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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 3

2007

ResearchUpdate
Research and Statistics Group

www.newyorkfed.org/research

Counterparty Credit Risk Management Is Best Defense
against Systemic Risk Linked to Hedge Funds

D

espite the unique risk challenges
practices, note the authors. The practices
posed by hedge funds, the practices
are used to assess credit risk and limit
used by financial institutions to
counterparty exposure. Hedge funds,
manage counterparty credit risk are still
however, complicate CCRM because of
the best starting point for limiting the
their unrestricted trading strategies, libfunds’ potential for generating systemic
eral use of leverage, opacity to outsiders,
disruptions, according to a study forthand convex compensation structure. The
coming in the Economic Policy Review.
authors examine how these characterisIn “Hedge Funds, Financial
tics may generate market failures that
Intermediation, and Systemic Risk,”
make counterparty credit risk for expoauthors John Kambhu, Til Schuermann,
sures to hedge funds intrinsically more
and Kevin Stiroh explain that hedge
difficult to manage, both for banks and
funds have become key players in the
for policymakers concerned with sysU.S. and global capital markets, managing
temic risk.
assets estimated at nearly $1.5 trillion in
The study acknowledges that certain
2006. A key channel through which
market failures, such as the events surlargely unregulated hedge funds interact
rounding the 1998 collapse of the hedge
with regulated financial institutions such
fund Long-Term Capital Management,
as banks is prime brokerage
have shown CCRM to be imperfect.
relationships, which expose
Also in this issue...
banks to counterparty
credit risk through the
Trends suggest a decline in U.S. market
extension of credit to the
competitiveness, but not where many think. . . . . . . . . . . . . . 2
funds.
Staff Reports: New titles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
Banks’ first line of
Papers recently published by Research Group economists. . . . 8
defense against market
Papers presented at conferences. . . . . . . . . . . . . . . . . . . . . . . . . 9
disruptions with potential
Call for papers on the money markets . . . . . . . . . . . . . . . . . . . 11
systemic consequences is
Other new publications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
their counterparty credit
Publications and papers: July-September . . . . . . . . . . . . . . . . 12
risk management (CCRM)

RV oe ls ue ma rec h9 , U Np du amtbee r■ 2N, u2m0b0e6r 3 , 2 0 0 7

Yet Kambhu, Schuermann, and Stiroh
observe that CCRM practices have
improved markedly in recent years, citing
such developments as enhanced risk
management techniques by counterparties, improved supervision, more effective
disclosure and transparency, strengthened
financial infrastructures, and more efficient hedging and risk distribution techniques. They add that the institutionalization of hedge funds, driven by the
demands of new investors such as hedge

funds of funds and other institutional
investors, is also increasing discipline and
transparency.
Accordingly, the authors conclude that
“the current emphasis on market discipline
and CCRM as the primary check on
hedge fund risk-taking is appropriate,”
and that CCRM “remains the best line of
defense against systemic risk.”
The article is available at
www.newyorkfed.org/research/epr/
forthcoming/0708kamb.html.

2

Trends Suggest a Decline in U.S. Market Competitiveness,
But Not Where Many Think

O

ver the past few years, there has
been growing concern that the U.S.
capital markets are losing market
share to overseas competitors. Indeed,
many observers have singled out the
decline in the number of foreign initial
public offerings (IPOs) on the New York
Stock Exchange and the NASDAQ as
evidence of the U.S. equity markets’
waning appeal.
A new study, however, suggests that
this downward trend does not necessarily
point to an erosion in U.S. competitiveness (“Evaluating the Relative Strength
of the U.S. Capital Markets,” Current
Issues in Economics and Finance, vol. 13,
no. 6). Author Stavros Peristiani instead
attributes the decline in foreign IPOs to
factors that are also shaping equity markets abroad, such as the tech sector’s
boom-and-bust cycle and advances made
by competing financial markets. Any
signs of eroding U.S. competitiveness, he
says, are more likely to be seen in the
corporate bond market.

