The US boom in nonprime mortgage by Levone


									F e d e r a l R e s e r v e B a n k o f N e w Yo r k                                            Number 2

Research and Statistics Group                  

Study Finds Important Similarities among Nonprime
Mortgage Borrowers
      he U.S. boom in nonprime mortgage

                                                      Authors Andrew F. Haughwout and
       lending between 2004 and 2006 was           Ebiere Okah estimate negative equity as
       quickly followed by a swift rise in         of December 2008, describe the sources
delinquencies and defaults on the loans.           of negative equity, and summarize the
Evidence from the current downturn sug-            characteristics of borrowers below the
gests that reductions in borrower equity           equity line. Combining information from
are major contributors to delinquencies            house price indexes with data on indi-
and defaults. Accordingly, policymakers            vidual loans, the authors gauge the
with their eyes on the foreclosure crisis          prevalence and magnitude of negative
are crafting policies that rely to some            equity across a range of dimensions,
extent on measures of negative equity, in          such as the location of the property and
which the value of a property is below the         the year the mortgage originated.
mortgage balance.                                     The study finds that nonprime bor-
   A new study of the nonprime mortgage            rowers who are “below the line” share
market supports earlier findings on the            several traits. These borrowers took out
relationship between negative equity—              loans near the housing market peak and
which is affected by the time and place            had mortgages with high loan-to-value
of mortgage origination and the existence          ratios, usually achieved with subordinate
of subordinate liens on the
property—and default             Also in this issue…
(“Below the Line:
Estimates of Negative            New timelines document policy responses
Equity among Nonprime              to global financial crisis . . . . . . . . . . . . . . . . . . . . . . . 3
Mortgage Borrowers,”             Most downloaded publications . . . . . . . . . . . . . . . . . . . 3
Economic Policy Review,          Staff Reports: New titles. . . . . . . . . . . . . . . . . . . . . . . . . 4
forthcoming).                    Papers recently published
                                   by Research Group economists . . . . . . . . . . . . . . . . . 7
                                 Papers presented at conferences . . . . . . . . . . . . . . . . . . 8
                                 Publications and papers: April-June . . . . . . . . . . . . . . 10
     Ve ea 9 pum I N mber
     R o ls u m rec h , U N d a tbee r 4 , u 2 0 0 6 2 , 2 0 0 9

    liens. The authors also find that borrow-                  mortgages, the loans account for nearly
    ers with a mortgage exceeding the value                    half of the overall difference between
    of their house are twice as likely as posi-                house values and mortgage balances.”
    tive equity borrowers to be seriously                         In addition, the authors use informa-
    delinquent on their first-lien mortgage.                   tion from housing price futures contracts
       Haughwout and Okah show that while                      to estimate the path of negative equity
    negative equity loans exist in most U.S.                   beyond 2009. Their results suggest that if
    metro areas, they are disproportionately                   house prices fall an additional 10 percent
    concentrated in housing markets that                       from December 2008 levels, “approximately
    experienced especially large swings in                     1.5 million new nonprime borrowers would
    house price appreciation, particularly in                  see their house value fall below their cur-
    California. They estimate that three                       rent mortgage balance” and the aggregate
    California metro areas account for more                    value of negative equity among nonprime
2   than a quarter of the negative equity                      borrowers could reach $135 billion.
    mortgages in their sample. Moreover,                          The article is available at www.newyorkfed
    “because of the higher balances on these                   .org/research/epr/09v15n1/0907haug.html.

      Publications and Papers
      The Research and Statistics Group produces a wide range of publications:
      I   The Economic Policy Review—a policy-oriented journal focusing on economic
          and financial market issues.
      I   EPR Executive Summaries—online versions of selected Economic Policy Review
          articles, in abridged form.
      I   Current Issues in Economics and Finance—concise studies of topical economic
          and financial issues.
      I   Second District Highlights—a regional supplement to Current Issues.
      I   Staff Reports—technical papers intended for publication in leading economic
          and finance journals, available only online.
      I   Publications and Other Research—an annual catalogue of our research output.

