
Jose A. Lopez
Vice President
Financial Research
Credit risk, Supervisory ratings, Financial volatility
CV (pdf, 117.63 kb)
Working Papers
Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement
2018-09 | With Christensen and Mussche | July 2018
abstract (+)Why Have Negative Nominal Interest Rates Had Such a Small Effect on Bank Performance? Cross Country Evidence
2018-07 | With Rose and Spiegel | June 2018
abstract (+)Uncertainty and Hyperinflation: European Inflation Dynamics after World War I
2018-06 | With Mitchener | June 2018
abstract (+)Calibrating Macroprudential Policy to Forecasts of Financial Stability
2017-17 | With Brave | August 2017
abstract (+)Is There an On-the-Run Premium in TIPS?
2017-10 | With Christensen and Shultz | September 2017
abstract (+)Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?
2014-03 | With Christensen and Rudebusch | January 2014
abstract (+)How Does Competition Impact Bank Risk-Taking?
2007-23 | With Jimenez and Saurina | September 2007
abstract (+)Determinants of Access to External Finance: Evidence from Spanish Firms
2007-22 | With Lago Gonzales and Saurina | September 2007
abstract (+)Heat Waves, Meteor Showers, and Trading Volume: Volatility Spillovers in the U.S. Treasuries Market
FRBSF 99-09 | With Fleming | July 1999
Published Articles (Refereed Journals and Volumes)
Monitoring Banking System Connectedness with Big Data
Forthcoming in Journal of Econometrics (Annals) | With Hale
abstract (+)Pricing Deflation Risk with U.S. Treasury Yields
Review of Finance 20, 2016, 1107-1152 | With Christensen and Rudebusch
abstract (+)A Probability-Based Stress Test of Federal Reserve Assets and Income
Journal of Monetary Economics 73, 2015, 26-43 | With Christensen and Rudebusch
abstract (+)Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
Journal of Business and Economic Statistics 32(1), January 2014, 136-151 | With Christensen and Rudebusch
abstract (+)Foreign Entry into Underwriting Services: Evidence from the Japanese Big Bang Deregulation
Journal of Money, Credit and Banking 46, 2014, 445-468 | With Spiegel
abstract (+)Extracting Deflation Probability Forecasts from Treasury Yields
International Journal of Central Banking 8(4), December 2012, 21-60 | With Christensen and Rudebusch
abstract (+)Bond Currency Denomination and the Yen Carry Trade
In Asia and China in the Global Economy, ed. by Y W Cheung and G Ma, 2012. 245-282 | With Candelaria and Spiegel
abstract (+)Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields
Journal of Money, Credit, and Banking 42, September 2010, 143-178 | With Christensen and Rudebusch
abstract (+)Empirical Analysis of Corporate Credit Lines
Review of Financial Studies 22(12), December 2009, 5069-5098 | With Jimenez and Saurina
abstract (+)Empirical Analysis of the Average Asset Correlation for Real Estate Investment Trusts
Quantitative Finance 9(2), May 2009, 217-229
abstract (+)Using Securities Market Information for Bank Supervisory Monitoring
International Journal of Central Banking 4(1), March 2008, 125-164 | With Krainer
abstract (+)Regional Economic Conditions and Aggregate Bank Performance
In Research in Finance, 24, ed. by A. Chen | Bingley, UK: Emerald Group Publishing, 2008. 103-127 | With Daly and Krainer
abstract (+)Foreign Intermediation in Japan During the Lost Decade
In China and Asia: Economic and Financial Interactions, Proceedings of the 2006 Asian Pacific Economic Association Conference, ed. by Yin-Wong Cheung and Kar-Yiu Wong | London: Routledge, 2008. 197-214 | With Spiegel
abstract (+)EAD Calibration for Corporate Credit Lines
Journal of Risk Management in Financial Institutions 2, 2008, 121-129 | With Jimenez and Saurina
abstract (+)Alternative Measures of the Federal Reserve Banks’ Cost of Equity Capital
