Details about Jose A. Lopez

Workplace:

Economic Research, Federal Reserve Bank of San Francisco, (more information at EDIRC)

Access statistics for papers by Jose A. Lopez.

Last updated 2024-10-08. Update your information in the RePEc Author Service.

Short-id: plo1

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Working Papers

2023

1. Monitoring Banking System Connectedness with Big Data
   Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz
   Also in Working Paper Series, Federal Reserve Bank of San Francisco (2018) View citations (1)
   See also Journal Article Monitoring banking system connectedness with big data, Journal of Econometrics, Elsevier (2019) View citations (17) (2019)

2021

2. International Evidence on Extending Sovereign Debt Maturities
   Working Paper Series, Federal Reserve Bank of San Francisco
   See also Journal Article International evidence on extending sovereign debt maturities, Journal of International Money and Finance, Elsevier (2024) (2024)
3. Small Business Lending Under the PPP and PPPLF Programs
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (9)
   See also Journal Article Small business lending under the PPP and PPPLF programs, Journal of Financial Intermediation, Elsevier (2023) View citations (3) (2023)

2019

4. Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement
   Working Paper Series, Federal Reserve Bank of San Francisco
   See also Journal Article Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement, Management Science, INFORMS (2022) View citations (1) (2022)

2018

5. Calibrating Macroprudential Policy to Forecasts of Financial Stability
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (5)
   See also Journal Article Calibrating Macroprudential Policy to Forecasts of Financial Stability, International Journal of Central Banking, International Journal of Central Banking (2019) View citations (2) (2019)
6. Uncertainty and Hyperinflation: European Inflation Dynamics after World War I
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
   Also in Working Paper Series, Federal Reserve Bank of San Francisco (2018) View citations (2)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (4)
   CESifo Working Paper Series, CESifo (2018) View citations (4)
   See also Journal Article Uncertainty and Hyperinflation: European Inflation Dynamics after World War I, The Economic Journal, Royal Economic Society (2021) View citations (6) (2021)
7. Why Have Negative Nominal Interest Rates Had Such a Small Effect on Bank Performance? Cross Country Evidence
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (24)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (39)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (39)
   See also Journal Article Why have negative nominal interest rates had such a small effect on bank performance? Cross country evidence, European Economic Review, Elsevier (2020) View citations (74) (2020)

2017

8. Is There an On-the-Run Premium in TIPS?
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
   See also Journal Article Is There an On-the-Run Premium in TIPS?, Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd. (2020) View citations (4) (2020)

2014

9. Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (7)

2013

10. A Probability-Based Stress Test of Federal Reserve Assets and Income
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (6)
    Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2013) View citations (10)
    See also Journal Article A probability-based stress test of Federal Reserve assets and income, Journal of Monetary Economics, Elsevier (2015) View citations (39) (2015)

2012

11. Pricing deflation risk with U.S. Treasury yields
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (4)
    See also Journal Article Pricing Deflation Risk with US Treasury Yields, Review of Finance, European Finance Association (2016) View citations (5) (2016)

2011

12. Extracting deflation probability forecasts from Treasury yields
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (8)
    See also Journal Article Extracting Deflation Probability Forecasts from Treasury Yields, International Journal of Central Banking, International Journal of Central Banking (2012) View citations (19) (2012)

2010

13. Bond currency denomination and the yen carry trade
    Working Paper Series, Federal Reserve Bank of San Francisco
14. How Does Competition Impact Bank Risk-Taking?
    Working Papers, Banco de España View citations (53)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2007) View citations (66)

2009

15. Do central bank liquidity facilities affect interbank lending rates?
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (84)
    See also Journal Article Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) View citations (26) (2014)
16. EAD calibration for corporate credit lines
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (4)
17. Foreign entry into underwriting services: evidence from Japan's \"Big Bang\" deregulation
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
    See also Journal Article Foreign Entry into Underwriting Services: Evidence from Japan's “Big Bang” Deregulation, Journal of Money, Credit and Banking, Blackwell Publishing (2014) View citations (6) (2014)

2008

18. Empirical analysis of corporate credit lines
    Working Papers, Banco de España View citations (7)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2007) View citations (14)
    See also Journal Article Empirical Analysis of Corporate Credit Lines, The Review of Financial Studies, Society for Financial Studies (2009) View citations (86) (2009)
19. Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (14)
    See also Journal Article Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields, Journal of Money, Credit and Banking, Blackwell Publishing (2010) View citations (144) (2010)