     F e d e r a l R e s e r v e B a n k o f N e w Yo r k

New Timelines Document Policy Responses to Global Financial Crisis
      ince mid-2007, policymakers have          others wishing to track the progress of

S     put forth a range of initiatives to
      address the global financial crisis. To
illustrate the unfolding of events and the
                                                the crisis. The domestic timeline begins
                                                in June 2007, showing the lead-up to and
                                                development of events in the United
various policy responses, the Research          States as well as the government responses;
Group has introduced a website featuring        the international timeline focuses on the
domestic and international timelines of         G-7 responses since the intensification of
the crisis. The timelines catalogue the key     the crisis in the fall of 2008. The event
announcements of the Federal Reserve,           entries in the timelines link to documents
foreign central banks, and other domestic       offering more information.
and foreign government agencies.                   The timelines are available at www
   The timelines represent a unique cen-      3
tral repository of value to economists,         policyresponses.html and will be updated
analysts, policymakers, educators, and          at the beginning of each month. I

Most Downloaded Publications
    isted below are the most sought after           SSRN, second-quarter 2009:

L   Research Group articles and papers
    from the New York Fed’s website and
from the Bank’s page on the Social
                                                I   “Understanding the Securitization of
                                                    Subprime Mortgage Credit,” by Adam
                                                    B. Ashcraft and Til Schuermann (Staff
Science Research Network site                       Reports, no. 318, March 2008) –
    New York Fed, second-quarter 2009:          I   “Pass-Through of Exchange Rates and
                                                    Import Prices to Domestic Inflation in
I   “Understanding the Securitization of
                                                    Some Industrialized Economies,”
    Subprime Mortgage Credit,” by Adam
                                                    by Jonathan McCarthy (Staff Reports,
    B. Ashcraft and Til Schuermann (Staff
                                                    no. 111, September 2000) –
    Reports, no. 318, March 2008) –
                                                I   “Portfolio Credit Risk,” by Thomas
I   “The Yield Curve as a Predictor of U.S.
                                                    C. Wilson (Economic Policy Review,
    Recessions,” by Arturo Estrella and
                                                    vol. 4, no. 3, October 1998) –
    Frederic S. Mishkin (Current Issues in
    Economics and Finance, vol. 2, no. 7,
    June 1996) – 2,796 downloads                   For lists of the top-ten downloads,
I   “The Yield Curve as a Leading
    Indicator: Some Practical Issues,” by
    Arturo Estrella and Mary R. Trubin
    (Current Issues in Economics and
    Finance, vol. 12, no. 5, July/August
    2006) – 1,401 downloads