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

Peristiani explains that the NYSE’s
and NASDAQ’s generally dwindling
numbers of new listings in recent years
in part reflect the effects of the tech sector and are comparable to trends in other
markets. The NYSE’s drop in new issues
in the 1990s owed to fierce competition
from the NASDAQ, which attracted hightech issuers in increasing numbers. The
NASDAQ’s status as a high-tech market,
though, made it more vulnerable to the
Internet collapse at the turn of the century, and the exchange saw a dramatic
slowdown in new listings after 2000. Yet
Peristiani notes that the collapse of the
dot-com industry did not impact the U.S.
markets alone—it also caused a significant
slowdown in IPO activity in overseas
venues such as Euronext, Deutsche Börse,
and the Hong Kong Stock Exchange.
Moreover, the shrinkage in foreign
IPOs does not necessarily mean that U.S.
equity markets are less attractive in an
absolute sense, according to the author.
Rather, markets overseas are advancing

www.newyorkfed.org/research

and therefore achieving parity with their
U.S. counterparts. He observes that other
countries are now more prosperous, have
deeper pools of capital, and offer more
liquid and sophisticated financial markets
that adhere to strengthened corporate
governance principles. Thus, more competitive and integrated equity markets
now have the capital depth to retain their
home companies.
“Overall,” Peristiani argues, “the
NYSE and the NASDAQ continue to be
the world’s most actively traded markets,”
despite these developments.
The study suggests that clearer evidence of a deterioration in competitiveness can be found in the U.S. corporate
bond market—a key funding source for
U.S. and foreign corporations. Here,
“some signs of eroding U.S. strength are
showing.”
The author points out that in 1995,
the U.S. bond market issued about twice
as much as the Eurobond market, but

today it trails its European counterpart in
corporate bond issuances. Throughout
the 1990s, the European financial system
underwent a major transformation stemming from financial liberalization, a
reduced reliance on banks as intermediaries between savers and borrowers, and
the euro’s emergence as a leading global
currency. These developments have lowered underwriting costs abroad, explains
Peristiani, and helped the Eurobond
market surpass the U.S. bond market as
the world’s largest site for debt underwritings. He adds that “the self-regulatory
environment and greater variety of
financing instruments offered by the
Eurobond market have been especially
appealing to top-rated U.S. financial
issuers.”
The article is available at www.newyorkfed
.org/research/current_issues/ci13-6.html.

Publications and Papers
The Research and Statistics Group produces a wide range of publications:
■

The Economic Policy Review—a policy-oriented journal focusing on economic
and financial market issues.

■

EPR Executive Summaries—online versions of selected Economic Policy Review
articles, in abridged form.

■

Current Issues in Economics and Finance—concise studies of topical economic
and financial issues.

■

Second District Highlights—a regional supplement to Current Issues.

■

Staff Reports—technical papers intended for publication in leading economic
and finance journals, available only online.

■

Publications and Other Research—an annual catalogue of our research output.

Research and Statistics Group

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Research Update

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Number 3, 2007

New Titles in the Staff
Reports Series
The following new staff reports are available at www.newyorkfed.org/research/
staff_reports.

4

previous studies; however, they cover a
much larger set of countries. The authors
combine their estimates with evidence on
unemployment and labor force participation rates to impute steady-state worker
flows for twenty-three of the countries in
their sample.

MACROECONOMICS
AND GROWTH

INTERNATIONAL

No. 294, July 2007
Monetary Regime Change
and Business Cycles
Vasco Cúrdia and Daria Finocchiaro

No. 295, July 2007
The Long-Run Determinants
of U.S. External Imbalances
Andrea Ferrero

This paper analyzes how changes in monetary policy regimes influence the business
cycle in a small open economy. The
authors estimate a dynamic stochastic general equilibrium (DSGE) model on Swedish
data, explicitly taking into account the
1993 monetary regime change from
exchange rate targeting to inflation targeting.
The results confirm that monetary policy
reacted primarily to exchange rate movements in the target zone and to inflation in
the inflation-targeting regime. Devaluation
expectations were the principal source of
volatility in the target zone period. In the
inflation-targeting period, labor supply and
preference shocks have become relatively
more important.

Ferrero develops a tractable two-country
model with life-cycle structure to investigate analytically and quantitatively three
potential determinants of the U.S. external
imbalances in the last three decades: productivity growth, demographic factors, and
fiscal policy. The results suggest that: 1) productivity growth differentials are the main
driving force at high frequencies, 2) the
different evolution of demographic factors
across countries accounts for a large portion of the long-run trend, and 3) fiscal
policy plays, at best, a minor role. The
author’s main prediction is that among
industrialized countries, capital should
generally be expected to flow toward
relatively young and rapidly growing
economies. In addition, the paper shows
that international demographic trends
might be partly responsible for the recent
declining pattern of the world real interest rate.