Journal of Banking and Finance 30(6), June 2006, 1687-1711 | With Barnes
abstract (+)Exchange Rate Cointegration Across Central Bank Regime Shifts
In Research in Finance, 22, chap. 12, ed. by A.H. Chen, 2005. 327-356
abstract (+)Financial Structure and Macroeconomic Performance over the Short and Long Run
In Macroeconomic Implications of Post-Crisis Structural Changes, ed. by L.J. Cho, D. Cho, and Y.H. Kim | Seoul: Korea Development Institute, 2005. 75-103 | With Spiegel
abstract (+)Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework
Journal of Financial Econometrics 3, Winter 2005, 126-168 | With Ferreira
abstract (+)Incorporating Equity Market Information into Supervisory Monitoring Models
Journal of Money, Credit, and Banking 36(6), December 2004, 1043-1067 | With Krainer
abstract (+)The Empirical Relationship between Average Asset Correlation, Firm Probability of Default, and Asset Size
Journal of Financial Intermediation 13(2), April 2004, 265-283
abstract (+)Discussant’s Comments on ‘Market Indicators, Bank Fragility and Indirect Market Discipline’ by Gropp, Vesala, and Vulpes
FRB New York Economic Policy Review 10, 2003, 67-72
Formulating the Imputed Cost of Equity Capital for Priced Services at Federal Reserve Banks
FRB New York Economic Policy Review 9(3), September 2003, 55-81 | With Green and Wang
abstract (+)Forecasting Supervisory Ratings Using Securities Market Information
In Corporate Governance: Implications for Financial Services Firms. The 39th Annual Conference on Bank Structure and Financial Services Firms | Chicago: FRB Chicago, 2003 | With Krainer
abstract (+)Supervisory and Regulatory Concerns Regarding Bank Internal Ratings Systems
In Credit Ratings: Methodologies, Rationale and Default, ed. by Ong | London: Risk Books, 2002. 305-314 | With Saidenberg
abstract (+)Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework
Journal of Risk 3(3), 2001, 69-98 | With Walter
abstract (+)Evaluating the Predictive Accuracy of Volatility Models
Journal of Forecasting 20(2), March 2001, 87-109
abstract (+)Geometric Relationships in a Currency Trio
Derivatives Quarterly 6, Spring 2000, 14-21 | With Walter
abstract (+)Is Implied Correlation Worth Calculating? Evidence from Foreign Exchange Options
Journal of Derivatives 7(3), Spring 2000 | With Walter
The Development of Internal Models Approaches to Bank Regulation and Supervision: Lessons from the Market Risk Amendment
In Bank Fragility and Regulation: Evidence from Different Countries, ed. by Kaufman | Amsterdam: Elsevier Science, 2000. 239-254 | With Saidenberg
Evaluating Credit Risk Models
Journal of Banking and Finance 24, 2000, 151-167 | With Saidenberg
abstract (+)Supervisory Information and the Frequency of Bank Examinations
FRB New York Economic Policy Review 5(1), 1999, 1-20 | With Hirtle
Regulatory Evaluation of Value-at-Risk Models
Journal of Risk 1, 1999, 37-64
How Effective Is Lifeline Checking in Assisting the ‘Unbanked’?
FRB New York Current Issues in Economics and Finance, 1998 | With Doyle and Saidenberg
Forecast Evaluation and Combination
In The Handbook of Statistics: Statistical Methods in Finance, 14, ed. by Maddala and Rao | Amsterdam: North-Holland, 1996. 241-268 | With Diebold
Modeling Volatility Dynamics
In Macroeconometrics: Developments, Tensions, and Prospects, ed. by Hoover | Boston: Kluwer Academic Publishing, 1995. 427-466 | With Diebold
Competitiveness in the Eurocredit Market
In International Competitiveness of U.S. Financial Firms: Products, Markets, and Conventional Performance Measures | New York: FRB New York, 1991. 26-41 | With Balder and Sweet
FRBSF Publications
Measuring Interest Rate Risk in the Very Long Term
Economic Letter 2017-12 | April 24, 2017 | With Christensen and Mussche
Do All New Treasuries Trade at a Premium?