                                                Research and Statistics Group
     Research Update           I   Number 2, 2009

    New Titles in the Staff Reports Series
    The following new staff reports are avail-              holds, and firms. Yet much of this potential
    able at                    remains unfulfilled. This paper studies the
    staff_reports.                                          adoption of an innovative rainfall insurance
                                                            product designed to compensate low-
                                                            income Indian farmers in the event of
                                                            insufficient rainfall during the primary
                                                            monsoon season. Cole et al. first document
    No. 375, June 2009                                      that only 5-10 percent of households pur-
    Credit Quantity and Credit Quality: Bank                chase the insurance, even though they
    Competition and Capital Accumulation                    overwhelmingly cite rainfall variability as
    Nicola Cetorelli and Pietro F. Peretto                  their most significant risk. They then con-
                                                            duct a series of randomized field experi-
    This paper shows that bank competition                  ments to test theories of low product adop-
4   has an intrinsically ambiguous effect on                tion. Insurance purchase is sensitive to
    capital accumulation and economic growth.               price, with an estimated extensive price
    It further demonstrates that banking mar-               elasticity of demand ranging between -0.66
    ket structure can be responsible for the                and -0.88. Credit constraints are a key bar-
    emergence of development traps in                       rier to participation, a result also consistent
    economies that would otherwise be charac-               with household self-reports. The authors
    terized by unique steady-state equilibria.              find mixed evidence that subtle psychologi-
    These predictions explain the conflicting               cal manipulations affect purchases and no
    evidence gathered from recent empirical                 evidence that modest attempts at financial
    studies of how bank competition affects the             education affect household participation.
    real economy. Cetorelli and Peretto’s results
    were obtained by developing a dynamic
    general-equilibrium model of capital accu-              BANKING AND FINANCE
    mulation in which banks operate in a
    Cournot oligopoly. The presence of more                 No. 368, April 2009
    banks leads to a higher quantity of credit              Subprime Mortgage Pricing: The Impact
    available to entrepreneurs, but also to                 of Race, Ethnicity, and Gender on
    diminished incentives to screen loan appli-             the Cost of Borrowing
    cants and thus to poorer capital allocation.            Andrew Haughwout, Christopher Mayer,
    The authors also show that conditioning on              and Joseph Tracy
    economic parameters describing the quality
                                                            Some observers have argued that minority
    of the entrepreneurial population resolves
                                                            borrowers and neighborhoods were targeted
    the theoretical ambiguity.
                                                            for expensive credit in 2004-06, the peak
                                                            period for subprime lending. To investigate
    MICROECONOMICS                                          this claim, the authors use a new data set
                                                            that merges demographic information on
    No. 373, May 2009                                       subprime borrowers with information on
    Barriers to Household Risk Management:                  their mortgages. They find no evidence of
    Evidence from India                                     adverse pricing by race, ethnicity, or gender
    Shawn Cole, Xavier Giné, Jeremy Tobacman,               in either the initial rate or the reset mar-
    Petia Topalova, Robert Townsend,                        gin. Indeed, minority borrowers appear to
    and James Vickery
                                                            pay slightly lower rates, as do borrowers in
    Financial engineering offers the potential              Zip codes with a larger percentage of black
    to significantly reduce the consumption                 or Hispanic residents or higher unemploy-
    fluctuations faced by individuals, house-               ment. Mortgage rates are also lower in

     F e d e r a l R e s e r v e B a n k o f N e w Yo r k

locations with higher rates of house price     system during the 2007-08 financial crisis.
appreciation. Although these results sug-      Using data on intraday account balances
gest some economies of scale in subprime       held by banks at the Federal Reserve and
lending, the authors caution that they are     Fedwire interbank transactions to estimate
unable to measure points and fees at loan      all overnight fed funds trades, the authors
origination, and the data do not indicate      present empirical evidence on banks’ pre-
whether borrowers might have qualified for     cautionary hoarding of reserves, their
less expensive conforming mortgages.           reluctance to lend, and extreme fed funds

No. 369, April 2009
                                               rate volatility. They develop a model with
                                               credit and liquidity frictions in the inter-
The Impact of Tax Law Changes on Bank          bank market consistent with the empirical
Dividend Policy, Sell-offs, Organizational     results. Their theoretical results show that
Form, and Industry Structure                   banks rationally hold excess reserves intra-
Hamid Mehran and Michael Suher                 day and overnight as a precautionary meas-
This paper investigates the effect of a 1996   ure against liquidity shocks. Moreover, the
tax law change allowing commercial banks       intraday fed funds rate can spike above the      5
to elect S-corporation status. By the end of   discount rate and crash to near zero.
2007, roughly one in three banks had           Apparent anomalies during the financial
opted for or converted to S status. The        crisis may be seen as stark but natural out-
authors analyze the effect on bank divi-       comes of the model of the interbank market.
dend payouts. They also examine the effect
S-corporation status has on a community        No. 371, May 2009
bank’s likelihood of sell-off and measure a    Bank Liquidity, Interbank Markets,
firm’s sensitivity to tax rates based on its   and Monetary Policy
choice of organizational form. Mehran and      Xavier Freixas, Antoine Martin,
Suher document that dividend payouts           and David Skeie
increase substantially after a bank’s con-     A major lesson of the recent financial crisis
version to S status. Moreover, community       is that the ability of banks to withstand liq-
banks that convert are significantly less      uidity shocks and to provide lending to one
likely to be sold than their C-corporation     another is crucial for financial stability.
peers. The study estimates a tax rate elas-    This paper studies the functioning of the
ticity of conversion in the range of 2 to      interbank lending market and the optimal
3 percent for every 1-percentage-point         policy of a central bank in response to
change in relative tax rates. Overall,         both idiosyncratic and aggregate shocks. In
Subchapter S status is shown to have           particular, it considers how the interbank
significant effects on bank conduct and        market affects a bank’s choice between
industry structure.                            holding liquid assets ex ante and acquiring
                                               such assets in the market ex post. The
No. 370, May 2009                              authors show that a central bank should
Precautionary Reserves and                     use different tools to manage different
the Interbank Market                           types of shocks. Specifically, it should
Adam Ashcraft, James McAndrews,                respond to idiosyncratic shocks by lowering
and David Skeie
                                               the interest rate in the interbank market
Liquidity hoarding by banks and extreme        and address aggregate shocks by injecting
volatility of the fed funds rate have been     liquid assets into the banking system. They
widely seen as severely disrupting the         also show that failure to adopt the optimal
interbank market and the broader financial     policy can lead to financial fragility.

