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Economic Research

Recent Publications
International Banking and Cross-Border Effects of Regulation: Lessons from the United States
Domestic prudential regulation can have unintended effects across borders and may be less effective in an environment where banks operate globally. The authors analyze these issues, focusing on the United States, and find evidence of both spillovers of foreign regulatory changes into the United States and cross-border effects of U.S. prudential instrument changes.
By Jose Berrospide, Ricardo Correa, Linda Goldberg, and Friederike Niepmann, Staff Reports 793, September 2016
Human Capital Investments and Expectations about Career and Family
Influential studies have identified future income as a primary motivation for making human capital investments. In this paper, the authors move beyond that to study how young people believe such investments will affect their career and family life—including expectations about marriage and spousal earnings.
By Matthew Wiswall and Basit Zafar, Staff Reports 792, August 2016
Financial Aid, Debt Management, and Socioeconomic Outcomes: Post-College Effects of Merit-Based Aid
Assessing the value of state-sponsored merit-based aid programs for undergraduates requires knowing what happens to students after college. The authors conduct what they believe to be the first study to link college transcript and financial aid data to financial-management outcomes such as credit status and homeownership.
By Judith Scott-Clayton and Basit Zafar, Staff Reports 791, August 2016
A Pilot Survey of Agent Securities Lending Activity
The Financial Stability Oversight Council has identified a lack of data on securities lending activity as a priority to be addressed. In this paper, the authors report aggregate statistics on securities lending activity based on a recently concluded pilot data collection by U.S. financial regulators.
By Viktoria Baklanova, Cecilia Caglio, Frank Keane, and Burt Porter, Staff Reports 790, August 2016
Global Variance Term Premia and Intermediary Risk Appetite
Variance swaps contain valuable information regarding investor expectations about the resolution of market uncertainty, as well as insights into investor preferences for risk across different time horizons. In this paper, the authors propose a new term-structure model to help understand the expected quantity and pricing of risk.
By Peter Van Tassel and Erik Vogt, Staff Reports 789, August 2016
Characteristic-Sorted Portfolios: Estimation and Inference
The premise behind portfolio sorting is to discover whether the expected returns of an asset are related to a certain characteristic. In this paper, the authors present a framework formalizing portfolio-sorting-based estimation and inference. They also provide guidance on how to choose the number of portfolios to draw accurate conclusions from the data.
By Matias D. Cattaneo, Richard K. Crump, Max H. Farrell, and Ernst Schaumburg, Staff Reports 788, August 2016
Tracking and Stress-Testing U.S. Household Leverage
The authors analyze household leverage—the ratio of housing debt to housing values—at the borrower level. Their stress tests to project the likely consequences of house price shocks of different severities reveal that, although the housing sector remains vulnerable to severe price declines, increased creditworthiness among today’s borrowers mitigates that effect.
By Andreas Fuster, Benedict Guttman-Kenney, and Andrew Haughwout, Staff Reports 787, August 2016