Economic Letter 2017-03 | February 6, 2017 | With Christensen and Shultz
Differing Views on Long-Term Inflation Expectations
Economic Letter 2016-11 | April 4, 2016 | With Christensen
Assessing Supervisory Scenarios for Interest Rate Risk
Economic Letter 2015-29 | September 8, 2015 | With Christensen
Stress Testing the Fed
Economic Letter 2014-08 | March 24, 2014 | With Christensen and Rudebusch
Challenges in Economic Capital Modeling
Economic Letter 2010-19 | June 21, 2010
Gauging Aggregate Credit Market Conditions
Economic Letter 2009-32 | October 19, 2009
Do Supervisory Rating Standards Change Over Time?
Economic Review | 2009 | With Krainer
What Is Liquidity Risk?
Economic Letter 2008-33 | October 24, 2008
The Economics of Private Equity Investments: Symposium Summary
Economic Letter 2008-08 | February 29, 2008
Corporate Access to External Financing
Economic Letter 2007-31 | October 19, 2007
U.S. Supervisory Standards for Operational Risk Management
Economic Letter 2007-11 | May 4, 2007
Financial Innovations and the Real Economy: Conference Summary
Economic Letter 2007-05 | March 2, 2007 | With Doms and Fernald
Concentrations in Commercial Real Estate Lending
Economic Letter 2007-01 | January 5, 2007
What Is the Federal Reserve Banks’ Imputed Cost of Equity Capital?
Economic Letter 2006-06 | April 7, 2006 | With Barnes
Recent Policy Issues Regarding Credit Risk Transfer
Economic Letter 2005-34 | December 2, 2005
Stress Tests: Useful Complements to Financial Risk Models
Economic Letter 2005-14 | June 24, 2005
Outsourcing by Financial Services Firms: The Supervisory Response
Economic Letter 2004-34 | November 26, 2004
Supervising Interest Rate Risk Management
Economic Letter 2004-26 | September 17, 2004
Policy Applications of a Global Macroeconomic Model
Economic Letter 2004-14 | June 11, 2004 | With Dennis
The Current Strength of the U.S. Banking Sector
Economic Letter 2003-37 | December 19, 2003 | With Krainer
Monitoring Debt Market Information for Bank Supervisory Purposes
Economic Letter 2003-35 | November 28, 2003 | With Krainer
Disclosure as a Supervisory Tool: Pillar 3 of Basel II
Economic Letter 2003-22 | August 1, 2003
How Financial Firms Manage Risk
Economic Letter 2003-03 | February 14, 2003
Using Equity Market Information to Monitor Banking Institutions
Economic Letter 2003-01 | January 24, 2003 | With Krainer
How Might Financial Market Information Be Used for Supervisory Purposes?
Economic Review | 2003 | With Krainer
Off-Site Monitoring of Bank Holding Companies
Economic Letter 2002-15 | May 17, 2002 | With Krainer
What Is Operational Risk?
Economic Letter 2002-02 | January 25, 2002
Financial Instruments for Mitigating Credit Risk
Economic Letter 2001-34 | November 23, 2001
Federal Reserve Banks’ Imputed Cost of Equity Capital
Economic Letter 2001-23 | August 10, 2001
Modeling Credit Risk for Commercial Loans
Economic Letter 2001-12 | April 27, 2001
Patterns in the Foreign Ownership of U.S. Banking Assets
Economic Letter 2000-35 | November 24, 2000
Volatility Spillovers in the U.S. Treasury Market
Economic Letter 2000-04 | February 18, 2000