                                               Research and Statistics Group
     Research Update           I   Number 2, 2009

    No. 372, May 2009                                       ended the day 11.2 percent below the pre-
    Credit Default Swap Auctions                            vious close. The authors use this natural
    Jean Helwege, Samuel Maurer, Asani Sarkar,              experiment and a simple asset-pricing
    and Yuan Wang                                           model to study the aftermath of this false
    The rapid growth of the credit default swap             news shock. They find that, after three
    (CDS) market and the increased number of                trading sessions, the company’s stock was
    defaults in recent years have led to major              still trading below the two-standard-deviation
    changes in the way CDS contracts are set-               confidence band implied by the model and
    tled when default occurs. Auctions are                  that it returned to within one standard
    increasingly the mechanism used to settle               deviation only during the sixth session. On
    these contracts, replacing physical transfers           the seventh day after the episode, the stock
    of defaulted bonds between CDS sellers                  was trading at exactly the level predicted
    and buyers. Indeed, auctions will now                   by the model.
    become a standard feature of recent CDS
    contracts. This paper examines all CDS                  No. 376, June 2009
6                                                           Financial Visibility and the Decision
    auctions conducted to date and evaluates
    their efficacy by comparing the auction                 to Go Private
    outcomes with the underlying bond prices                Hamid Mehran and Stavros Peristiani
    in the secondary market. The auctions                   Many companies that privatized between
    appear to have served their purpose, as the             1990 and 2007 were fairly young public
    authors find no evidence of inefficiency:               firms, often with the same management
    Participation is high, open interest is low,            team making the crucial restructuring deci-
    and auction prices are close to prices                  sions both at the time of the initial public
    observed in the bond market before and                  offering (IPO) and the buyout. Mehran and
    after each auction. The authors qualify                 Peristiani investigate the determinants of
    their conclusions by noting that relatively             the decision to go private over a firm’s
    few auctions have taken place thus far.                 public life cycle. Their evidence reveals
                                                            that firms with declining growth in analyst
    No. 374, May 2009                                       coverage, falling institutional ownership,
    The Persistent Effects of a False News Shock            and low stock turnover were more likely to
    Carlos Carvalho, Nicholas Klagge,                       go private and opted to do so sooner. The
    and Emanuel Moench
                                                            authors argue that a primary reason behind
    In September 2008, a six-year-old article               the decision of IPO firms to abandon their
    about the 2002 bankruptcy of United                     public listing was a failure to attract a criti-
    Airlines’ parent company resurfaced on the              cal mass of financial visibility and investor
    Internet and was mistakenly believed to be              interest. Consistent with earlier literature,
    reporting a new bankruptcy filing by the                they also find strong support for Jensen’s
    company. The parent company’s stock price               free-cash-flow hypothesis, which argues
    dropped by as much as 76 percent in just a              that these corporate restructurings are a
    few minutes, before NASDAQ halted trad-                 useful tool in capital markets for mitigating
    ing. After the “news” had been identified               agency problems between insiders and out-
    as false, the price rebounded, but still                side shareholders.

