Creator: Townsend, Robert M., 1948- and Wallace, Neil Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 209 Abstract:
We use a model of pure, intertemporal exchange with spatially and information-ally separated markets to explain the existence of private securities which circulate and, hence, play a prominent role in exchange. The model, which utilizes a perfect foresight equilibrium concept, implies that a Schelling-type coordination problem can arise. It can happen that the amounts of circulating securities that are required to support an equilibrium and that are issued at the same time in informationally separated markets must satisfy restrictions not implied by individual maximization and market clearing in each market separately.
Stichwort: Debts, Schelling pure coordination game, and Trade Fach: G14 - Information and Market Efficiency; Event Studies; Insider Trading and D51 - Exchange and Production Economies
Creator: Boyd, John H., Daley, Lane A., 1953-, and Runkle, David Edward Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 515 Abstract:
This paper examines the seasonal pattern of accruals for loan-loss provisions and chargeoffs chosen by bank managers. Using the existing literature on intra-year discretionary accruals, knowledge of the incentive systems used to evaluate bank managers' performance, and various regulatory characteristics, we predict that accruals for provisions and chargeoffs will cluster in the fourth quarter of each year. We examine quarterly data for 105 large bank holding companies from the first quarter of 1980 through the fourth quarter of 1990. Our results indicate that: (1) provisions and chargeoffs are clustered in the fourth quarter, (2) this clustering is not related to the level of business activity of the banks, (3) the proximity of a bank's actual capital to its regulatory capital requirement does not affect this clustering, and (4) current provisions are affected both by current chargeoffs and by expectations about future chargeoffs. To examine whether the systematic characteristics of these loan-loss provision and chargeoff decisions are understood by users, we also estimate a quarterly equity valuation model in which quarterly provisions should be differentially weighted to reflect their seasonal characteristics. We find strong evidence to indicate that equity prices behave as if the market participants take these seasonal properties into account.
Stichwort: Loan-loss provision, Charge-off, Seasonality, Loan losses, Bank lending, Loans, and Banks Fach: G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages and G14 - Information and Market Efficiency; Event Studies; Insider Trading
Creator: Hansen, Gary D. (Gary Duane) and Prescott, Edward C. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 507 Beschreibung:
Presented at the ASSA meetings in Anaheim, CA.
Stichwort: Technology shock, Recession, 1990, Labor, Technological shocks, Productivity, Knowledge, and 1991 Fach: G14 - Information and Market Efficiency; Event Studies; Insider Trading and O33 - Technological Change: Choices and Consequences; Diffusion Processes