Publications

April 2001 (Revised August 2001)
Case

Risk Management at Apache

After initiating a hedging strategy, Apache Corp. is interested in revisiting its decision to determine if hedging is value-adding. This case investigates how the company initially decided to hedge against commodity price risk and how it implemented its hedging... View Details

Keywords: Risk Management; Investment; Corporate Finance

Educators

March 2015
Article

Monetary Policy and Long-Term Real Rates

By: Samuel G. Hanson and Jeremy C. Stein

Changes in monetary policy have surprisingly strong effects on forward real rates in the distant future. A 100 basis point increase in the two-year nominal yield on a Federal Open Markets Committee announcement day is associated with a 42 basis point increase in the... View Details

Keywords: Policy; Interest Rates; Economics

31 Aug 2009
Research & Ideas

Why Competition May Not Improve Credit Rating Agencies

model has the obvious risk of generating pressure to be friendly toward issuers, especially issuers that generate a lot of ratings business (e.g., they have a lot of outstanding debt and issue many bonds).... View Details

Keywords: by Martha Lagace; Financial Services

June 2016
Article

Local Currency Sovereign Risk

By: Wenxin Du and Jesse Schreger

We introduce a new measure of emerging market sovereign credit risk: the local currency credit spread, defined as the spread of local currency bonds over the synthetic local currency risk-free rate constructed using cross-currency swaps. We find that local currency... View Details

Keywords: Risk and Uncertainty; Sovereign Finance; Currency; Emerging Markets

22 Jul 2009
Working Paper Summaries

Reputation and Competition: Evidence from the Credit Rating Industry

Keywords: by Bo Becker & Todd Milbourn; Financial Services

August 2021
Article

Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates

By: Samuel G. Hanson, David O. Lucca and Jonathan H. Wright

Long-term nominal interest rates are surprisingly sensitive to high-frequency (daily or monthly) movements in short-term rates. Since 2000, this high-frequency sensitivity has grown even stronger in U.S. data. By contrast, the association between low-frequency changes... View Details

Keywords: Conundrum; Investor Demand; Monetary Policy Transmission; Interest Rates

1994
Other Unpublished Work

Losing Interest: Interest Allocation Rules and the Cost of Debt Finance

By: K. A. Froot and J. Hines

Keywords: Accounting; Corporation Taxation; Interest Deductibility; Cost Of Capital; Corporate Finance; Borrowing and Debt; Financing and Loans; Interest Rates

September 1984
Article

The Evolution of Market Risk in the U.S. Steel Industry and Implications for Required Rates of Return

By: Carliss Y. Baldwin, J. J. Tribendis and J. P. Clark

Keywords: Risk and Uncertainty; Markets; Investment Return; Steel Industry

March 2009 (Revised September 2011)
Case

UBS and Auction Rate Securities (A)

By: Daniel Baird Bergstresser, Shawn A. Cole and Siddharth Bhaskar Shenai

UBS, a global financial services company, must decide whether to continue to support the market for Auction Rate Securities in the face of a growing financial crisis. These instruments, underwritten by UBS, were marketed to clients as highly liquid and safe... View Details

Keywords: Cost vs Benefits; Financial Crisis; Asset Pricing; Financial Liquidity; Financial Instruments; Government Legislation; Risk and Uncertainty; Financial Services Industry

Educators

2023
Working Paper

Uniform Rate Setting and the Deposit Channel

By: Juliane Begenau and Erik Stafford

U.S. banks predominantly use uniform deposit rate setting policies, particularly the largest banks. Uniform rate setting ignores local market concentration, and is therefore inconsistent with the identification strategy used to provide cross-sectional evidence of the... View Details

Keywords: Banks and Banking; Financial Markets; Interest Rates; Banking Industry

March 2005 (Revised February 2006)
Case

Advising on Currency Risk at ICICI Bank

In March 2003, a client approached the Markets Advisory Group at ICICI Bank, India's second largest bank, about a hedging transaction. The hedge involved multiple interest rates and currencies. Shilpa Kumar, head of the Markets Advisory Group, has to put together a... View Details

Keywords: Risk and Uncertainty; Currency Exchange Rate; Capital Markets; Investment Funds; Banks and Banking; Banking Industry; Financial Services Industry; India

Educators

15 Aug 2007
Op-Ed

3 Steps to Reduce Financial System Risk

structured products. New Investors, New Risk For the purposes of analyzing the implications for systemic risk, the new investors bring 2 important characteristics into play. First, many rely on external risk... View Details

Keywords: by Mohamed El-Erian; Financial Services; Banking

18 Oct 2013
Working Paper Summaries

Monetary Policy Drivers of Bond and Equity Risks

Keywords: by John Y. Campbell, Carolin E. Pflueger & Luis M. Viceira

April 2024
Article

Demand-and-Supply Imbalance Risk and Long-Term Swap Spreads

By: Samuel G. Hanson, Aytek Malkhozov and Gyuri Venter

We develop and test a model in which swap spreads are determined by end users' demand for and constrained intermediaries’ supply of long-term interest rate swaps. Swap spreads reflect compensation both for using scarce intermediary capital and for bearing convergence... View Details

Keywords: Swap Spreads; Credit Derivatives and Swaps; Interest Rates; Risk and Uncertainty; Volatility

06 Jan 2012
Op-Ed

Where Green Corporate Ratings Fail

political process or give extra credit to those advocating for environmental policies. If nothing else, these programs should revoke green distinction from members whose contributions undermine such regulation. By currently failing to include policy advocacy measures,... View Details

Keywords: by Michael Toffel & Auden Schendler; Information; Publishing

2024
Working Paper

Bank Runs and Interest Rates: A Revolving Lines Perspective

By: Falk Bräuning and Victoria Ivashina

Revolving credit is at the core of the banking business. Corporate revolving credit lines are demandable claims; thus, similar to a traditional bank run on deposits, sudden widespread drawdowns on credit lines can be destabilizing to the banking sector. However, we... View Details

Keywords: Financial Liquidity; Credit; Financial Crisis; Interest Rates; Banks and Banking

SSRN

2023
Working Paper

Interest-Rate Risk and Household Portfolios

By: Sylvain Catherine, Max Miller, James Paron and Natasha Sarin

How are households exposed to interest-rate risk? When rates fall, households face lower future expected returns but those holding long-term assets—disproportionately the wealthy and middle-aged—experience capital gains. We study the hedging demand for long-term assets... View Details

Keywords: Portfolio Choice; Social Security; Interest Rates; Investment Portfolio; Equality and Inequality; Welfare

1977
Working Paper

Mitigating Demographic Risk Through Social Insurance

By: Jerry R. Green

A two-period lifetime overlapping generations growth model is used to evaluate the possibility that social insurance can effectively offset economic risks associated with uncertainty about the rate of population growth. Crude measures of the seriousness of this type of... View Details

Keywords: Social Insurance; Econometric Models; Public Sector; Government Administration; Policy; Human Needs; Social Issues; Risk and Uncertainty

Article

Design and Testing of a Mobile Health Application Rating Tool

By: David Levine, Zo Co, Lisa Newmark, Alissa Groisser, A Jay Holmgren, Jennifer Haas and David Bates

Mobile health applications (“apps”) have rapidly proliferated, yet their ability to improve outcomes for patients remains unclear. A validated tool that addresses apps’ potentially important dimensions has not been available to patients and clinicians. The objective of... View Details

Keywords: Health; Mobile Technology; Design; Analysis