     F e d e r a l R e s e r v e B a n k o f N e w Yo r k

No. 377, June 2009                             and its offices in foreign locations). Adverse
Globalized Banks: Lending to Emerging          liquidity shocks to developed-country
Markets in the Crisis                          banking, such as those that occurred in the
Nicola Cetorelli and Linda S. Goldberg         United States in 2007 and 2008, have
Global banks played a significant role in      reduced lending in local markets through
the transmission of the current crisis to      contractions in cross-border lending to
emerging-market economies. Flows               banks and private agents and also through
between global banks and emerging mar-         contractions in parent banks’ support of
kets include both cross-border lending,        foreign affiliates. Because all these forms of
which has long been recognized as              transmission impinge on the lending chan-
responding significantly to shocks at home     nel in recipient markets, the ownership
or abroad, and internal capital-market         structure of emerging-market banks does
lending, which is the internal flow of funds   not by itself provide sufficient basis for
within a banking organization (such as         identifying the degree of shock transmis-        7
between the organization’s headquarters        sion from abroad. I

Recently Published
Tobias Adrian. 2009. “Money, Liquidity,        Beverly Hirtle. 2009. “Credit Derivatives
and Monetary Policy,” with Hyun Song           and Bank Credit Supply.” Journal of
Shin. American Economic Review 99, no. 2       Financial Intermediation 18, no. 2
(May): 600-5. Papers and Proceedings of        (April):125-50.
the 121st Annual Meeting of the American
Economic Association.                          Tanju Yorulmazer. 2009. “On the Dynamics
                                               and Severity of Bank Runs: An Experimental
Linda Goldberg. 2009. “Understanding           Study,” with Andrew Schotter. Journal of
Banking Sector Globalization.” IMF Staff       Financial Intermediation 18, no. 2 (April):
Papers 56, no. 1 (April): 171-97.              217-41. I

                                               Research and Statistics Group
     Research Update           I   Number 2, 2009

    Papers Presented by Economists in the Research and Statistics Group
    “Liquidity and Congestion,” Gara Afonso.                “Credit Market Competition and the
    Centro de Estudios Monetarios y                         Nature of Firms,” Nicola Cetorelli. Brown
    Financieros seminar, Madrid, Spain, May 12.             University Department of Economics semi-
    Also presented at a Universidad Carlos III              nar, Providence, Rhode Island, April 15.
    de Madrid seminar, Madrid, Spain, May 18,               Also presented at the Federal Reserve
    and a Universitat Pompeu Fabra seminar,                 Bank of Chicago Forty-fifth Annual
    Barcelona, Spain, May 22.                               Conference on Bank Structure and
                                                            Competition, Chicago, Illinois, May 6.
    “Systemic Risk and Liquidity in Payment
    Systems,” Gara Afonso. Bank of Spain semi-              “Credit Frictions and Optimal Monetary
    nar, Madrid, Spain, May 14. With Hyun                   Policy,” Vasco Cúrdia. Bank of Canada
    Song Shin. Also presented at an IESE                    seminar, Ottawa, Ontario, Canada, April 21.
    Business School–Universidad de Navarra                  With Michael Woodford.
8   seminar, Barcelona, Spain, May 25; the
    Financial Intermediation Research Society               “The Dynamics of International Trade
    Conference on Banking, Corporate Finance,               Invoicing,” Linda Goldberg. European
    and Intermediation, Prague, the Czech                   Central Bank–Bank of Canada seminar,
    Republic, May 28; and the Tenth Annual                  Frankfurt, Germany, June 5. With Cédric Tille.
    Conference of the Association for Public
    Economic Theory, Galway, Ireland, June 19.              “Globalized Banks: Lending to Emerging
                                                            Markets in the Crisis,” Linda Goldberg.
    “Competition and Quality Upgrading,”                    Banco de la República–National Deposit
    Mary Amiti. Centre for Economic Policy                  Institute of Colombia seminar, Bogotà.
    Research, European Research Workshop in                 Colombia, May 29. With Nicola Cetorelli.
    International Trade, Madrid, Spain, June 1.
    With Amit Khandelwal.                                   “Are Expectations about Economic Activity
                                                            Self-Fulfilling? An Empirical Test,”
    “Aggregation and the PPP Puzzle in a                    Christian Grisse. Thirteenth Annual
    Sticky-Price Model,” Carlos Carvalho.                   International Conference on
    Central Bank of Brazil Eleventh Annual                  Macroeconomic Analysis and International
    Inflation Targeting Seminar, Rio de Janeiro,            Finance, held at the University of Crete,
    Brazil, May 15. With Fernanda Nechio.                   Rethymno, Crete, Greece, May 29.

