Federal Reserve

FEDS Paper: Spatially Mapping Banks' Commercial & Industrial Loan Exposures: Including an Application to Climate-Related Risks

Benjamin N. Dennis, Gurubala Kotta, and Caroline Conley NorrisThe correlation of the spatial distribution of banking exposures with changes in spatial patterns of economic activity (e.g., internal migration, changes in agglomeration patterns, climate change, etc.) may have financial stability implications. We therefore study the spatial distribution of large U.S. banks' commercial and industrial (C&I) lending portfolios.

FEDS Paper: Nonparametric Time Varying IV-SVARs: Estimation and Inference

Robin Braun, George Kapetanios, Massimiliano MarcellinoThis paper studies the estimation and inference of time-varying impulse response functions in structural vector autoregressions (SVARs) identified with external instruments. Building on kernel estimators that allow for nonparametric time variation, we derive the asymptotic distributions of the relevant quantities. Our estimators are simple and computationally trivial and allow for potentially weak instruments.

FEDS Paper: Predicting College Closures and Financial Distress

Robert Kelchen, Dubravka Ritter, and Douglas WebberIn this paper, we assemble the most comprehensive dataset to date on the characteristics of colleges and universities, including dates of operation, institutional setting, student body, staff, and finance data from 2002 to 2023. We provide an extensive description of what is known and unknown about closed colleges compared with institutions that did not close.

FEDS Paper: Missing Data Substitution for Enhanced Robust Filtering and Forecasting in Linear State-Space Models

Dobrislav Dobrev and Paweł J. SzerszeńReplacing faulty measurements with missing values can suppress outlier-induced distortions in state-space inference. We therefore put forward two complementary methods for enhanced outlier-robust filtering and forecasting: supervised missing data substitution (MD) upon exceeding a Huber threshold, and unsupervised missing data substitution via exogenous randomization (RMDX).

FEDS Paper: A Market Interpretation of Treatment Effects

Robert Minton and Casey B. MulliganMarkets, likened to an invisible hand, often appear to contradict econometric assumptions that rule out spillovers of one person’s treatment on another’s outcomes. This paper provides a simple statistical framework highlighting that controls are indirectly affected by the treatment through the market. Further, the effect of the treatment on the treated reveals only part of the consequence for the treated of treating the entire market.

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