 2010. "Why Did Auction Rate Bond Auctions Fail During 2007-2008?," Purdue University Economics Working Papers 1245, Purdue University, Department of Economics.

2005

  1. Sujit Chakravorti & Jeffery W. Gunther & Robert R. Moore, 2005. "Universal access, cost recovery, and payment services," Working Paper Series WP-05-21, Federal Reserve Bank of Chicago.

2004

  1. Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.

2003

  1. Alain Asquin & R. Moore, 2003. "Trajectories, Strategic Formulas and Contingencies : pathways to entrepreneurial success," Post-Print halshs-00688892, HAL.
  2. William C. Gruben & Jahyeong Koo & Robert R. Moore, 2003. "Financial liberalization, market discipline and bank risk," Center for Latin America Working Papers 0303, Federal Reserve Bank of Dallas.

2000

  1. Jeffery W. Gunther & Robert R. Moore, 2000. "Early warning models in real time," Financial Industry Studies Working Paper 00-01, Federal Reserve Bank of Dallas.

1999

  1. William C. Gruben & Jahyeong Koo & Robert R. Moore, 1999. "When does financial liberalization make banks risky? : an empirical examination of Argentina, Canada and Mexico," Center for Latin America Working Papers 0399, Federal Reserve Bank of Dallas.

1997

  1. Robert R. Moore, 1997. "Bank acquisition determinants: implications for small business credit," Financial Industry Studies Working Paper 97-2, Federal Reserve Bank of Dallas.

1994

  1. Jeffery W. Gunther & Robert R. Moore, 1994. "Money, credit, and fiscal policy in Mexico's \"lost decade.\"," Financial Industry Studies Working Paper 94-5, Federal Reserve Bank of Dallas.
  2. Robert R. Moore, 1994. "Bank lending and bank capital: a panel data assessment of market and accounting values," Financial Industry Studies Working Paper 94-2, Federal Reserve Bank of Dallas.

1993

  1. Jeffery W. Gunther & Robert R. Moore, 1993. "The long-run relationship between bank capital and lending," Financial Industry Studies Working Paper 93-3, Federal Reserve Bank of Dallas.
  2. Jeffery W. Gunther & Robert R. Moore, 1993. "Credit conditions and macroeconomic activity: evidence from Mexico," Financial Industry Studies Working Paper 93-4, Federal Reserve Bank of Dallas.
  3. Michael L. Tindall, 1993. "Borrowed Reserves and Deposit Variation: The Effectiveness of Federal Reserve Operating Methods," Working Papers 93-28, New York University, Leonard N. Stern School of Business, Department of Economics.

1992

  1. Robert R. Moore, 1992. "Brokered deposits and thrift institutions," Financial Industry Studies Working Paper 92-1, Federal Reserve Bank of Dallas.
  2. Robert R. Moore, 1992. "The role of bank capital in bank loan growth: market and accounting measures," Financial Industry Studies Working Paper 92-3, Federal Reserve Bank of Dallas.

1991

  1. John H. Y. Edwards & Robert R. Moore, 1991. "Relative price variability and inflation: inter and intracity evidence from Brazil in the 1980's," Financial Industry Studies Working Paper 91-3, Federal Reserve Bank of Dallas.
  2. Robert R. Moore, 1991. "Asymmetric information, repeated lending, and capital structure," Financial Industry Studies Working Paper 91-2, Federal Reserve Bank of Dallas.

Journal articles

2020

  1. Michael Perez, 2020. "Mexico Seeks to Reduce Consumers' Longstanding Reliance on Cash," Southwest Economy, Federal Reserve Bank of Dallas, issue First Qua.
  2. Campbell R Harvey & Yan Liu & Alessio Saretto & Jeffrey Pontiff, 2020. "An Evaluation of Alternative Multiple Testing Methods for Finance Applications," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(2), pages 199-248.
  3. Andrea Gamba & Alessio Saretto, 2020. "Growth Options and Credit Risk," Management Science, INFORMS, vol. 66(9), pages 4269-4291, September.
  4. Tarun Chordia & Amit Goyal & Alessio Saretto, 2020. "Anomalies and False Rejections," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2134-2179.