No. 298, August 2007
Job-Finding and Separation Rates
in the OECD
Bart Hobijn and Ay egül ahin.
Hobijn and ahin provide a set of comparable estimates of aggregate monthly jobfinding and separation rates for twentyseven OECD (Organisation for Economic
Co-operation and Development) countries;
these estimates can be used for the crosscountry calibration of search models of
unemployment. They find that cross-country
differences in job-finding rates are much
greater than those in separation rates.
These results are quantitatively and qualitatively in line with those published 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

MICROECONOMICS
No. 300, September 2007
Can Increasing Private School
Participation and Monetary Loss in a
Voucher Program Affect Public School
Performance? Evidence from Milwaukee
Rajashri Chakrabarti
The Milwaukee voucher program, as implemented in 1990, allowed only nonsectarian
private schools to participate in the program.
However, following a Wisconsin Supreme

www.newyorkfed.org/research

Court ruling, the program was expanded to
include religious private schools in 1998.
In addition, because of some funding
changes, the revenue loss per student from
vouchers increased. Chakrabarti analyzes,
both theoretically and empirically, the
effects of these changes on public school
performance, as measured by test scores, in
Milwaukee. She argues that voucher design
matters and that the choice of parameters
in a voucher program is crucial in determining the effects of public school incentives and performance. In the context of a
theoretical model of public school and
household behavior, the author predicts
that the policy changes will lead to an
improvement in public school performance
and then finds that this prediction is validated empirically.
No. 301, September 2007
Effect of Redrawing of Political
Boundaries on Voting Patterns: Evidence
from State Reorganization in India
Rajashri Chakrabarti and Joydeep Roy
This paper analyzes the effect of a redrawing of political boundaries on voting patterns and investigates whether it leads to
closer conformity of an electorate’s voting
patterns with its political preferences.
Chakrabarti and Roy study these issues
both theoretically and empirically in the
context of a reorganization of states in
India. In 2000, Madhya Pradesh, the
biggest state in India, was subdivided into
Madhya Pradesh and Chhattisgarh. Using
detailed data on state elections in Madhya
Pradesh and Chhattisgarh, the authors find
that voting patterns in the two regions were
very similar before reorganization, but
strikingly different afterwards, with a relative shift in Chhattisgarh toward its inherent political preferences. These findings
are consistent with those obtained from the
theoretical model and are also robust to
various sensitivity checks.

BANKING AND FINANCE
No. 290, July 2007
Has the Credit Default Swap Market
Lowered the Cost of Corporate Debt?
Adam B. Ashcraft and João A. C. Santos
Ashcraft and Santos evaluate the effect that
the onset of credit default swap (CDS)
trading has on the spreads that underlying
firms pay at issue when they seek funding
in the corporate bond and syndicated loan
markets. Employing matched-sample methods,
the authors find no evidence that the onset
of CDS trading affects the cost of debt
financing for the average borrower. However,
they do find economically significant
adverse effects to risky and informationally
opaque firms. It appears that the onset of
CDS trading reduces the effectiveness of
the lead bank’s retained share in resolving
any asymmetric information problems that
exist between a lead bank and nonlead
participants in a loan syndicate.
No. 291, July 2007
Hedge Funds, Financial Intermediation,
and Systemic Risk
John Kambhu, Til Schuermann, and Kevin J. Stiroh
Hedge funds are major players in the U.S.
capital markets, but differ from other market participants in key ways, such as their
use of a wide range of complex trading
strategies and instruments, leverage, opacity
to outsiders, and compensation structure.
The traditional bulwark against financial
market disruptions with potential systemic
consequences has been the set of counterparty credit risk management (CCRM)
practices by the core of regulated institutions. The characteristics of hedge funds
make CCRM more difficult as they exacerbate market failures linked to agency problems, externalities, and moral hazard.
While various market failures may make
CCRM imperfect, it remains the best
defense against systemic risk.

