Board of Governors of the Federal Reserve System

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• The Fed - Does the Fed Act Gradually? A VAR Analysis

  volatility of the funds rate than observed. Parameter uncertainty, however

  URL: https://www.federalreserve.gov/econres/feds/does-the-fed-act-gradually-a-var-analysis.htm
  



• The Fed - Constant Proportion Debt Obligations: A Post-Mortem Analysis of Rating Models

  volatility, the CPDO might be viewed as the poster child for the excesses

  URL: https://www.federalreserve.gov/econres/feds/constant-proportion-debt-obligations-a-post-mortem-analysis-of-rating-models.htm
  



• The Fed - Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data

  volatility. Full paper (Screen Reader Version) Keywords: Corporate bond

  URL: https://www.federalreserve.gov/econres/feds/effects-of-liquidity-on-the-nondefault-component-of-corporate-yield-spreads-evidence-from-intraday-transactions-data.htm
  



• The Fed - Optimal Dynamic Capital Requirements and Implementable Capital Buffer Rules

  volatility that has little effect on the business cycle. In practice,

  URL: https://www.federalreserve.gov/econres/feds/optimal-dynamic-capital-requirements-and-implementable-capital-buffer-rules.htm
  



• The Fed - Earnings Forecasts and the Predictability of Stock Returns: Evidence from Trading the S&P

  volatility. Using the bootstrap methodology, we demonstrate that the findings

  URL: https://www.federalreserve.gov/econres/feds/earnings-forecasts-and-the-predictability-of-stock-returns-evidence-from-trading-the-sampampp.htm
  



• The Fed - Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle

  volatility and cross-correlation of bond yields) poses an serious challenge

  URL: https://www.federalreserve.gov/econres/feds/regime-shifts-risk-premiums-in-the-term-structure-and-the-business-cycle.htm
  



• The Fed - Slow capital, fast prices: Shocks to funding liquidity and stock price reversals

  volatility (and uninformed traders' reactions to price movements) in normal

  URL: https://www.federalreserve.gov/econres/feds/slow-capital-fast-prices-shocks-to-funding-liquidity-and-stock-price-reversals.htm
  



• The Fed - Trend-Cycle Decomposition and Forecasting Using Bayesian Multivariate Unobserved Components

  volatility components in variables improves forecasts. To address data

  URL: https://www.federalreserve.gov/econres/feds/trend-cycle-decomposition-and-forecasting-using-bayesian-multivariate-unobserved-components.htm
  



• The Fed - An International Arbitrage Pricing Model with PPP Deviations

  volatility, and the forward exchange market's risk premium. Mechanically

  URL: https://www.federalreserve.gov/econres/ifdp/an-international-arbitrage-pricing-model-with-ppp-deviations.htm
  



• The Fed - Diversification, Original Sin, and International Bond Portfolios

  volatility. An analysis of changes in portfolio weights over time indicates

  URL: https://www.federalreserve.gov/econres/ifdp/diversification-original-sin-and-international-bond-portfolios.htm
  

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