#2003-045B "A Common Model Approach to Macroeconomics: Using Panel Data to Reduce Sampling Error"
by William T. Gavin, and Athena T. Theodorou
December 2003
Revised June 2004

Is there a common model inherent in macroeconomic data? Macroeconomic theory suggests that market economies of various nations should share many similar dynamic patterns; as a result, individual-country empirical models, for a wide variety of countries often include the same variables. More...

PUBLISHED: Journal of Forecasting, April 2005, 24(3), pp. 203-19

#2003-044C "A Spatial Analysis of State Banking Regulation"
by Thomas A. Garrett, Gary A. Wagner, and David C. Wheelock
December 2003
Revised February 2005

We use a spatial model to investigate a state's choice of branch banking and interstate banking regimes as a function of the regime choices made by other states and other variables suggested in the literature. We extend the basic spatial econometric model by allowing spatial dependence to vary by geographic region. More...

PUBLISHED: Papers in Regional Science, November 2005, 84(4), pp. 575-95

#2003-043A "On the Cross Section of Conditionally Expected Stock Returns"
by Hui Guo, and Robert Savickas
December 2003

In this paper, we use macrovariables advocated by recent authors to make out-of-sample forecast for returns on individual stocks and then sort stocks equally into ten portfolios on this proxy of conditionally expected returns. The average returns increase monotonically from the first decile (stocks with the lowest expected returns) to the tenth decile (stocks with the highest expected returns), and the difference between the tenth and first deciles is a significant 4.8 percent per year. More...

#2003-042B "Spatial Probit and the Geographic Patterns of State Lotteries"
by Cletus C. Coughlin, Thomas A. Garrett, and Rubén Hernández-Murillo
December 2003
Revised July 2004

We implement a spatial probit model to differentiate states with a lottery from those without a lottery. Our analysis extends the basic spatial probit model by allowing spatial dependence to vary across geographic regions. More...

#2003-041A "Can Feedback from the Jumbo-CD Market Improve Bank Surveillance?"
by R. Alton Gilbert, Andrew P. Meyer, and Mark D. Vaughan
December 2003

We examine the value of jumbo certificate-of-deposit (CD) signals in bank surveillance. To do so, we first construct proxies for default premiums and deposit runoffs and then rank banks based on these risk proxies. Next, we rank banks based on the output of a logit model typical of the econometric models used in off-site surveillance. Finally, we compare jumbo-CD rankings and surveillance-model rankings as tools for predicting financial distress. More...

PUBLISHED: Federal Reserve Bank of Richmond Economic Quarterly, Spring 2006, 92(2), pp. 135-75

#2003-040D "Year-End Seasonality in One-Month LIBOR Derivatives"
by Christopher J. Neely, and Drew B. Winters
November 2003
Revised October 2005

We examine the markets for one-month LIBOR futures contracts and options on those futures for a year-end price effect consistent with the previously identified year-end rate increase in one-month LIBOR. The cash market rate increase appears in forward rates and derivative prices, which allows the derivatives to properly hedge year-end interest rate risk. More...

PUBLISHED: Journal of Derivatives, Spring 2006, 13(3), pp. 47-65

#2003-039E "Nonlinear Hedonics and the Search for School District Quality"
by Abbigail Chiodo, Rubén Hernández-Murillo, and Michael T. Owyang
November 2003
Revised September 2009

We reexamine the relationship between school quality and house prices and find it to be nonlinear. Unlike most studies in the literature, we find that the price premium parents must pay to buy a house associated with a better school increases as school quality increases. More...

#2003-038E "Searching For Better Prospects: Endogenizing Falling Job Tenure and Private Pension Coverage"
by Leora Friedberg, Michael T. Owyang, and Tara M. Sinclair
November 2003
Revised July 2006

Recent declines in job tenure have coincided with a shift away from traditional defined benefit (DB) pensions, which reward long tenure. New evidence also points to an increase in job-to-job movements by workers, and we document gains in relative wages of job-to-job movers over a similar period. More...

PUBLISHED: Berkeley Electronic Press, Topics in Economic Analysis and Policy, 2006, 6(1), Article 14

#2003-037A "Robust Nonparametric Estimation of Efficiency and Technical Change in U.S. Commercial Banking"
by David C. Wheelock, and Paul Wilson
November 2003

This paper examines the performance of the U.S. commercial banking industry over 1984–2002. Rather than measuring performance relative to the unknown (and difficult-to-estimate) boundary of the production set, performance for a given bank is measured relative to expected maximum output among m banks using no more of each input than the given bank. More...

#2003-036A "Input Inefficiency In Commercial Banks: A Normalized Quadratic Input Distance Approach"
by Thomas L. Marsh, Allen M. Featherstone, and Thomas A. Garrett
November 2003

A normalized quadratic input distance function is proposed with which to estimate technical efficiency on commercial banks regulated by the Federal Reserve System. The study period covers 1990 to 2000 using individual bank information from the Call and Banking Holding Company Database. More...