James P. Dow

Fixed costs and the behavior of the federal funds rate

Abstract This paper presents an equilibrium model of the federal funds market that ties movements in the funds rate to changes in the supply of reserves and to a fixed cost facing banks that borrow at the discount window. It is found that the existence of the fixed cost is capable of explaining a number of features of the funds market. In particular, it is critical for explaining occasional instances of extremely high funds rates. It also provides an explanation for heterogeneous behavior across banks towards the discount window and for higher average funds rates at the end of maintenance periods.

The Demand for Excess Reserves

This paper provides an estimate of the demand for excess reserves in the United States. It finds that excess reserves are negatively related to the Federal funds rate and positively related to transactions deposits. It also finds that clearing needs significantly affect the demand for reserves with increases in excess reserves coming in response to lower required reserve balances and higher clearing volume. Some implications for monetary policy are discussed.

The Recent Behavior of Adjustment Credit at the Discount Window

This paper examines the behavior of adjustment credit at the Federal Reserve discount window over the period 1990 to 1997. It finds that, in spite of the decline in the traditional borrowing function, the relationship still contains information that is important for the execution of monetary policy. In particular, the paper shows the usefulness of distinguishing between the spread between the targeted Federal Funds rate and the discount rate and the spread between the actual Federal Funds rate and the targeted rate. The paper also demonstrates the potential importance of using high frequency data.

Restricted Stock Discounts: An Empirical Analysis

Abstract Examining 416 transactions over the 1996 to 2013 time period, we find that size, stock price volatility, block size, price-to-revenue, and EBITDA margin are significantly related to restricted stock discounts. We do not find registration rights or the initial holding period to be statistically significantly related to discounts. Our results suggest that simple correlations or sorting of discounts by various criteria do not capture what factors are statistically significantly related to restricted stock discounts in the complex world of private placement deals.

Attitudes towards credit after the Great Recession

ABSTRACT The US Survey of Consumer Finances provides a rich but underutilized source of data measuring attitudes towards credit. Using this data, this article finds there a great degree of heterogeneity in attitudes; however, the distribution of these attitudes has shifted only moderately after the financial crisis, with households on average only becoming a bit more conservative. There is evidence that age, race and gender affect attitudes towards credit, most noticeably when attitudes are broken down by specific credit use rather than credit in general.

Neighbourhood Effects and Asset Allocation

Previous research has shown racial/ethnic effects in asset allocation. We extend these results by showing how these effects depend on the racial composition of the neighbourhood. In particular, we show that in predominately white neighbourhoods there are significant differences in asset allocations across racial groups; however, in mixed or white minority neighbourhoods, this difference disappears. We also find that Asians, a previously understudied group, show a greater willingness to hold risky assets compared with other groups.