Publications

Monetary Tightening Cycles and the Predictability of Economic Activity  
With Tobias Adrian
Economics Letters, Forthcoming (Link is to working paper version)

The Yield Curve as a Leading Indicator: Some Practical Issues
With Mary R. Trubin
Federal Reserve Bank of New York Current Issues in Economics and Finance, July/August 2006

Why Does the Yield Curve Predict Output and Inflation? 
Economic Journal, July 2005 (Link is to working paper version)
47 pages / 173 kb
See also ››
Data

Productivity, Monetary Policy and Financial Indicators 
Investigating the Relationship between the Financial and the Real Economy, Bank for International Settlements, Basel, Switzerland, April 2005 (Link is to working paper version)

Bank Capital and Risk: Is Voluntary Disclosure Enough? 
Journal of Financial Services Research, October 2004 (Link is to working paper version)

The Cyclical Behavior of Optimal Bank Capital 
Journal of Banking and Finance June 2004 (Link is to working paper version)
54 pages / 336 kb

Critical Values and P Values of Bessel Process Distributions: Computation and Application to Structural Break Tests 
Econometric Theory, December 2003 (Link is to working paper version)
26 pages / 166 kb

How Stable Is the Predictive Power of the Yield Curve? Evidence from Germany and the United States. 
With Anthony P. Rodrigues and Sebastian Schich
Review of Economics and Statistics, August 2003 (Link is to working paper version)
41 pages / 268 kb

Monetary Policy Shifts and the Stability of Monetary Policy Models 
With Jeffrey C. Fuhrer
Review of Economics and Statistics, February 2003, (Link is to working paper version)
27 pages / 322 kb

Dynamic Inconsistencies: Counterfactual Implications of a Class of Rational Expectations Models 
With Jeffrey C. Fuhrer
American Economic Review, September 2002, (Link is to working paper version)
32 pages / 193 kb

Securitization and the Efficacy of Monetary Policy 
Federal Reserve Bank of New York Economic Policy Review, May 2002
13 pages / 177 kb

Capital Ratios and Credit Ratings as Predictors of Bank Failures 
With Stavros Peristiani and Sangkyun Park
Credit Ratings: Methodologies, Rationale and Default Risk, Ong, Michael K., London, Risk Books, 2002 (Link is to working paper version)
38 pages / 152 kb

Mixing and Matching: Prospective Financial Sector Mergers and Market Valuation 
Journal of Banking and Finance, December 2001, (Link is to working paper version.)
34 pages / 104 kb

Financial Innovation and the Monetary Transmission Mechanism 
Focus on Austria, Oesterreichische Nationalbank, 3-4 2001, (Link is to working paper version)
29 pages / 214 kb
See also ››
German version 

Dealing with Financial Instability: The Central Bank's Tool Kit 
Sveriges Riksbank Economic Review, Second Quarter 2001, (Link is to working paper version)
13 pages / 50 kb

Regulatory Capital and the Supervision of Financial Institutions: Some Basic Distinctions and Policy Choices 
Challenges for Modern Central Banking, Anthony Santomero, Staffan Viotti and Anders Vredin, eds., Boston, Kluwer Academic Publishers, 2001 (Link is to working paper version)
16 pages / 76 kb

Comment on 'A Regulatory Regime for Financial Stability'
By David T. Llewellyn, In Der einheitliche Finanzmarkt - Eine Zwischenbilanz nach zwei Jahren WWU (The Single Financial Market: Two Years into EMU), Alexander Dallinger, ed., Osterreichische Nationalbank, 2001

Credit Ratings and Complementary Sources of Credit Quality Information 
(Chair of Working Group on Credit Ratings) Basel Committee on Banking Supervision, Working Paper No. 3, August 2000

Capital Ratios as Predictors of Bank Failures
With Sangkyun Park and Stavros Peristiani
Federal Reserve Bank of New York Economic Policy Review, July 2000

Rethinking the Role of NAIRU in Monetary Policy: Implications of Model Formulation and Uncertainty 
With F.S. Mishkin
Monetary Policy Rules, Taylor, John B. ed., Chicago: NBER and University of Chicago Press, 1999, (Link is to NBER Working Paper version)

The Future of Regulatory Capital: General Principles and Specific Proposals
Schweitzerische Zeitschrift fur Volkswirtschaft und Statistik (Swiss Journal of Economics and Statistics), December 1998

