Board of Governors of the Federal Reserve System

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• The Fed - Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models

  Rate Models Matt Pritsker Abstract: A number of recent papers have used...rate, and to test term structure models. However, little is known about

  URL: https://www.federalreserve.gov/econres/feds/nonparametric-density-estimation-and-tests-of-continuous-time-interest-rate-models.htm
  



• The Fed - Declining Required Reserves, Funds Rate Volatility, and Open Market Operations

  Rate Volatility, and Open Market Operations Selva Demiralp and Dennis ...rate by controlling the reserve supply. In the 1990s, there was a significant

  URL: https://www.federalreserve.gov/econres/feds/declining-required-reserves-funds-rate-volatility-and-open-market-operations.htm
  



• The Fed - Uncovered interest rate, overshooting, and predictability reversal puzzles in an emerging economy

  rate, overshooting, and predictability reversal puzzles in an emerging...rates or realized exchange rates are used. Second, caution is necessary

  URL: https://www.federalreserve.gov/econres/feds/uncovered-interest-rate-overshooting-and-predictability-reversal-puzzles-in-an-emerging-economy.htm
  



• The Fed - Does Mortgage Hedging Amplify Movements in Long-term Interest Rates?

  Rates? Roberto Perli and Brian Sack Abstract: The growth of the mortgage...rates. This paper finds that the volatility of the ten-year swap rate

  URL: https://www.federalreserve.gov/econres/feds/does-mortgage-hedging-amplify-movements-in-long-term-interest-rates.htm
  



• The Fed - An Empirical Analysis of Bond Recovery Rates: Exploring a Structural View of Default

  Rates: Exploring a Structural View of Default Daniel Covitz and Song Han...rates on bonds, measured at default, should be close to 100 percent. This

  URL: https://www.federalreserve.gov/econres/feds/an-empirical-analysis-of-bond-recovery-rates-exploring-a-structural-view-of-default.htm
  



• FRB: IFDP Notes: How Do Liquidity Conditions Affect U.S. Bank Lending?

  rates, this might relax the constraints imposed by the composition of ...funding shock on loan growth is the share of core deposits in bank funding

  URL: https://www.federalreserve.gov/econresdata/notes/ifdp-notes/2014/how-do-liquidity-conditions-affect-us-bank-lending-20141015.html
  



• The Fed - Market Share and Exchange Rate Pass-Through in World Automobile Trade

  Rate Pass-Through in World Automobile Trade Robert C. Feenstra, Joseph...rate pass-through and market share for monopolistically competitive exporters

  URL: https://www.federalreserve.gov/econres/ifdp/market-share-and-exchange-rate-pass-through-in-world-automobile-trade.htm
  



• The Fed - Deficit-Savings Ratios as Indicators of Interest-Rate Pressure: A Collection of Notes

  Interest-Rate Pressure: A Collection of Notes Gerard Caprio, Dale W. Henderson

  URL: https://www.federalreserve.gov/econres/ifdp/deficit-savings-ratios-as-indicators-of-interest-rate-pressure-a-collection-of-notes.htm
  



• The Fed - Purchasing Power Parity and Real After Tax Interest Rate Arbitrage

  Rate Arbitrage David H. Howard and Karen H. Johnson PDF: Full Paper Disclaimer

  URL: https://www.federalreserve.gov/econres/ifdp/purchasing-power-parity-and-real-after-tax-interest-rate-arbitrage.htm
  



• The Fed - The Rise and Fall of Sterling: Testing Alternative Models of Exhange Rate Determination

  Rate Determination Hali J. Edison PDF: Full Paper Disclaimer: The economic

  URL: https://www.federalreserve.gov/econres/ifdp/the-rise-and-fall-of-sterling-testing-alternative-models-of-exhange-rate-determination.htm
  

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