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and Tao Zha for helpful comments and Janet Colter for editorial assistance.
Brown Bag series for helpful comments. The views expressed here are the authors' and do not necessarily represent the views of the Federal Reserve Bank of Atlanta or the Federal Reserve System. Abstract Morningstar is the leading information intermediary in the mutual fund marketplace, and is widely believed to influence fund investors. The discreteness of… (More)
whose detailed comments have significantly improved the article's argument and exposition. Bryan Acree and Jeff Johnson provided able research assistance.
Analyzing 916 CDOs, we find that a top credit rating agency frequently made positive adjustments beyond its main model that amounted to 12.1% larger AAA tranche sizes. These adjustments are difficult to explain by likely determinants, but exhibit a clear pattern: CDOs with smaller model-implied AAA sizes receive larger adjustments. CDOs with larger… (More)
Because psychiatrists cannot include everything they observe and everything the patient says in the medical chart, they must select and tailor what goes into the chart. They should tailor the chart to focus on what is significant for the diagnosis and treatment of the patient. However, sometimes they tailor the chart for other purposes: to ensure that… (More)
Because the contractual features of defaultable securities are usually complex and it may be difficult to find comparable securities for which to observe prices, valuation based on simple rules of thumb is often infea-sible. For example, one may have to value an interest rate swap subject to termination if one of the parties has its credit downgraded, and… (More)
Bank, and the 2003 Financial Management Association meetings for comments and helpful discussions. Stivers is also a Visiting Scholar at the Federal Reserve Bank of Atlanta. The views expressed in this article are those of the authors and do not necessarily reflect the position of the Federal Reserve Bank of Atlanta or the Federal Reserve System. Please… (More)
One of the most important auction markets in the world today is that of U.S. Treasury securities; approximately $2 trillion worth of Treasury securities was auctioned in 1995. As in other auctions, a set of rules determines how bids are used to determine prices; this set of rules makes up the format of the Treasury auction. A long-standing debate (dating… (More)
The mortgage backed securities market has dramatically declined during the credit crunch of 2007-2008. To understand the factors driving its demise we utilise a latent factor model representing common effects, asset rating effects, vintage of issuance effects and liquidity effects-extending the recent representation of CDO pricing in Longstaff and Rajan… (More)
This article arises from two related research programs. One examines the relationship between financial development and economic growth. The basic conclusion from this work is that countries that experience greater financial development also experience faster rates of economic growth and higher levels of income per capita umbrella also are studies that test… (More)