Tobias Adrian, Domenico Giannone, Matteo Luciani, and Mike WestWe introduce methodology to bridge scenario analysis and model-based risk forecasting, leveraging their respective strengths in policy settings. Our Bayesian framework addresses the fundamental challenge of reconciling judgmental narrative approaches with statistical forecasting.
Jin-Wook B. Chang and Grace ChuanThe isolated effects of collateral reuse on financial stability are ambiguous and understudied. While greater collateral reuse can guarantee more payments with fewer assets, it can also increase the exposure to potential drops in collateral price. To analyze these tradeoffs, we develop a financial network model with endogenous asset pricing, multiple equilibria, and equilibrium selection.
Dan Li, Lubomir Petrasek, and Mary TianSelf-imposed risk limits effectively limit dealers' appetite for risks and their capacity to intermediate in Treasury markets in times of market stress.
Florencia Airaudo, Francois De Soyres, Keith Richards, and Ana Maria SantacreuRecent geopolitical tensions have revived interest in understanding the economic consequences of geopolitical fragmentation.
Sumit Agarwal, Ricardo Correa, Bernardo Morais, Jessica Roldán and Claudia Ruiz-OrtegaWe study how banks’ exposure to a large set of related and suddenly-distressed borrowers impacts their commercial lending and risk taking. Using Mexican credit registry data, we examine the effect of the 2014 collapse in energy prices.
Dario Caldara, Matteo Iacoviello, and David YuThis paper introduces a monthly shortage index spanning 1900 to the present, constructed from 25 million newspaper articles. The index captures shortages across industry, labor, food, and energy, and spikes during economic crises and wars. We validate the index and show that it provides information beyond traditional macroeconomic indicators.
Marco Migueis, Michael Suher, and Jessie XuWe test whether minimum account balances to avoid fees, maintenance fee amounts, and nonsufficient funds charges are systematically different in LMI and majority-minority communities relative to other communities and find that they are generally higher.
Elena Falcettoni and Vegard Mokleiv NygaardWe propose a new way to classify individuals without a bank account, accounting for their actual interest in being banked. Analogous to how unemployment statistics are defined and estimated, we differentiate the individuals that do not have a bank account and would like to have one (the “unbanked”) from individuals that do not have a bank account and are not interested in having one (the “out of banking population”).
Matteo Iacoviello, Ricardo Nunes, and Andrea PrestipinoWe study optimal credit market policy in a stochastic, quantitative, general equilibrium, infinite-horizon economy with collateral constraints tied to housing prices. Collateral constraints yield a competitive equilibrium that is Pareto inefficient. Taxing housing in good states and subsidizing it in recessions leads to a Pareto-improving allocation for borrowers and savers.
Samuel K. Hughes and Joseph B. NicholsAs financial intermediaries, banks have a key role in producing information and managing the risks on diverse loan portfolios. An important input into this process is ongoing collection of financial performance from borrowers.
