Working Paper Archives
Federal Reserve Bank of St. Louis working papers are preliminary materials circulated to stimulate discussion and critial comment.
All Working Papers
This document describes the data collection and use of data for the computation of rankings within RePEc (Research Papers in Economics).
A Model of Price Swings in the Housing Market
In this paper we use a standard neoclassical model supplemented by some frictions to understand large price swings in the housing market.
Did Housing Policies Cause the Postwar Boom in Homeownership?
After the collapse of housing markets during the Great Depression, the U.S. government played a large role in shaping the future of housing finance and policy. Soon thereafter, housing markets witnessed the largest boom in recent history.
Monetary Policy: Why Money Matters, and Interest Rates Don’t
Since the late 1980s the Fed has implemented monetary policy by adjusting its target for the overnight federal funds rate. Money’s role in monetary policy has been tertiary, at best.
U.S. Monetary Policy: A View from Macro Theory
We use a dynamic stochastic general equilibrium model to address two questions about U.S. monetary policy: 1) Can monetary policy elevate output when it is below potential? and 2) Is the zero lower bound a trap?
Author Identification in Economics, ... and Beyond
Identifying authorship correctly and efficiently is a difficult problem when the literature is abundant, but poorly recorded. Homonyms are tedious to differentiate.
Foreclosure Delay and U.S. Unemployment
Through a purely positive lens, we study and document the growing trend of mortgagors who skip mortgage payments as an extra source of "informal" unemployment insurance during the 2007 recession and the subsequent recovery.
Two-Way Capital Flows and Global Imbalances: A Neoclassical Approach
Financial capital and fixed capital tend to flow in opposite directions between poor and rich countries. Why? What are the implications of such two-way capital flows for global trade imbalances and welfare in the long run? This paper introduces frictions into a standard two- country neoclassical growth model to explain the pattern of two-way capital flows between emerging economies (such as China) and the developed world (such as the United States).
Evidence on The Portfolio Balance Channel of Quantitative Easing
The Federal Open Market Committee has recently attempted to stimulate economic growth using unconventional methods. Prominent among these is quantitative easing (QE)—the purchase of a large quantity of longer-term debt on the assumption that QE reduces long-term yields through the portfolio balance channel.
An Endogenously Clustered Factor Approach to International Business Cycles
Factor models have become useful tools for studying international business cycles. Block factor models [e.g., Kose, Otrok, and Whiteman (2003)] can be especially useful as the zero restrictions on the loadings of some factors may provide some economic interpretation of the factors.
Forecasting National Recessions Using State Level Data
A large literature studies the information contained in national-level economic indicators, such as financial and aggregate economic activity variables, for forecasting U.S. business cycle phases (expansions and recessions.)
Information Disclosure and Exchange Media
When commitment is lacking, intertemporal trade is facilitated with the use of exchange media—interpreted broadly to include monetary and collateral assets.
News Shocks and the Slope of the Term Structure of Interest Rates
We adopt a statistical approach to identify the shocks that explain most of the fluctuations of the slope of the term structure of interest rates. We find that one single shock can explain the majority of all unpredictable movements in the slope over a 10-year forecast horizon.
Price Equalization Does Not Imply Free Trade
In this paper we show that price equalization alone is not sufficient to establish that there are no barriers to international trade. There are many barrier combinations that deliver price equalization, but each combination implies a different volume of trade.
The Risk Premium and Long-Run Global Imbalances
This study proposes that heterogeneous household portfolio choices within a country and across countries offer an explanation for global imbalances. We construct a stochastic growth multi-country model in which heterogeneous agents face the following restrictions on asset trade.
Econometric Modeling of Exchange Rate Volatility and Jumps
This chapter reviews the rapid advances in foreign exchange volatility modeling made in the last three decades.
Foreign Aid, Illegal Immigration, and Host Country Welfare
This paper analyzes the effect of foreign aid on illegal immigration and host country welfare using a general equilibrium model.
Federal Reserve Lending to Troubled Banks During the Financial Crisis, 2007-10
Numerous commentaries have questioned both the legality and appropriateness of Federal Reserve lending to banks during the recent financial crisis.
Did Affordable Housing Legislation Contribute to the Subprime Securities Boom?
No. In this paper we use a regression discontinuity approach to investigate whether affordable housing policies influenced origination or affected prices of subprime mort- gages.
Lifetime Labor Supply and Human Capital Investment
We develop a model of retirement and human capital investment to study the effects of tax and retirement policies.
Capital, Finance, and Trade Collapse
This paper proposes a model of international trade with capital accumulation and financial intermediation. This is achieved by embedding the Melitz (2003) model into an incomplete-markets neoclassical framework with an endogenous credit market.
Extensive and Intensive Trade Margins: A State-by-State View
This paper examines a topic of increasing interest, the potential determinants of extensive (i.e., number of firms) and intensive (i.e., average exports per firm) trade margins, using state-level trade to 190 countries. In addition to distance and country size, other factors affecting trade costs and export demand are explored.
Optimal Disclosure Policy and Undue Diligence
While both public and private financial agencies supply asset markets with large amounts of information, they do not generally disclose all asset-related information to the general public.
Basel Accord and Financial Intermediation: The Impact of Policy
This paper studies loan activity in a context where banks must follow Basel Accord-type rules and acquire financing from households. Loan activity typically decreases when entrepreneurs’ investment returns decline, and we study which type of policy could revigorate an economy in a trough.
How Does the FOMC Learn About Economic Revolutions? Evidence from the New Economy Era, 1994-2001
Forecasting is a daunting challenge for business economists and policymakers, often made more difficult by pervasive uncertainty. No such uncertainty is more difficult than projecting the reaction of policymakers to major shifts in the economy.
Credit Scoring and Loan Default
This paper introduces a measure of credit score performance that abstracts from the influence of "situational factors." Using this measure, we study the role and effectiveness of credit scoring that underlied subprime securities during the mortgage boom of 2000-2006.
What do happiness and health satisfaction data tell us about relative risk aversion?
In this paper we provide estimates of the coefficient of relative risk aversion using information on self-reports of subjective personal well-being from three datasets: the Gallup World Poll, the European Social Survey, and the World Values Survey.
For economies in which the real rate of return on money is too low, the standard prescription is to deflate prices according to the Friedman rule.
We study the contraction of foreign direct investment (FDI) flows in the United States during the recent financial crisis and show their unusual non-resiliency, which depends in part on the global nature of the economic recession, but also on the increases in the cost of financing FDI in the economies in which the flows originate.
The Effect of Neighborhood Spillovers on Mortgage Selection
In this paper we analyze how spillovers in mortgage adoption affect mortgage product choice across neighborhoods and across borrowers of different racial or ethnic groups.