2019

  1. Michael Perez, 2019. "Go Figure: Mexico Struggles to Move into Digital Payment Age," Southwest Economy, Federal Reserve Bank of Dallas, issue Third Qua, pages 23-23.
  2. Michael Perez & John Suek, 2019. "Spotlight: Banks Face Growing Cybercrime Threat," Southwest Economy, Federal Reserve Bank of Dallas, issue Fourth Qu.
  3. Anbil, Sriya & Saretto, Alessio & Tookes, Heather, 2019. "How does hedge designation impact the market’s perception of credit risk?," Journal of Financial Stability, Elsevier, vol. 41(C), pages 25-42.

2018

  1. Pavel Kapinos & Alex Musatov, 2018. "Smaller Banks Less Able to Withstand Flattening Yield Curve," Economic Letter, Federal Reserve Bank of Dallas, vol. 13(8), pages 1-4, June.
  2. Sung Je Byun & Soojin Jo, 2018. "Heterogeneity in the dynamic effects of uncertainty on investment," Canadian Journal of Economics, Canadian Economics Association, vol. 51(1), pages 127-155, February.
  3. Michael Perez, 2018. "Mexico’s Nascent Fintech Offers Promise, Faces New Rules," Southwest Economy, Federal Reserve Bank of Dallas, issue Q4, pages 12-15.

2017

  1. Kelly Klemme & Edward C. Skelton, 2017. "Eleventh District Banks Confront Challenging Energy, Rate Situation," Southwest Economy, Federal Reserve Bank of Dallas, issue Q2, pages 7-11.
  2. Sung Je Byun, 2017. "Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
  3. Sung Je Byun, 2017. "Costs of Oil Price Exchange-Traded Funds Diminish Usefulness," Economic Letter, Federal Reserve Bank of Dallas, vol. 12(5), pages 1-4, April.
  4. Michael Perez, 2017. "Spotlight: Anti-Money-Laundering Measures Challenge Global Banks in Mexico," Southwest Economy, Federal Reserve Bank of Dallas, issue Q1, pages 10-10.
  5. Michael Perez & Kelsey Reichow, 2017. "Mexico’s ‘SOFOM’ Finance Firms Attempt to Broaden Loan Availability," Southwest Economy, Federal Reserve Bank of Dallas, issue Q4, pages 14-17.

2016

  1. Alex Musatov & Michael Perez, 2016. "Shadow banking reemerges, posing challenges to banks and regulators," Economic Letter, Federal Reserve Bank of Dallas, vol. 11(10), pages 1-4, July.
  2. Kelly Klemme & Edward C. Skelton, 2016. "Risks mount for Eleventh District banks amid energy weakness," Southwest Economy, Federal Reserve Bank of Dallas, issue Q2, pages 3-7.
  3. Byun, Sung Je, 2016. "The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 162-180.
  4. Michael Perez, 2016. "Mobile payments promise to improve financial accessibility in Mexico," Southwest Economy, Federal Reserve Bank of Dallas, issue Q3, pages 11-14.

2015

  1. Kelly Klemme & Edward C. Skelton, 2015. "Robust regional banking sector faces new economic hurdles," Southwest Economy, Federal Reserve Bank of Dallas, issue Q2, pages 3-7.
  2. Kory A. Killgo & Robert R. Moore, 2015. "Texas Banks Enter This Downturn on Better Footing," Annual Report, Federal Reserve Bank of Dallas.
  3. Michael Perez, 2015. "Spotlight: Mexico Development Bank lending rises following financial reforms," Southwest Economy, Federal Reserve Bank of Dallas, issue Q4, pages 15-15.