Research and Statistics Group

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Research Update

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Number 3, 2007

No. 292, July 2007
Market Sidedness: Insights into Motives
for Trade Initiation
Asani Sarkar and Robert A. Schwartz

No. 296, August 2007
Rediscounting under Aggregate Risk
with Moral Hazard
James T. E. Chapman and Antoine Martin

Sarkar and Schwartz infer motives for trade
initiation from market sidedness. They
define trading as more two-sided (onesided) if the correlation between the numbers of buyer- and seller-initiated trades
increases (decreases), and assess changes in
sidedness (relative to a control sample)
around events that identify trade initiators.
Consistent with asymmetric information,
trading is more one-sided prior to merger
news. Consistent with belief heterogeneity,
trading is more two-sided: 1) before earnings and macro announcements with
greater dispersions of analyst forecasts, and
2) after earnings and macro news events
with larger announcement surprises. A
simultaneous equation system is used to
examine the co-determinacy of sidedness,
the bid-ask spread, volatility, the number
of trades, and the order imbalance.

In a 1999 paper, Freeman proposes a
model in which discount window lending
and open market operations have different
outcomes. Freeman’s conclusion that the
central bank should absorb losses related
to default to provide risk sharing goes
against the concern that central banks
should limit their exposure to credit risk.
Chapman and Martin extend Freeman’s
model by introducing moral hazard. With
moral hazard, the central bank should
avoid absorbing losses, contrary to
Freeman’s argument. However, the authors
show that the outcomes of discount window
lending and open market operations can
still be distinguished in this new framework. The optimal policy would be for the
central bank to make a restricted number
of creditors compete for funds. By restricting the number of agents, the central bank
can limit the moral hazard problem.

No. 293, July 2007
Public Disclosure, Risk, and Performance
at Bank Holding Companies
Beverly Hirtle
Hirtle examines the relationship between
the amount of information disclosed by
bank holding companies (BHCs) and their
subsequent risk profile and performance.
Using data from the annual reports of
BHCs with large trading operations, she
constructs an index of publicly disclosed
information about the BHCs’ forward-looking
estimates of market risk exposure in their
trading and market-making activities. She
then examines the relationship between
this index and the subsequent risk and
return in both the BHCs’ trading activities
and the firm overall, as proxied by equity
market returns. The key findings are that
more disclosure is associated with lower
risk, especially idiosyncratic risk, and in
turn with higher risk-adjusted returns.

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. 297, August 2007
Vesting and Control in Venture
Capital Contracts
David R. Skeie
Vesting of equity payments to an entrepreneur, which is a form of time-contingent
compensation, is very common in venture
capital contracts. Skeie shows in a theoretical model that incomplete contracts due to
hold-up by the venture capitalist imply that
equity compensation, in the form of either
short-term or long-term vesting, cannot
provide standard contractible equity incentives for the entrepreneur to take an unobservable action involving effort. He
introduces a new model of effort based on
a verifiable choice of an effort-intensive
project, for which the short-term vesting of
equity can provide incentives, but which
results in a trade-off between incentives
and screening. Contingent control rights

www.newyorkfed.org/research

are a substitute for short-term vesting and
provide the largest incentives for effort.
No. 299, August 2007
How Do Treasury Dealers Manage
Their Positions?
Michael J. Fleming and Joshua V. Rosenberg
Using data on U.S. Treasury dealer positions from 1990 to 2006, Fleming and
Rosenberg find evidence of a significant
role for dealers in the intertemporal intermediation of new Treasury security supply.
Dealers regularly take into inventory a
large share of Treasury issuance so that
dealer positions increase during auction
weeks. These inventory increases are only
partially offset in adjacent weeks and are
not significantly hedged with futures.
Dealers seem to be compensated for the
risk associated with these inventory
changes by means of price appreciation
in the subsequent week.
No. 302, September 2007
Patterns of Rainfall Insurance
Participation in Rural India
Xavier Giné, Robert Townsend,
and James Vickery
This paper describes the contract design
and institutional features of an innovative
rainfall insurance policy offered to smallholder farmers in rural India and presents
preliminary evidence on the determinants
of insurance participation. Insurance take-

