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    <title>EconStor Collection: Staff Reports, Federal Reserve Bank of New York</title>
    <link>http://hdl.handle.net/10419/60475</link>
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      <title>Intermediary leverage cycles and financial stability</title>
      <link>http://hdl.handle.net/10419/62944</link>
      <description>Title: Intermediary leverage cycles and financial stability
&lt;br/&gt;
&lt;br/&gt;Authors: Adrian, Tobias; Boyarchenko, Nina
&lt;br/&gt;
&lt;br/&gt;Abstract: We develop a theory of financial intermediary leverage cycles in the context of a dynamic model of the macroeconomy. The interaction between a production sector, a financial intermediation sector, and a household sector gives rise to amplification of fundamental shocks that affect real economic activity. The model features two state variables that represent the dynamics of the economy: the net worth and the leverage of financial intermediaries. The leverage of the intermediaries is procyclical, owing to risk-sensitive funding constraints. Relative to an economy with constant leverage, financial intermediaries generate higher output and consumption growth and lower consumption volatility in normal times, but at the cost of systemic solvency and liquidity risks. We show that tightening intermediaries' risk constraints affects the systemic risk-return trade-off by lowering the likelihood of systemic crises at the cost of higher pricing of risk. Our model thus represents a conceptual framework for cyclical macroprudential policies within a dynamic stochastic general equilibrium model.</description>
      <pubDate>Sat, 29 Oct 2011 22:58:59 GMT</pubDate>
    </item>
    <item>
      <title>Mismatch unemployment</title>
      <link>http://hdl.handle.net/10419/62943</link>
      <description>Title: Mismatch unemployment
&lt;br/&gt;
&lt;br/&gt;Authors: Sahin, Aysegul; Song, Joseph; Topa, Giorgio; Violante, Giowanni L.
&lt;br/&gt;
&lt;br/&gt;Abstract: We develop a framework where mismatch between vacancies and job seekers across sectors translates into higher unemployment by lowering the aggregate job-finding rate. We use this framework to measure the contribution of mismatch to the recent rise in U.S. unemployment by exploiting two sources of cross-sectional data on vacancies, JOLTS and HWOL, a new database covering the universe of online U.S. job advertisements. Mismatch across industries and occupations explains at most one-third of the total observed increase in the unemployment rate, whereas geographical mismatch plays no apparent role. The share of the rise in unemployment explained by occupational mismatch is increasing in the education level.</description>
      <pubDate>Sat, 29 Oct 2011 22:58:59 GMT</pubDate>
    </item>
    <item>
      <title>Is there an S&amp;P 500 Index effect?</title>
      <link>http://hdl.handle.net/10419/62942</link>
      <description>Title: Is there an S&amp;P 500 Index effect?
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&lt;br/&gt;Authors: Kasch, Maria; Sarkar, Asani
&lt;br/&gt;
&lt;br/&gt;Abstract: We find that the firms included in the S&amp;P 500 index are characterized by large increases in earnings, appreciation in market value, and positive price momentum in the period preceding their index inclusion. This strong preinclusion performance predicts 1) the permanent increase in market value and 2) the change in return comovement, reflected in declines of size, value, and momentum betas, following index inclusion. Nonevent control firms with similar performance experience similar appreciation in value and changes in comovement coincident with the event firms. Our results indicate that - after accounting for the firms' extraordinary preinclusion performance - index inclusion has no permanent effect on value and comovement.</description>
      <pubDate>Fri, 29 Oct 2010 22:58:59 GMT</pubDate>
    </item>
    <item>
      <title>Do informal referrals leads to better matches? Evidence from a firm's employee referral system</title>
      <link>http://hdl.handle.net/10419/62941</link>
      <description>Title: Do informal referrals leads to better matches? Evidence from a firm's employee referral system
&lt;br/&gt;
&lt;br/&gt;Authors: Brown, Meta; Setren, Elizabeth; Topa, Giorgio
&lt;br/&gt;
&lt;br/&gt;Abstract: The limited nature of data on employment referrals in large business and household surveys has so far impeded our efforts to understand the relationships among employment referrals, match quality, wage trajectories, and turnover. Using a new firm-level data set that includes explicit information on whether a worker at the company was referred by a current employee, we are able to provide rich detail on these empirical relationships for a single U.S. corporation and to test various predictions of theoretical models of labor market referrals. Our results align with the following predictions: 1) referred candidates are more likely to be hired, 2) referred workers experience an initial wage advantage, 3) the wage advantage dissipates over time, 4) referred workers have longer tenure in the firm, and 5) the variances of the referred and nonreferred wage distributions converge over time. The richness of the data allows us to analyze the role of referrer-referee relationships, and the size and diversity of the corporation permit analysis of referrals at a wide variety of skill and experience levels.</description>
      <pubDate>Sat, 29 Oct 2011 22:58:59 GMT</pubDate>
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