• Measuring Interest Rate Risk: Duration
• Models of Asset Pricing
• Market for Gold
• Loanable Funds Framework

Chapter by Chapter

• Chapter 5 - Understanding Interest Rates
  Measuring Monetary Policy by Ben Bernanke and Ilian Mihov, Quarterly Journal of Economics ,113:3, Aug. 1998, pages 869-902. See page 893 for time evolution of GDP, GDP deflator, and Federal Funds rate in response to a 25 basis point cut in the Federal Funds Rate.

  >
• Chapter 6 - Risk and Term Structure
  • Bond Credit Rating , from Wikipedia. Note the table of historical default rates for the different categories.
  • Moody's Note the different categories, and browse to find ratings news.
  • The Yield Curve as a Leading Indicator See especially the brief article by Arturo Estrella and Frederic Mishkin, The Yield Curve as a Predictor of US Recessions
  • Fed Paper Looks at Yield Curve-Recession Connection by Phil Izzo, Wall Street Journal blog, Aug. 29, 2007. Of interest not only for the summary of the paper by Glenn Rudebusch and John C. Williams, but even more for the quote from Ben Bernake: "I would not interpret the currently flat yield curve as indicating a significant economic slowdown to come."
• Chapter 7 - Stock Markets, Rational Expectations and Efficent Markets
  • Efficient Markets? Reading list for paper.

• Chapter 8 - Economic Analysis of Financial Structure

  • Summary of Mishkin, Chapter 8
    Asymmetric Information Problems and Crisis.

  • Over the Cliff: From the Subprime to the Global Financial Crisis by Frederic Mishkin, Journal of Economic Perspectives, 25:1 (Winter, 2011), pp. 49-70.

  • The Crisis: Basic Mechanisms and Appropriate Policies by Olivier Blanchard, IMF Working Paper 09-80, April 2009.
    Very clear exposition of the mechanism of the crisis.

  • Graphs of the Crisis TED Spread, ABCP (Sign in and go to account)
    • TED spread
    • Asset-Backed Commercial Paper Outstanding
    • Weekly Reserve Balances

    • Notes on the Italian crisis

    • Many Alarms Rang Before MF Global Crashed in Ruins by Susanne Craig, Ben Protess and Michael J. de la Merced, New York Times November 2, 2011. The failure of Jon Corzine's company, MF Global.

    • The Credit Crunch by Ben Bernanke and Cara S. Lown. Brookings Papers on Economic Activity, 2:1991, pages 205-247. The credit crunch of 1990-1, especially severe in New England.
    • Questions and Answers about the Financial Crisis by Gary Gorton. Prepared for the US Financial Crisis Inquiry Commission, Feb. 20, 2010.

      The Crisis of 2007-2009
      Additional readings.

    • Bibliography on the Financial Crisis

      Central Banks and their Policies
      Links to Bank of International Settlements and European Central Banks

    • Monetary Policy
      Links to studies of the principles and practice of monetary policy.
    • Crisis and Responses: The Federal Reserve in the Early Stages of the Financial Crisis by Stephen G. Cecchetti, Journal of Economic Perspectives , 23:1 (Winter, 2009), pp. 51-75.
    • Chart of the Day: Morgan Stanley Bailout Edition by Felix Salmon, Reuters website, 28 Nov. 2011. Salmon begins: "Ladies and Gentlemen, this is what a lender of last resort looks like." For more data on the actions of the Fed during the crisis, go to:
    • The Fed's Secret Liquidity Lifelines by Bloomberg.com Business Week, Nov. 2011.

    • Crisis in Europe and Central Bank action
      • Crisis in Europe Tightens Credit Across the Globe by Eric Dash and Nelson D. Schwartz, New York Times, Nov. 29, 2011. What happens when a banking crisis hits.
      • Can the US Decouple from the Eurozone? by Tim Duy, at Economist's View. Nov. 28,2011
      • Central Banks Augment Currency Swap Capabilities by James Hamilton, Econbrowser, 30 Nov. 2011. Explanation of what this means.
      • Is Anything Better Yet? by Tim Duy, at Economist's View. Nov. 30,2011
      • Central Banks take Joint Action to Ease Debt Crisis by Binyamin Appelbaum, New York Times Nov. 30, 2011.
      • Adventures with Coordinated Statements, Central Banking Edition by Felix Salmon, Reuters blog, Nov. 30, 2011. Nice link to BNP Paribas explanation of the crisis, with diagram.
      • Europe's Liquidity Crisis by Felix Salmon, Reuters blog, Nov. 14, 2011. See the diagram on TARP versus Fed Quantitative Easing program

    • Central Banking Chapters 12 and 16 of Mishkin
      • Rethinking Central Banking by Barry Eichengreen, Hyun Song Shin, et al.
        Nice overview of the problems of Central Banking after the crisis; includes regulatory and financial stability policy as well as monetary policy.

        ---

      • Market Monetarism by Niklas Blanchard on Modeled Behavior . Overview of Market Monetarism, with link to a more detailed paper.
      • Interview with Scott Sumner by Kelly Evans of the Wall Street Journal. Clear explanation of market monetaryism>

      • Central Bankers and their Banks Links to information about who is who.