2007

20. Competition and risk taking by Spanish banks
    Proceedings, Federal Reserve Bank of Chicago
21. Determinants of access to external finance: evidence from Spanish firms
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (3)

2006

22. Foreign bank lending and bond underwriting in Japan during the lost decade
    Working Paper Series, Federal Reserve Bank of San Francisco

2005

23. Alternative measures of the Federal Reserve banks' cost of equity capital
    Public Policy Discussion Paper, Federal Reserve Bank of Boston View citations (2)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2005) View citations (2)
    See also Journal Article Alternative measures of the Federal Reserve Banks' cost of equity capital, Journal of Banking & Finance, Elsevier (2006) View citations (17) (2006)
24. Empirical analysis of the average asset correlation for real estate investment trusts
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
    See also Journal Article Empirical analysis of the average asset correlation for real estate investment trusts, Quantitative Finance, Taylor & Francis Journals (2009) View citations (5) (2009)

2004

25. Evaluating interest rate covariance models within a value-at-risk framework
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
26. Using securities market information for bank supervisory monitoring
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (2)
    See also Journal Article Using Securities Market Information for Bank Supervisory Monitoring, International Journal of Central Banking, International Journal of Central Banking (2008) View citations (14) (2008)

2003

27. Does regional economic performance affect bank health? New analysis of an old question
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
28. Forecasting supervisory ratings using securities market information
    Proceedings, Federal Reserve Bank of Chicago View citations (3)

2002

29. Financial structure and macroeconomic performance over the short and long run
    Pacific Basin Working Paper Series, Federal Reserve Bank of San Francisco View citations (11)
30. The empirical relationship between average asset correlation, firm probability of default and asset size
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
    See also Journal Article The empirical relationship between average asset correlation, firm probability of default, and asset size, Journal of Financial Intermediation, Elsevier (2004) View citations (81) (2004)

2001

31. Incorporating equity market information into supervisory monitoring models
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (8)
    See also Journal Article Incorporating Equity Market Information into Supervisory Monitoring Models, Journal of Money, Credit and Banking, Blackwell Publishing (2004) View citations (49) (2004)
32. The Federal Reserve banks' imputed cost of equity capital
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (2)
    See also Journal Article Federal Reserve banks' imputed cost of equity capital, FRBSF Economic Letter, Federal Reserve Bank of San Francisco (2001) View citations (4) (2001)

2000

33. Evaluating covariance matrix forecasts in a value-at-risk framework
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (7)
34. Is implied correlation worth calculating? Evidence from foreign exchange options and historical data
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (20)
    Also in Research Paper, Federal Reserve Bank of New York (1997) View citations (2)

1999

35. Evaluating credit risk models
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (6)
    See also Journal Article Evaluating credit risk models, Journal of Banking & Finance, Elsevier (2000) View citations (43) (2000)
36. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (7)
    Also in Staff Reports, Federal Reserve Bank of New York (1999) View citations (11)

1998

37. Methods for evaluating value-at-risk estimates
    Research Paper, Federal Reserve Bank of New York View citations (30)
    See also Journal Article Methods for evaluating value-at-risk estimates, Economic Review, Federal Reserve Bank of San Francisco (1999) View citations (65) (1999)

1997

38. Regulatory evaluation of value-at-risk models
    Staff Reports, Federal Reserve Bank of New York View citations (18)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1996) View citations (5)
    Research Paper, Federal Reserve Bank of New York (1997) View citations (10)

1996

39. Exchange rate cointegration across central bank regime shifts
    Research Paper, Federal Reserve Bank of New York View citations (8)
40. Forecast Evaluation and Combination
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (331)
    Also in Research Paper, Federal Reserve Bank of New York (1995) View citations (39)

1995

41. Evaluating the predictive accuracy of volatility models
    Research Paper, Federal Reserve Bank of New York View citations (8)
    See also Journal Article Evaluating the Predictive Accuracy of Volatility Models, Journal of Forecasting, John Wiley & Sons, Ltd. (2001) View citations (97) (2001)
42. Measuring Volatility Dynamics
    NBER Technical Working Papers, National Bureau of Economic Research, Inc
43. Modeling volatility dynamics
    Research Paper, Federal Reserve Bank of New York View citations (43)
    Also in Home Pages, University of Pennsylvania View citations (15)