Formulas or Supervision? Remarks on the Future of Regulatory Capital 
Federal Reserve Bank of New York Economic Policy Review, October 1998
10 pages / 169 kb

A New Measure of Fit for Equations with Dichotomous Dependent Variables
Journal of Business and Economic Statistics, April 1998

Predicting U.S. Recessions: Financial Variables as Leading Indicators
With F.S. Mishkin
Review of Economics and Statistics, February 1998

Approximation of Changes in Option Values and Hedge Ratios: How Large Are the Errors?
With J. Kambhu
The Measurement of Aggregate Market Risk, Bank for International Settlements, November 1997

Is There a Role for Monetary Aggregates in the Conduct of Monetary Policy
With F.S. Mishkin
Journal of Monetary Economics, October 1997

The Predictive Power of the Term Structure of Interest Rates in Europe and the United States: Implications for the European Central Bank
With F.S. Mishkin
European Economic Review, July 1997

The Yield Curve as a Predictor of Recessions in the United States and Europe
With F.S. Mishkin
The Determination of Long-Term Interest Rates and Exchange Rates and the Role of Expectations, Bank for International Settlements, August 1996

Comment on "The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures"
By N. Jegadeesh and G.G. Pennacchi Journal of Money, Credit and Banking, August 1996
Read the full text in JSTOR  ››

The Yield Curve as a Predictor of U.S. Recessions
With F.S. Mishkin
Federal Reserve Bank of New York Current Issues in Economics and Finance, June 1996

Taylor, Black and Scholes: Series Approximations and Risk Management Pitfalls
Risk Measurement and Systemic Risk: Proceedings of a Joint Central Bank Research Conference, Board of Governors of the Federal Reserve System, January 1996

A Prolegomenon to Future Capital Requirements
Federal Reserve Bank of New York Economic Policy Review, July 1995

The Price Risk of Options Positions: Measurement and Capital Requirements
With J. Kambhu, D. Hendricks, S. Walter and S. Shin
Federal Reserve Bank of New York Quarterly Review, Summer-Fall 1994

The Term Structure as a Predictor of Real Economic Activity
With G. Hardouvelis
Journal of Finance, June 1991
Read the full text in JSTOR  ››

Corporate Leverage and Taxes in the U.S. Economy
Studies on Corporate Leverage, E.J. Frydl, ed., Federal Reserve Bank of New York, September 1990

The Separation of Liquidity and Price Risk
With E.J. Ozog
Funding and Liquidity: Recent Changes in Liquidity Management Practices at Commercial Banks and Securities Firms, Federal Reserve Bank of New York, July 1990

Integrating Liquidity and Price Risk Management
With C.M. Cumming and E.J. Ozog
Funding and Liquidity: Recent Changes in Liquidity Management Practices at Commercial Banks and Securities Firms, Federal Reserve Bank of New York, July 1990

Possible Roles of the Yield Curve in Monetary Analysis
With Gikas Hardouvelis
Intermediate Targets and Indicators for Monetary Policy: A Critical Survey, Federal Reserve Bank of New York, July 1990

Estimating the Funding Gap of the Pension Benefit Guaranty Corporation
With Beverly Hirtle
Federal Reserve Bank of New York Quarterly Review, Fall 1988

Interest Rate Swaps: An Alternative Explanation
With M. Arak, L. Goodman and A. Silver
Financial Management, Summer 1988
See also ››
Reprinted in Interest Rate Swaps, C. R. Beidelman, ed., Irwin, 1991

Consistent Margin Requirements: Are They Feasible?
Federal Reserve Bank of New York Quarterly Review, Summer 1988

Domestic Banks and Their Competitors in the Prime Commercial Loan Market
Recent Trends in Commercial Bank Profitability, R.G. Davis, ed., Federal Reserve Bank of New York, September 1986

Collateralized Mortgage Obligations: Do They Reduce Cash Flow Uncertainty?
With A. Silver
Federal Reserve Bank of New York Quarterly Review, Summer 1984

Corporate Use of Pension Overfunding
Federal Reserve Bank of New York Quarterly Review, Spring 1984
See also ››
Reprinted in Contemporary Developments in Financial Markets and Institutions, T.M. Havrilesky and R. Schweitzer, eds., Harlan Davidson, 1987

Arturo Estrella's CV

The views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.