    “Estimating the Cross-Sectional                         “Higher Order Beliefs and the
    Distribution of Price Stickiness from                   Comovement of Asset Prices,” Christian
    Aggregate Data,” Carlos Carvalho. Bank of               Grisse. New York University International
    Canada seminar, Ottawa, Ontario, Canada,                Economics Seminar, New York City, April 21.
    June 1. With Niels Dam. Also presented at
    the 2009 North American Summer                          “International Financial Transmission:
    Meeting of the Econometric Society,                     Emerging and Mature Markets,” Christian
    Boston, Massachusetts, June 7.                          Grisse. Seventh INFINITI Conference on
                                                            International Finance, held at Trinity
                                                            College Dublin, Dublin, Ireland, June 9.
                                                            With Guillermo Felices and Jing Yang.

     F e d e r a l R e s e r v e B a n k o f N e w Yo r k

“Fundamentals-Based Exchange Rate            “CONDI: A Cost-of-Nominal-Distortions
Prediction Revisited,” Jan Groen. 2009       Index,” Andrea Tambalotti. University of
North American Summer Meeting of             Pavia seminar, Pavia, Italy, April 7. With
the Econometric Society, Boston,             Stefano Eusepi and Bart Hobijn. Also pre-
Massachusetts, June 6.                       sented at seminars at Goethe University,
                                             Frankfurt, Germany, April 21; the European
“Commodity Prices, Commodity                 Central Bank, Frankfurt, Germany, April 22;
Currencies, and Global Economic              Bocconi University, Milan, Italy, April 30;
Developments,” Jan Groen and Paolo           Einaudi Institute for Economics and
Pesenti. NBER Twentieth Annual East          Finance, Rome, Italy, May 4; the Bank of
Asian Seminar on Economics, Hong Kong,       Italy, Rome, Italy, May 6; LUISS (Libera
June 26.                                     Università Internazionale degli Studi
                                             Sociali) Guido Carli, Rome, Italy, May 7;
“Unemployment Dynamics in the OECD,”         Bilkent University, Ankara, Turkey, May 15;
Ay egül ahin. 2009 Midwest                   and Sveriges Riksbank, Stockholm,
Macroeconomics Meetings, Indiana             Sweden, May 27.                                    9
University, Bloomington, Indiana, May 16.
With Michael Elsby and Bart Hobijn. Also     “Rethinking the Measurement of
presented at a Yonsei University seminar,    Household Inflation Expectations:
Seoul, Korea, June 5.                        Preliminary Findings,” Wilbert van der
                                             Klaauw. Laval University seminar, Québec
“Credit Default Swap Auctions,” Asani        City, Québec, Canada, April 25. With
Sarkar. World Research Group conference,     Wändi Bruine de Bruin, Michael Bryan,
New York City, April 20. With Jean           Simon Potter, and Giorgio Topa.
Helwege, Samuel Maurer, and Yuan Wang.
                                             “Rollover Risk and Market Freezes,” Tanju
“Evolution of Risk and the Federal           Yorulmazer. Financial Intermediation
Reserve’s Responses to the Crisis,” Asani    Research Society Conference on Banking,
Sarkar. Bank of England Seminar Series,      Corporate Finance, and Intermediation,
London, United Kingdom, May 19. Also         Prague, the Czech Republic, May 28. With
presented at a University of Leicester       Viral Acharya and Douglas Gale. Also
annual workshop, Leicester, United           presented at the 2009 Western Finance
Kingdom, May 21.                             Association Annual Meetings, San Diego,
                                             California, June 18.
“Exchange Rate Risk, Transaction Costs,
and the Forward-Bias Puzzle,” Asani          “College Major Choice and the Gender
Sarkar. Seventh INFINITI Conference          Gap,” Basit Zafar. Fourteenth Annual
on International Finance, held at Trinity    Meetings of the Society of Labor
College Dublin, Dublin, Ireland, June 8.     Economists, Boston, Massachusetts, May 9.
With Angelo Ranaldo.
                                             “How Do College Students Form
“Bank Liquidity, Interbank Markets, and      Expectations?” Basit Zafar. CIRPÉE (Centre
Monetary Policy,” David Skeie. Universitat   Interuniversitaire sur le Risque, les Politiques
Pompeu Fabra seminar, Barcelona, Spain,      Économiques, et l’Emploi) Workshop on
June 3. With Xavier Freixas and Antoine      Subjective Beliefs in Econometric Models,
Martin. Also presented at the 2009 Western   Laval University, Québec City, Québec,
Finance Association Annual Meetings,         Canada, April 25. Also presented at the
San Diego, California, June 19.              2009 North American Summer Meeting
                                             of the Econometric Society, Boston,
                                             Massachusetts, June 7. I