Journal Articles

2024

1. International evidence on extending sovereign debt maturities
   Journal of International Money and Finance, 2024, 141, (C)
   See also Working Paper International Evidence on Extending Sovereign Debt Maturities, Working Paper Series (2021) (2021)

2023

2. Small business lending under the PPP and PPPLF programs
   Journal of Financial Intermediation, 2023, 53, (C) View citations (3)
   See also Working Paper Small Business Lending Under the PPP and PPPLF Programs, Working Paper Series (2021) View citations (9) (2021)

2022

3. Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement
   Management Science, 2022, 68, (11), 8286-8300 View citations (1)
   See also Working Paper Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement, Working Paper Series (2019) (2019)

2021

4. Uncertainty and Hyperinflation: European Inflation Dynamics after World War I
   (Modeling and forecasting realized volatility)
   The Economic Journal, 2021, 131, (633), 450-475 View citations (6)
   See also Working Paper Uncertainty and Hyperinflation: European Inflation Dynamics after World War I, NBER Working Papers (2018) View citations (4) (2018)
5. What Would It Cost to Issue 50-year Treasury Bonds?
   FRBSF Economic Letter, 2021, 2021, (29), 05

2020

6. Calibrating Macroprudential Policies for the Canadian Mortgage Market
   C.D. Howe Institute Commentary, 2020, (570)
7. Is There an On-the-Run Premium in TIPS?
   Quarterly Journal of Finance (QJF), 2020, 10, (02), 1-42 View citations (4)
   See also Working Paper Is There an On-the-Run Premium in TIPS?, Working Paper Series (2017) View citations (1) (2017)
8. Small Business Lending during COVID-19
   FRBSF Economic Letter, 2020, 2020, (35), 01-05 View citations (3)
9. Why have negative nominal interest rates had such a small effect on bank performance? Cross country evidence
   European Economic Review, 2020, 124, (C) View citations (74)
   See also Working Paper Why Have Negative Nominal Interest Rates Had Such a Small Effect on Bank Performance? Cross Country Evidence, Working Paper Series (2018) View citations (24) (2018)

2019

10. Calibrating Macroprudential Policy to Forecasts of Financial Stability
    International Journal of Central Banking, 2019, 15, (1), 1-59 View citations (2)
    See also Working Paper Calibrating Macroprudential Policy to Forecasts of Financial Stability, Working Paper Series (2018) View citations (5) (2018)
11. Measuring Connectedness between the Largest Banks
    FRBSF Economic Letter, 2019
12. Monitoring banking system connectedness with big data
    Journal of Econometrics, 2019, 212, (1), 203-220 View citations (17)
    See also Working Paper Monitoring Banking System Connectedness with Big Data, Santa Cruz Department of Economics, Working Paper Series (2023) (2023)

2017

13. Do All New Treasuries Trade at a Premium?
    FRBSF Economic Letter, 2017 View citations (2)
14. Measuring Interest Rate Risk in the Very Long Term
    FRBSF Economic Letter, 2017

2016

15. Differing views on long-term inflation expectations
    FRBSF Economic Letter, 2016 View citations (1)
16. Pricing Deflation Risk with US Treasury Yields
    Review of Finance, 2016, 20, (3), 1107-1152 View citations (5)
    See also Working Paper Pricing deflation risk with U.S. Treasury yields, Working Paper Series (2012) View citations (4) (2012)

2015

17. A probability-based stress test of Federal Reserve assets and income
    Journal of Monetary Economics, 2015, 73, (C), 26-43 View citations (39)
    See also Working Paper A Probability-Based Stress Test of Federal Reserve Assets and Income, Working Paper Series (2013) View citations (6) (2013)
18. Assessing supervisory scenarios for interest rate risk
    FRBSF Economic Letter, 2015