up is found to be decreasing in basis risk
between insurance payouts and income
fluctuations, higher among wealthy households, and lower among households that
are credit constrained. These results match
predictions of a simple neoclassical model
appended with borrowing constraints.
Other patterns are less consistent with the
benchmark model. Namely, participation in
village networks and measures of familiarity
with the insurance vendor are strongly
correlated with insurance take-up decisions,
and risk-averse households are found to be
less, not more, likely to purchase insurance.
No. 303, September 2007
The Microstructure of Cross-Autocorrelations
Tarun Chordia, Asani Sarkar,
and Avanidhar Subrahmanyam
This paper examines the mechanism through
which the incorporation of information into
prices leads to cross-autocorrelations in
stock returns. The lead-lag relation
between large and small stocks increases
with lagged spreads of large stocks. Further,
order flows in large stocks significantly predict the returns of small stocks when large
stock spreads are high. This effect is consistent with the notion that trading on common information takes place first in the
large stocks and is then transmitted to
smaller stocks with a lag, suggesting that
price discovery takes place in the large
stocks. ■

Research and Statistics Group

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Research Update

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Number 3, 2007

Recently Published
Morten Bech and Bart Hobijn. 2007.
“Technology Diffusion within Central
Banking: The Case of Real-Time Gross
Settlement.” International Journal of
Central Banking 3, no. 3 (September):
147-81.
Stefano Eusepi. 2007. “Learnability and
Monetary Policy: A Global Perspective.”
Journal of Monetary Economics 54, no. 4
(May): 1115-31.

8

Rebecca Hellerstein. 2007. “Is There a
Dead Spot? New Evidence on FOMC
Decisions before Elections.” Journal of
Money, Credit, and Banking 39, no. 6
(September): 1411-27.
James Kahn and Robert Rich. 2007.
“Tracking the New Economy: Using
Growth Theory to Identify Changes in
Trend Productivity.” Journal of Monetary
Economics 54, no. 6 (September):
1670-1701.
Paolo Pesenti. 2007. “Productivity, Terms
of Trade, and the ‘Home Market Effect,’”
with Giancarlo Corsetti and Philippe
Martin. Journal of International Economics
73, no. 1 (September): 99-127.

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

Argia Sbordone. 2007. “Inflation
Persistence: Alternative Interpretations
and Policy Implications.” Journal of
Monetary Economics 54, no. 5 (July):
1311-39. Carnegie-Rochester Conference
Series on Public Policy: Issues in Current
Monetary Policy Analysis.
Tanju Yorulmazer. 2007. “Network Models
and Financial Stability,” with Erlend Nier,
Jing Yang, and Amadeo Alerton. Journal
of Economic Dynamics and Control 31,
no. 6 (June): 2033-60. Tenth Workshop
on Economic Heterogeneous Interacting
Agents—WEHIA 2005.
Tanju Yorulmazer. 2007. “Too Many to
Fail–An Analysis of Time-Inconsistency
in Bank Closure Policies,” with Viral V.
Acharya. Journal of Financial
Intermediation 16, no. 1 (January): 1-31.
George Zanjani. 2007. “Regulation,
Capital Structure, and the Evolution
of Organizational Form in U.S. Life
Insurance.” American Economic Review
97, no. 3 (June): 973-83. ■

www.newyorkfed.org/research

Papers Presented by Economists
in the Research and Statistics
Group
“Hedge Fund Tail Risk,” Tobias Adrian.
Mannheim University seminar, Mannheim,
Germany, September 3. With Markus
Brunnermeier. Also presented at a
Columbia University seminar, New York City,
September 12, and a Princeton University
conference, Princeton, New Jersey,
September 21.
“Liquidity and Leverage,” Tobias Adrian.
Baruch College seminar, New York City,
September 27.
“Endogenous Productivity and Development
Accounting,” Roc Armenter. NBER
Summer Institute workshop, Cambridge,
Massachusetts, July 11. With Amartya
Lahiri.
“Intertemporal Distortions in the Second
Best,” Roc Armenter. Society for
Economic Dynamics annual meeting,
Prague, Czech Republic, July 2.
With Stefania Albanesi.
“Precautionary Reserves and the
Interbank Market,” Adam Ashcraft, James
McAndrews, and David Skeie. Seventh
Annual Bank Research Conference,
cosponsored by the Federal Deposit
Insurance Corporation’s Center for
Financial Research and the Journal of
Financial Services Research, Arlington,
Virginia, September 21.
“Optimal Monetary Policy under Sudden
Stops,” Vasco Cúrdia. European Central
Bank conference, Frankfurt, Germany,
August 15. Also presented at a Columbia
University seminar, New York City,
September 11.

