Board of Governors of the Federal Reserve System

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• The Fed - Investigating the Sources of Default Risk: Lessons from Empirically Evaluating Credit Risk Models

  interest rate risk may be of first-order prominence for pricing and hedging

  URL: https://www.federalreserve.gov/econres/feds/investigating-the-sources-of-default-risk-lessons-from-empirically-evaluating-credit-risk-models.htm
  



• The Fed - The Price and Quantity of Residential Land in the United States

  interest rates are cointegrated. Keywords: Land, housing, house prices

  URL: https://www.federalreserve.gov/econres/feds/the-price-and-quantity-of-residential-land-in-the-united-states.htm
  



• The Fed - Duration Risk versus Local Supply Channel in Treasury Yields: Evidence from the Federal Reserve's Asset Purchase Announcements

  interest rates. Using intraday security-level data on Treasury securities

  URL: https://www.federalreserve.gov/econres/feds/duration-risk-versus-local-supply-channel-in-treasury-yields.htm
  



• The Fed - Does the Community Reinvestment Act (CRA) Cause Banks to Provide a Subsidy to Some Mortgage Borrowers?

  interest rates to CRA-eligible borrowers; in other words, we test for

  URL: https://www.federalreserve.gov/econres/feds/does-the-community-reinvestment-act-cra-cause-banks-to-provide-a-subsidy-to-some-mortgage-borrowers.htm
  



• The Fed - Anchoring Bias in Consensus Forecasts and its Effect on Market Prices

  interest rates to economic news. We find that bond yields react only to

  URL: https://www.federalreserve.gov/econres/feds/anchoring-bias-in-consensus-forecasts-and-its-effect-on-market-prices.htm
  



• The Fed - Tracking the Source of the Decline in GDP Volatility: An Analysis of the Automobile Industry

  interest rates may be the force behind the change in sales persistence

  URL: https://www.federalreserve.gov/econres/feds/tracking-the-source-of-the-decline-in-gdp-volatility-an-analysis-of-the-automobile-industry.htm
  



• The Fed - Appendix A: Model Changes for the 2022 Supervisory Stress Test

  RatesAppendix A: Model Changes for the 2022 Supervisory Stress TestAppendix...interest rate duration for residential mortgages to improve risk sensitivity

  URL: https://www.federalreserve.gov/publications/2022-supervisory-stress-test-methodology-appendix-a.htm
  



• The Fed - U.S. Monetary Policy Spillovers to Emerging Markets: Both Shocks and Vulnerabilities Matter

  interest rates arising from stronger U.S. demand generate modestly positive

  URL: https://www.federalreserve.gov/econres/ifdp/us-monetary-policy-spillovers-to-emerging-markets-both-shocks-and-vulnerabilities-matter.htm
  



• The Fed - What Can the Data Tell Us about Carry Trades in Japanese Yen?

  interest rate parity, hedge fund PDF: Full Paper Disclaimer: The economic

  URL: https://www.federalreserve.gov/econres/ifdp/what-can-the-data-tell-us-about-carry-trades-in-japanese-yen.htm
  



• The Fed - Domestic and Cross-Border Consequences of U.S. Macroeconomic Policies

  interest rates, the dollar and the U.S. external deficit. The decline

  URL: https://www.federalreserve.gov/econres/ifdp/domestic-and-cross-border-consequences-of-us-macroeconomic-policies.htm
  

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