2014

19. Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
    Journal of Business & Economic Statistics, 2014, 32, (1), 136-151 View citations (26)
    See also Working Paper Do central bank liquidity facilities affect interbank lending rates?, Working Paper Series (2009) View citations (84) (2009)
20. Foreign Entry into Underwriting Services: Evidence from Japan's “Big Bang” Deregulation
    Journal of Money, Credit and Banking, 2014, 46, (2-3), 445-468 View citations (6)
    See also Working Paper Foreign entry into underwriting services: evidence from Japan's \"Big Bang\" deregulation, Working Paper Series (2009) View citations (1) (2009)
21. Stress testing the Fed
    FRBSF Economic Letter, 2014

2013

22. How does competition affect bank risk-taking?
    Journal of Financial Stability, 2013, 9, (2), 185-195 View citations (251)

2012

23. Extracting Deflation Probability Forecasts from Treasury Yields
    International Journal of Central Banking, 2012, 8, (4), 21-60 View citations (19)
    See also Working Paper Extracting deflation probability forecasts from Treasury yields, Working Paper Series (2011) View citations (8) (2011)

2010

24. Challenges in economic capital modeling
    FRBSF Economic Letter, 2010, (jun21)
25. Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields
    Journal of Money, Credit and Banking, 2010, 42, (s1), 143-178 View citations (144)
    Also in Proceedings, 2009, (Jan) (2009) View citations (19)
    Journal of Money, Credit and Banking, 2010, 42, (s1), 143-178 (2010) View citations (38)
    See also Working Paper Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields, Working Paper Series (2008) View citations (14) (2008)

2009

26. Calibrating exposure at default for corporate credit lines
    Journal of Risk Management in Financial Institutions, 2009, 2, (2), 121-129 View citations (2)
27. Do supervisory rating standards change over time?
    Economic Review, 2009, 13-24 View citations (17)
28. Empirical Analysis of Corporate Credit Lines
    The Review of Financial Studies, 2009, 22, (12), 5069-5098 View citations (86)
    See also Working Paper Empirical analysis of corporate credit lines, Working Papers (2008) View citations (7) (2008)
29. Empirical analysis of the average asset correlation for real estate investment trusts
    Quantitative Finance, 2009, 9, (2), 217-229 View citations (5)
    See also Working Paper Empirical analysis of the average asset correlation for real estate investment trusts, Working Paper Series (2005) View citations (1) (2005)
30. Gauging aggregate credit market conditions
    FRBSF Economic Letter, 2009, (oct19)

2008

31. The economics of private equity investments: symposium summary
    FRBSF Economic Letter, 2008, (feb29)
32. Using Securities Market Information for Bank Supervisory Monitoring
    International Journal of Central Banking, 2008, 4, (1), 125-164 View citations (14)
    See also Working Paper Using securities market information for bank supervisory monitoring, Working Paper Series (2004) View citations (2) (2004)
33. What is liquidity risk?
    FRBSF Economic Letter, 2008, (oct24) View citations (4)

2007

34. Concentrations in commercial real estate lending
    FRBSF Economic Letter, 2007, (jan5) View citations (4)
35. Corporate access to external financing
    FRBSF Economic Letter, 2007, (oct19)
36. Financial innovations and the real economy: conference summary
    FRBSF Economic Letter, 2007, (mar2)
37. U.S. supervisory standards for operational risk management
    FRBSF Economic Letter, 2007, (may4)
38. `The Credit Default Swap Basis` by Dr Jose A. Lopez
    Journal of Risk Management in Financial Institutions, 2007, 1, (1), 117-118

2006

39. Alternative measures of the Federal Reserve Banks' cost of equity capital
    Journal of Banking & Finance, 2006, 30, (6), 1687-1711 View citations (17)
    See also Working Paper Alternative measures of the Federal Reserve banks' cost of equity capital, Public Policy Discussion Paper (2005) View citations (2) (2005)
40. What is the Federal Reserve banks' imputed cost of equity capital?
    FRBSF Economic Letter, 2006, (apr7)

2005

41. Recent policy issues regarding credit risk transfer
    FRBSF Economic Letter, 2005, (dec2)
42. Stress tests: useful complements to financial risk models
    FRBSF Economic Letter, 2005, (jun24) View citations (7)

