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This paper examines the stochastic properties of aggregate macroeconomic time series from the standpoint of fractionally integrated models, and focuses on the persistence of economic shocks. We develop a simple macroeconomic model that exhibits long-term dependence, a consequence of aggregation...
Persistent link: https://www.econbiz.de/10005656916
Secondary loan participations, or loan sales, are a recent innovation in banking. In a secondary loan participation, or loan sale, a bank makes a loan and then sells the cash stream from the loan without explicit contractual recourse, guarantee, insurance, or other credit enhancement, to a third...
Persistent link: https://www.econbiz.de/10005657030
Persistent link: https://www.econbiz.de/10005657144
Persistent link: https://www.econbiz.de/10005774177
Secondary loan participations, or loan "stripping," is a recent innovation in banking. In a secondary loan participation, or loan sale, a bank makes a loan and then sells the loan, without recourse, to a third party. Bank loans hitherto were nonmarketable securities which could only be removed...
Persistent link: https://www.econbiz.de/10005618279
This paper examines the stochastic properties of aggregate macroeconomic time series from the standpoint of fractionally integrated models, and focuses on the persistence of economic shocks. We develop a simple macroeconomic model that exhibits long-term dependence, a consequence of aggregation...
Persistent link: https://www.econbiz.de/10005618297
This paper calculates the stochastic properties of consumption when income follows a fractional stochastic process, and shows how this may explain both the excess sensitivity and the excess smoothness paradoxes. It then uses a recently developed improvement of the Rescaled Range Statistic to...
Persistent link: https://www.econbiz.de/10005618332
In the United States, the Federal Reserve has responsibility for both monetary policy and bank supervision. Other countries separate these functions to varying degrees. What lies behind this global diversity? Should a central bank be charged with conducting monetary policy and regulating banks,...
Persistent link: https://www.econbiz.de/10005512841
“Toxic waste” refers to the riskiest derivative structures arising from collateralized mortgage obligations (CMOs). We use simulations to predict how this risk would manifest itself in various interest rate environments. We also look for evidence on the total dollar value of these...
Persistent link: https://www.econbiz.de/10005519540
Persistent link: https://www.econbiz.de/10005526146