  • Macroeconomics Review
    • the Circular Flow
    • National Income and Product Accounts -- Definitions
    • Cost of living measures and inflation -- Definitions
    • Money and the Federal Reserve System
    • Answers to questions on GDP (Bernanke, Ch. 6)
    • Answers to questions on CPI and Inflation (Bernanke, Ch. 7)
    • The Fisher Effect
    • Answers to questions on Money and the Federal Reserve (Bernanke, Ch. 10)
    • Answers to questions on Financial Markets (Bernanke, Ch. 11)

  • Text website with multiple choice questions and Web links, chapter by chapter.

  • Interview with Frederic Mishkin
    by Gary Stern, President, FRBank of Minneapolis.

  Federal Reserve
  The above link will open another window, with links to the FOMC, to Fed branches, and to statistical releases.

  Banking

  • American Banking Association
  • Independent Community Bankers Association
  • Credit Union National Association

  Money

  • Power Points on Money
  • Questions on Money and the Federal Reserve from Case, Fair and Oster Macroeconomics
    Slides I use in my introductory macro class.

  • The Economic Organization of a P.O.W. Camp
    by R.A. Radford, Economica, 12:48 (Nov. 1945), Pages 189-201.
    Are cigarettes money? Reflections of an English economist in a German prisoner of war camp.
  • Yapping about Money
    Are big stones money? Link (and picture) from Mark Thoma to an article by Michael Bryan of the Federal Reserve Bank of Cleveland on the stone money of the island of Yap.
  • Money Stock Measures
    Click the PDF link at the top for the latest data from the Federal Reserve.

  Banking

  • WhAT is a bank?
    Brad deLong on the definition of a bank and the recent mortgage meltdown.

  • Corrupt Banking System
    A conspiracy theorist, sure -- but an intelligent conspiracy theorist, with a good elementary presentation. Later videos in the series become much more arguable and strident, though the second one is a decent basic explanation of the money multiplier.

  • Assets and Liabilities of Commercial Banks
    Federal Reserve Statistics on banking. Click the PDF link at the top for the latest report.

  Financial markets

  • Financial Market Update from Yahoo.
  • Bond rates from Yahoo.
  • SP 500 index

  • Treasury Direct
    How you can own a piece of the national debt.
    Auction Announcements and Results especially for the 26-week bill are of interest.

  • SIFMA
    The Security Industry and Capital Markets Association has especially good coverage of the bond market. Its latest Research Report (Aug., 2007) is worth printing.
    The SIFMA Economic Outlook (June, 2007) reads more than a little optimistically in September, but print this off too.
    SIFMA also supplies statistics on the bond market and the money market.

  • SIFMA Securities Industry Fact Book for 2002 (newer editions are for sale) gives a nice overview of the industry, including stock markets.

  • Global Economic Forum by Morgan Stanley is a very good survey of the international aspects of securities markets. This offers:
    • a Global Strategy Bulletin by Richard Berner on the current risks for the global economy, and

    • commentary by Stephen Roach on economic developments.

  Interest Rates

  • Investing in Bonds from Money Magazine. The basics.

  • Martin Capital Advisors has a nice set of summary charts to illustrate interest rates (and other economic data).

• Current Interest Rates Federal Reserve Statistical Release H.15.

• Data Archive from Financial Times Select "Bonds and Rates" from the pull-down menu.

• Corporate Market at a Glance Check the "Most Active Bonds" link and look at how bonds are quoted.

• The HP12c Financial Calculator
  E.F. Moody (from the bond rating family) tells you never to trust anyone who cannot calculate present values and future values and yield to maturity.
  He is right. Recommended to accompany: Bob Steiner, Making Financial Calculations Financial Times, 1997. [Note: a financial calculator will not be required for this course, but students should be aware of the importance of the topic, and aware that the calculations required are NOT trivial.]
• HP12C simulation software
  Shareware from RLM Software; free to try, $ 16 to buy.
  Guides for the HP12C from Hewlett-Packard; the
  Guide to Time Value of Money is the place to begin after mastering the basics.

• Duration and Convexity of Bonds
  by Robert M.Conroy (U.Virginia)
  Not required for this class, but a clear presentation of some advanced topics touched on in the text.

Monetary Policy

• Federal Reserve Bulletin Statistical Supplement
  See especially:
  • Federal Reserve Banks for the balance sheet of the Fed itself.
  • Commercial Banks in the United States for the aggregate balance sheet of all commercial banks.
  • Aggregate Reserves and Monetary Base for the components of the monetary base. Note that this allows calculation of excess reserves, which are from one to two billion. Compare to deposits, at 6.5 trillion, so you can compute Mishkin's e as = 2.0 / 6,500 = .0003 at the most. (Actually, this neglects deposits at savings and loans).
  • Reserve Requirements.
    Note that only transaction deposits of more than $ 8.5 million have any reserve requirement, and that only 3 percent unless over 45.8 million (when the reserve requirement is 10 percent).

  September 8, 2011 Monetary and Fiscal Policy proposals presented by Ben Bernanke and Barack Obama, along with Charles Evans, Narayana Kocherlakota, Paul Krugman, John Taylor, David Brooks.

  Notes -- interesting items