2004

43. Comment
    Journal of Business & Economic Statistics, 2004, 22, 165-169
44. Commentary on \\"Market indicators, bank fragility, and indirect market discipline\\"
    Economic Policy Review, 2004, (Sep), 67-71 View citations (1)
45. Incorporating Equity Market Information into Supervisory Monitoring Models
    Journal of Money, Credit and Banking, 2004, 36, (6), 1043-67 View citations (49)
    See also Working Paper Incorporating equity market information into supervisory monitoring models, Working Paper Series (2001) View citations (8) (2001)
46. Outsourcing by financial services firms: the supervisory response
    FRBSF Economic Letter, 2004, (nov26)
47. Policy applications of a global macroeconomic model
    FRBSF Economic Letter, 2004, (jun11) View citations (4)
48. Supervising interest rate risk management
    FRBSF Economic Letter, 2004, (sep17)
49. The empirical relationship between average asset correlation, firm probability of default, and asset size
    Journal of Financial Intermediation, 2004, 13, (2), 265-283 View citations (81)
    See also Working Paper The empirical relationship between average asset correlation, firm probability of default and asset size, Working Paper Series (2002) View citations (1) (2002)

2003

50. Disclosure as a supervisory tool: Pillar 3 of Basel II
    FRBSF Economic Letter, 2003, (aug1) View citations (2)
51. Formulating the imputed cost of equity capital for priced services at Federal Reserve banks
    Economic Policy Review, 2003, (Sep), 55-81 View citations (12)
52. How financial firms manage risk
    FRBSF Economic Letter, 2003, (feb14) View citations (1)
53. How might financial market information be used for supervisory purposes?
    Economic Review, 2003, 29-45 View citations (8)
54. Monitoring debt market information for bank supervisory purposes
    FRBSF Economic Letter, 2003, (nov28)
55. The current strength of the U.S. banking sector
    FRBSF Economic Letter, 2003, (dec19)
56. Using equity market information to monitor banking institutions
    FRBSF Economic Letter, 2003, (jan24) View citations (3)

2002

57. Off-site monitoring of bank holding companies
    FRBSF Economic Letter, 2002, (may17) View citations (2)
58. What is operational risk?
    FRBSF Economic Letter, 2002, (jan25) View citations (3)

2001

59. Evaluating the Predictive Accuracy of Volatility Models
    Journal of Forecasting, 2001, 20, (2), 87-109 View citations (97)
    See also Working Paper Evaluating the predictive accuracy of volatility models, Research Paper (1995) View citations (8) (1995)
60. Federal Reserve banks' imputed cost of equity capital
    FRBSF Economic Letter, 2001, (aug10) View citations (4)
    See also Working Paper The Federal Reserve banks' imputed cost of equity capital, Working Paper Series (2001) View citations (2) (2001)
61. Financial instruments for mitigating credit risk
    FRBSF Economic Letter, 2001, (nov23) View citations (3)
62. Modeling credit risk for commercial loans
    FRBSF Economic Letter, 2001, (apr.27) View citations (1)
63. The Federal Reserve's imputed cost of equity capital: a survey
    Chicago Fed Letter, 2001, (Jul) View citations (1)

2000

64. Evaluating credit risk models
    Journal of Banking & Finance, 2000, 24, (1-2), 151-165 View citations (43)
    See also Working Paper Evaluating credit risk models, Working Papers in Applied Economic Theory (1999) View citations (6) (1999)
65. Patterns in the foreign ownership of U.S. banking assets
    FRBSF Economic Letter, 2000, (nov.24)
66. Volatility spillovers in the U.S. Treasury market
    FRBSF Economic Letter, 2000, (feb18) View citations (1)

1999

67. How frequently should banks be examined?
    FRBSF Economic Letter, 1999, (feb26) View citations (1)
68. Methods for evaluating value-at-risk estimates
    Economic Review, 1999, 3-17 View citations (65)
    Also in Economic Policy Review, 1998, 4, (Oct), 119-124 (1998) View citations (29)
    See also Working Paper Methods for evaluating value-at-risk estimates, Research Paper (1998) View citations (30) (1998)
69. Supervisory information and the frequency of bank examinations
    Economic Policy Review, 1999, 5, (Apr), 1-20 View citations (42)
70. The Basel proposal for a new capital adequacy framework
    FRBSF Economic Letter, 1999, (jul30)
71. Using CAMELS ratings to monitor bank conditions
    FRBSF Economic Letter, 1999, (jun) View citations (17)

1998

72. How effective is lifeline banking in assisting the 'unbanked'?
    Current Issues in Economics and Finance, 1998, 4, (Jun) View citations (8)