2014

  1. Alex Musatov & William Watts, 2014. "Despite cautionary guidance, leveraged loans reach new highs," Economic Letter, Federal Reserve Bank of Dallas, vol. 9(10), pages 1-4, September.
  2. Edward C. Skelton, 2014. "Mexico's new banking measures aim to increase credit, transparency," Southwest Economy, Federal Reserve Bank of Dallas, issue Q3, pages 12-16.
  3. John Griffin & Richard Lowery & Alessio Saretto, 2014. "Complex Securities and Underwriter Reputation: Do Reputable Underwriters Produce Better Securities?," The Review of Financial Studies, Society for Financial Studies, vol. 27(10), pages 2872-2925.

2013

  1. Danielle DiMartino & Alex Musatov, 2013. "Foreclosures’ silver lining: they could restrain rent inflation," Economic Letter, Federal Reserve Bank of Dallas, vol. 8(1), March.
  2. Alex Musatov & Josh Zorsky, 2013. "Sovereign wealth funds allow countries to invest for more than the long term," Economic Letter, Federal Reserve Bank of Dallas, vol. 8(10), October.
  3. Edward C. Skelton, 2013. "Mexico develops niche approach to expansion of banking services," Southwest Economy, Federal Reserve Bank of Dallas, issue Q1, pages 10-13.
  4. Anil Kumar & Edward C. Skelton, 2013. "Did home equity restrictions help keep Texas mortgages from going underwater?," Southwest Economy, Federal Reserve Bank of Dallas, issue Q3, pages 3-7.
  5. Jiaqi Chen & Michael Tindall, 2013. "Volatility-selling strategies carry potential systemic cost," Economic Letter, Federal Reserve Bank of Dallas, vol. 8(12), December.
  6. Alessio Saretto & Heather E. Tookes, 2013. "Corporate Leverage, Debt Maturity, and Credit Supply: The Role of Credit Default Swaps," The Review of Financial Studies, Society for Financial Studies, vol. 26(5), pages 1190-1247.

2012

  1. Edward C. Skelton, 2012. "Mexican banks get ahead of new global capital standards," Southwest Economy, Federal Reserve Bank of Dallas, issue Q3, pages 16-19.

2011

  1. Alex Musatov & Kenneth J. Robinson, 2011. "Private equity industry: Southwest firms draw on regional expertise," Southwest Economy, Federal Reserve Bank of Dallas, issue Q4, pages 10-13.
  2. Edward C. Skelton, 2011. "Spotlight: Mexican financial market : new instruments, rules boost capital investment," Southwest Economy, Federal Reserve Bank of Dallas, issue Q3, pages 1-15.
  3. Edward C. Skelton & Mark A. Wynne, 2011. "The Conquest of Mexican Inflation," Annual Report, Globalization and Monetary Policy Institute, Federal Reserve Bank of Dallas, pages 13-20.
  4. Jiaqi Chen & Jeffery W. Gunther, 2011. "Financiers of the world, disunite," Economic Letter, Federal Reserve Bank of Dallas, vol. 6(13), November.

2010

  1. Edward C. Skelton, 2010. "Spotlight: Financial services: Banking within reach of more Mexicans," Southwest Economy, Federal Reserve Bank of Dallas, issue Q4, pages 1-15.
  2. McConnell, John J. & Saretto, Alessio, 2010. "Auction failures and the market for auction rate securities," Journal of Financial Economics, Elsevier, vol. 97(3), pages 451-469, September.

2009

  1. Michael Nicholson & Edward C. Skelton, 2009. "Rising protectionist threat creates risks for Texas," Southwest Economy, Federal Reserve Bank of Dallas, issue Q3, pages 10-14.
  2. Erwan Quintin & Edward C. Skelton, 2009. "Mexico's año horrible: global crisis stings economy," Southwest Economy, Federal Reserve Bank of Dallas, issue Q3, pages 3-7.
  3. Goyal, Amit & Saretto, Alessio, 2009. "Cross-section of option returns and volatility," Journal of Financial Economics, Elsevier, vol. 94(2), pages 310-326, November.
  4. Santa-Clara, Pedro & Saretto, Alessio, 2009. "Option strategies: Good deals and margin calls," Journal of Financial Markets, Elsevier, vol. 12(3), pages 391-417, August.