“Does Determinacy Imply E-Stability?”
Stefano Eusepi. Society for Computational
Economics 13th International Conference
on Computing in Economics and Finance,
Montréal, Canada, June 15. With James
Bullard.
“Learning as a Propagation Mechanism,”
Stefano Eusepi. Society for Economic
Dynamics annual meeting, Prague, Czech
Republic, June 27. With Bruce Preston.
“Stabilizing Expectations under Monetary
and Fiscal Coordination,” Stefano Eusepi.
Society for Computational Economics
13th International Conference on
Computing in Economics and Finance,
Montréal, Canada, June 14. With Bruce
Preston.
“Fiscal and Monetary Rules for a Currency
Union,” Andrea Ferrero. Joint European
meeting of the European Economic
Association and the Econometric Society,
Budapest, Hungary, August 30.
“The Long-Run Determinants of the U.S.
Trade Deficit,” Andrea Ferrero. Joint
European meeting of the European
Economic Association and the Econometric
Society, Budapest, Hungary, August 29.
“A Framework for Identifying the Sources
of Local Currency Price Stability with an
Empirical Application,” Rebecca Hellerstein.
NBER Summer Institute workshop,
Cambridge, Massachusetts, July 12. With
Pinelopi Goldberg. Also presented at a
Central European University seminar,
Budapest, Hungary, August 25.
“Housing Prices and Growth,” James Kahn.
Society for Economic Dynamics annual
meeting, Prague, Czech Republic, July 3.

Research and Statistics Group

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Research Update

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Number 3, 2007

“Bank Runs and Institutions: The Perils of
Intervention,” Todd Keister. International
Monetary Fund Research Department seminar, Washington, D.C., August 14. With
Huberto M. Ennis.

“Integrated Risk Management and
Economic Capital,” Til Schuermann. Risk
Magazine conference, New York City,
July 11. Also presented at the Norwegian
Computing Center, Oslo, Norway, August 30.

“Commitment and Equilibrium Bank
Runs,” Todd Keister. Society for Economic
Dynamics annual meeting, Prague, Czech
Republic, July 2. With Huberto M. Ennis.
Also presented at a Pennsylvania State
University Department of Economics
seminar, University Park, Pennsylvania,
September 12.

“Interest Rates and Consumer Choice in
the Residential Mortgage Market,” James
Vickery. Bank of England research seminar, London, England, July 12. Also presented at a Barclays Global Investors
seminar, London, England, July 13; Asset
Pricing Conference, Centre for Economic
Policy Research, Gerzensee, Switzerland,
July 19; and the Recent Developments
in Consumer Credit and Payments
Conference, sponsored by the Federal
Reserve Bank of Philadelphia,
Philadelphia, Pennsylvania, September 21.

“Varieties and the Transfer Problem:
The Extensive Margin of Current Account
Adjustment,” Paolo Pesenti. NBER
Summer Institute workshop, Cambridge,
Massachusetts, July 12. With Giancarlo
Corsetti and Philippe Martin.
“Liquidity, Returns, and Investor
Heterogeneity in the Corporate Bond
Markets,” Asani Sarkar. Central Bank of
Hungary conference, Budapest, Hungary,
September 15. With Robert Guo and
Til Schuermann.
“Market Sidedness and Clustering: Insights
into Market Structure Issues,” Asani
Sarkar. McMaster University seminar,
Toronto, Canada, September 18. With Robert
Schwartz.
“Credit Risk Management in the Murky
Middle Market,” Til Schuermann. Risk
Management Association conference,
New York City, June 28.

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

“Patterns of Rainfall Insurance
Participation in Rural India,” James
Vickery. Asset Pricing Conference, Centre
for Economic Policy Research, Gerzensee,
Switzerland, July 17. With Xavier Giné
and Robert Townsend.
“Federal Financial Exposure to
Catastrophe Risk,” George Zanjani.
American Risk and Insurance Association
annual meeting, Québec City, Canada,
August 10. With J. David Cummins and
Michael Suher. ■

www.newyorkfed.org/research

Call for Papers on the Money Markets

O

n May 29-30, 2008, the Federal
Reserve Bank of New York will host
the conference “The Role of Money
Markets.” The sessions, cosponsored by
the Bank and Columbia Business School,
will bring together scholars and policymakers interested in the theoretical and
applied aspects of these markets.
Authors are invited to submit papers
on theoretical and applied topics (in PDF
format with fonts embedded) by January 15.