                                             Research and Statistics Group
                   Research Update              I   Number 2, 2009

                                                                            No. 371, May 2009
                  Research and Statistics Group                             Bank Liquidity, Interbank Markets,
                  Publications and Papers:                                  and Monetary Policy
                  April-June 2009                                           Xavier Freixas, Antoine Martin,
                                                                            and David Skeie
                  Publications are available at
                                      No. 372, May 2009
                  publication_annuals/index.html.                           Credit Default Swap Auctions
                                                                            Jean Helwege, Samuel Maurer, Asani Sarkar,
                                                                            and Yuan Wang
                  ECONOMIC POLICY REVIEW
                                                                            No. 373, May 2009
                  Forthcoming                                               Barriers to Household Risk Management:
                  Why Did FDR’s Bank Holiday Succeed?                       Evidence from India
                  William L. Silber                                         Shawn Cole, Xavier Giné, Jeremy Tobacman,
10                Below the Line: Estimates of Negative                     Petia Topalova, Robert Townsend,
                  Equity among Nonprime Mortgage                            and James Vickery
                  Borrowers                                                 No. 374, May 2009
                  Andrew F. Haughwout and Ebiere Okah
                                                                            The Persistent Effects of a False
                                                                            News Shock
                  STAFF REPORTS                                             Carlos Carvalho, Nicholas Klagge,
                                                                            and Emanuel Moench

                                                                            No. 375, June 2009
                  No. 368, April 2009
                  Subprime Mortgage Pricing: The Impact
                  of Race, Ethnicity, and Gender on                         Credit Quantity and Credit Quality: Bank
                  the Cost of Borrowing                                     Competition and Capital Accumulation
                  Andrew Haughwout, Christopher Mayer,                      Nicola Cetorelli and Pietro F. Peretto
                  and Joseph Tracy

                  No. 369, April 2009
                                                                            No. 376, June 2009
                                                                            Financial Visibility and the Decision
                  The Impact of Tax Law Changes on Bank                     to Go Private
                  Dividend Policy, Sell-offs, Organizational                Hamid Mehran and Stavros Peristiani
                  Form, and Industry Structure
                  Hamid Mehran and Michael Suher                            No. 377, June 2009
                                                                            Globalized Banks: Lending to Emerging
                  No. 370, May 2009                                         Markets in the Crisis
                  Precautionary Reserves and                                Nicola Cetorelli and Linda S. Goldberg
                  the Interbank Market
                  Adam Ashcraft, James McAndrews,
                  and David Skeie

     The views expressed in the publications and papers summarized in Research Update are those of the authors and
     do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.

                   F e d e r a l R e s e r v e B a n k o f N e w Yo r k

To top