2008

  1. Erwan Quintin & Edward C. Skelton, 2008. "How much will the global financial storm hurt Mexico?," Southwest Economy, Federal Reserve Bank of Dallas, issue Nov, pages 10-13.
  2. Edward C. Skelton, 2008. "Reaching Mexico's unbanked," Economic Letter, Federal Reserve Bank of Dallas, vol. 3(jul).

2006

  1. Edward C. Skelton, 2006. "Laying the foundation for a mortgage industry in Mexico," Economic Letter, Federal Reserve Bank of Dallas, vol. 1(oct.).

2005

  1. Robert V. Bubel & Edward C. Skelton, 2005. "Mexico emerges from 10-year credit slump," Southwest Economy, Federal Reserve Bank of Dallas, issue May, pages 14-18.
  2. Jeffery W. Gunther & Robert R. Moore, 2005. "Has the housing boom increased mortgage risk?," Southwest Economy, Federal Reserve Bank of Dallas, issue Sep, pages 1-6.

2004

  1. Jeffery W. Gunther & Robert R. Moore, 2004. "Small banks' competitors loom large," Southwest Economy, Federal Reserve Bank of Dallas, issue Jan, pages 1,9-13.

2003

  1. Gunther, Jeffery W. & Moore, Robert R., 2003. "Loss underreporting and the auditing role of bank exams," Journal of Financial Intermediation, Elsevier, vol. 12(2), pages 153-177, April.
  2. Gunther, Jeffery W. & Moore, Robert R., 2003. "Early warning models in real time," Journal of Banking & Finance, Elsevier, vol. 27(10), pages 1979-2001, October.

2002

  1. Robert V. Bubel & Edward C. Skelton, 2002. "Financial globalization: manna or menace? The case of Mexican banking," Southwest Economy, Federal Reserve Bank of Dallas, issue Jan, pages 17-19.
  2. Jeffery W. Gunther & Robert R. Moore, 2002. "Auditing the auditors: oversight or overkill?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, vol. 1(5).

2001

  1. Jeffery W. Gunther & Mark E. Levonian & Robert R. Moore, 2001. "Can the stock market tell bank supervisors anything they don't already know?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q II, pages 2-9.
  2. Karen Couch & Robert Mahalik & Robert R. Moore, 2001. "Banks as real estate brokers -- letting free enterprise work," Southwest Economy, Federal Reserve Bank of Dallas, issue May, pages 1,9-12.

2000

  1. Jeffery W. Gunther & Robert R. Moore, 2000. "Financial statements and reality: do troubled banks tell all?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q3, pages 30-35.
  2. Michael Tindall & Roger Spencer, 2000. "Central bank reserve management: Aggregate targets and interest payments on reserves," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 6(2), pages 178-191, May.

1997

  1. Michael Tindall & Roger Spencer, 1997. "Borrowed reserves and deposit variation: The risks to monetary policy," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 25(3), pages 297-306, September.

1996

  1. Gunther, Jeffery W. & Moore, Robert R. & Short, Genie D., 1996. "Mexican banks and the 1994 peso crisis: The importance of initial conditions," The North American Journal of Economics and Finance, Elsevier, vol. 7(2), pages 125-133.

1993

  1. Moore, Robert R, 1993. "Asymmetric Information, Repeated Lending, and Capital Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 393-409, August.
  2. Jeffrey W. Gunther & Robert R. Moore, 1993. "Crédito y actividad económica en México," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, vol. 0(2), pages 415-428, July-Dece.

1990

  1. Michael R. Darby & James R. Lothian & Michael Tindall, 1990. "Buffer stock models of the demand for money and the conduct of monetary policy," Proceedings, Federal Reserve Bank of Cleveland, pages 325-348.

Chapters

2010

  1. Sujit Chakravorti & Jeffery W. Gunther & Robert R. Moore, 2010. "Universal Access, Cost Recovery, and Payment Services," Palgrave Macmillan Books, in: Robert R. Bliss & George G. Kaufman (ed.), Financial Institutions and Markets, chapter 10, pages 225-240, Palgrave Macmillan.

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