Economic Research

New From Liberty Street Economics
Is There a Future for Credit Default Swap Futures?
As long as the costs of trading credit default swap (CDS) futures are lower than the costs of trading centrally cleared swaps, incentives to develop a CDS futures contract will remain. The future success of such hybrid credit swap futures depends on the ability of a financial provider to design a contract that would successfully price in the probability that constituents might default.
By Or Shachar
Just Released: New Source for Perspective on Regional Household Debt and Credit
The New York Fed has released the first installment of the Household Debt and Credit Report for the Second District, a series that will track credit conditions and consumer borrowing and repayment behavior in New York, New Jersey, Connecticut, and each of the five boroughs of New York City on a biannual basis. A complement to our Quarterly Report on Household Debt and Credit, this series will offer a more detailed look at conditions in the region.
By Michael Gedal, Stephanie Rosoff, and Joelle Scally
Historical Echoes: Santa Claus as Legal Tender
Before the U. S. Treasury Department was given exclusive rights to produce legal tender in 1861, U.S. banks created thousands of different styles of bank notes—including holiday-themed currency featuring Santa Claus.
By Megan Cohen
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The FRBNY DSGE Model
In recent work, economists described the New York Fed’s dynamic stochastic equilibrium model, assessed its forecasting accuracy, and shared source code used for model estimation.
Research Topics in Focus: College grads
Is College Worth It?
Students in recent years have been paying more to attend college and earning less upon graduation—trends that have raised questions about whether a college education remains a good investment. But research from economists Jaison Abel and Richard Deitz finds that the benefits of college still tend to outweigh the costs.
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International Banking Research Network
This New York Fed-hosted microsite describes an initiative of central bank researchers who are engaged in a coordinated study of global banks and their activities internationally.
Recent Articles
Option-Implied Term Structures
The illiquidity of long-maturity options has made it difficult to study the term structures of option-spanning portfolios. Vogt proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity.
By Erik Vogt, Staff Reports 706, December 2014
Hybrid Intermediaries
Today’s complex bank holding companies are the best example of hybrid intermediaries, but Cetorelli argues that financial firms from the “nonbank” space can just as easily evolve into conglomerates with a similar organizational structure, thus acquiring the capability to engage in financial intermediation.
By Nicola Cetorelli, Staff Reports 705, December 2014
Banks' Incentives and the Quality of Internal Risk Models
Plosser and Santos investigate the incentives for banks to bias internally generated risk estimates.
By Matthew C. Plosser and João A. C. Santos, Staff Reports 704, December 2014
Asset Pricing with Horizon-Dependent Risk Aversion
The authors investigate the implications of horizon-dependent risk aversion for both the level and the term structure of risk premia.
By Marianne Andries, Thomas Eisenbach, and Martin C Schmalz, Staff Reports 703, December 2014
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