Of special interest are papers that investigate the potential effect on money markets if the Federal Reserve begins paying
interest on bank reserves in 2011.
Please send submissions to
leo.bartolini@ny.frb.org or
jamie.mcandrews@ny.frb.org.
For more information: www.newyorkfed
.org/research/conference/2008/
role_money_mkts.html.

11

Other New Publications
■

Upstate New York At-A-Glance: In “A Brain Drain or an Insufficient Brain Gain?”
(Number 2, August), Richard Deitz examines the in- and out-migration patterns of
college-educated workers and considers implications for upstate New York.

■

Upstate New York Regional Review: “The Demand for Local Services and Infrastructure
Created by an Aging Population” (Volume 2, Number 1). Upstate New York, with a
growing senior population, is seeing a rise in the number of frail and disabled elderly
who rely on locally provided services and infrastructure. Richard Deitz and Ramon
Garcia consider the region’s ability to meet this increasing demand in an environment already beset by slow economic growth and fiscal stress.
www.newyorkfed.org/research/regional/index.html

Research and Statistics Group

Research Update

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Number 3, 2007

Research and Statistics Group
Publications and Papers:
July-September 2007

No. 292, July 2007
Market Sidedness: Insights into
Motives for Trade Initiation
Asani Sarkar and Robert A. Schwartz

Publications are available at
www.newyorkfed.org/research/
publication_annuals/index.html.

No. 293, July 2007
Public Disclosure, Risk, and Performance
at Bank Holding Companies
Beverly Hirtle

ECONOMIC POLICY REVIEW

No. 294, July 2007
Monetary Regime Change
and Business Cycles
Vasco Cúrdia and Daria Finocchiaro

Forthcoming
Hedge Funds, Financial Intermediation,
and Systemic Risk
John Kambhu, Til Schuermann,
and Kevin J. Stiroh

CURRENT ISSUES IN
ECONOMICS AND FINANCE,
VOL. 13
No. 6, July 2007
Evaluating the Relative Strength
of the U.S. Capital Markets
Stavros Peristiani
No. 7, August 2007
Job Growth in New York and New
Jersey: Mid-2007 Review and Outlook
Jason Bram, James Orr, and Rae Rosen
Second District Highlights
No. 8, September 2007
Is the United States Losing
Its Productivity Advantage?
Mary Amiti and Kevin Stiroh

STAFF REPORTS
No. 290, July 2007
Has the Credit Default Swap Market
Lowered the Cost of Corporate Debt?
Adam B. Ashcraft and João A. C. Santos
No. 291, July 2007
Hedge Funds, Financial
Intermediation, and Systemic Risk
John Kambhu, Til Schuermann,
and Kevin J. Stiroh

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. 295, July 2007
The Long-Run Determinants
of U.S. External Imbalances
Andrea Ferrero
No. 296, August 2007
Rediscounting under Aggregate Risk
with Moral Hazard
James T. E. Chapman and Antoine Martin
No. 297, August 2007
Vesting and Control in Venture
Capital Contracts
David R. Skeie
No. 298, August 2007
Job-Finding and Separation Rates
in the OECD
Bart Hobijn and Ay egül ahin
No. 299, August 2007
How Do Treasury Dealers Manage
Their Positions?
Michael J. Fleming and Joshua V. Rosenberg
No. 300, September 2007
Can Increasing Private School
Participation and Monetary Loss in a
Voucher Program Affect Public School
Performance? Evidence from Milwaukee
Rajashri Chakrabarti

www.newyorkfed.org/research

No. 301, September 2007
Effect of Redrawing of Political
Boundaries on Voting Patterns:
Evidence from State Reorganization
in India
Rajashri Chakrabarti and Joydeep Roy

No. 303, September 2007
The Microstructure of CrossAutocorrelations
Tarun Chordia, Asani Sarkar, and
Avanidhar Subrahmanyam

No. 302, September 2007
Patterns of Rainfall Insurance
Participation in Rural India
Xavier Giné, Robert Townsend,
and James Vickery

13

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.

Research and Statistics Group