Details about Egon Zakrajšek

E-mail:
Homepage:	https://www.bostonfed.org/people/bank/egon-zakrajsek.aspx
Workplace:	Federal Reserve Bank of Boston, (more information at EDIRC)

Access statistics for papers by Egon Zakrajšek.

Last updated 2024-11-09. Update your information in the RePEc Author Service.

Short-id: pza207

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Working Papers

2024

1. CEO turnover risk and firm environmental performance
   BIS Working Papers, Bank for International Settlements
2. The Fed Takes On Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF
   Working Papers, Federal Reserve Bank of Boston
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (52)
   BIS Working Papers, Bank for International Settlements (2021) View citations (3)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (49)
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2020) View citations (28)
   See also Journal Article The Fed takes on corporate credit risk: An analysis of the efficacy of the SMCCF, Journal of Monetary Economics, Elsevier (2024) (2024)

2023

3. Does money growth help explain the recent inflation surge?
   BIS Bulletins, Bank for International Settlements
4. Financial heterogeneity and monetary union
   BIS Working Papers, Bank for International Settlements View citations (1)
   Also in 2015 Meeting Papers, Society for Economic Dynamics (2015) View citations (7)
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2018) View citations (7)
   See also Journal Article Financial heterogeneity and monetary union, Journal of Monetary Economics, Elsevier (2023) View citations (1) (2023)
5. Interest rate risk of non-financial firms: who hedges and does it help?
   BIS Bulletins, Bank for International Settlements
6. Markups and the Asymmetric Pass-Through of Cost Push Shocks
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in BIS Working Papers, Bank for International Settlements (2023)

2022

7. "Front-loading" monetary tightening: pros and cons
   BIS Bulletins, Bank for International Settlements

2021

8. Income inequality and the depth of economic downturns
   BIS Working Papers, Bank for International Settlements View citations (4)
   See also Journal Article Income Inequality and the depth of economic downturns, Economics Letters, Elsevier (2021) View citations (2) (2021)
9. Sovereign Risk and Financial Risk
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)
   Also in 2013 Meeting Papers, Society for Economic Dynamics (2013) View citations (2)
   NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (2)
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2021) View citations (1)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
   See also Journal Article Sovereign risk and financial risk, Journal of International Economics, Elsevier (2022) View citations (7) (2022)
   Chapter Sovereign Risk and Financial Risk, NBER Chapters, National Bureau of Economic Research, Inc (2021) View citations (2) (2021)

2020

10. The outlook for business bankruptcies
    BIS Bulletins, Bank for International Settlements View citations (9)

2019

11. Trade Exposure and the Evolution of Inflation Dynamics
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    Also in Working Papers Central Bank of Chile, Central Bank of Chile (2019) View citations (9)
    See also Chapter Trade Exposure and the Evolution of Inflation Dynamics, Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile (2020) View citations (1) (2020)
12. US Monetary Policy and International Bond Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (39)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2018) View citations (4)
    See also Journal Article U.S. Monetary Policy and International Bond Markets, Journal of Money, Credit and Banking, Blackwell Publishing (2019) View citations (1) (2019)

2016

13. Credit-Market Sentiment and the Business Cycle
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2015) View citations (16)
    See also Journal Article Credit-Market Sentiment and the Business Cycle, The Quarterly Journal of Economics, President and Fellows of Harvard College (2017) View citations (122) (2017)
14. Inflation Dynamics During the Financial Crisis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    Also in 2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (15)
    2013 Meeting Papers, Society for Economic Dynamics (2013) View citations (13)
    Working Papers, Brandeis University, Department of Economics and International Business School (2013) View citations (46)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2015) View citations (20)
    FRB Atlanta CQER Working Paper, Federal Reserve Bank of Atlanta (2015) View citations (38)
    See also Journal Article Inflation Dynamics during the Financial Crisis, American Economic Review, American Economic Association (2017) View citations (169) (2017)
15. Recession Risk and the Excess Bond Premium
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (27)
16. The Macroeconomic Impact of Financial and Uncertainty Shocks
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (235)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (343)
    See also Journal Article The macroeconomic impact of financial and uncertainty shocks, European Economic Review, Elsevier (2016) View citations (312) (2016)
17. Updating the Recession Risk and the Excess Bond Premium
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (42)

2014

18. Interest Rate Risk and Bank Equity Valuations
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (8)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2012) View citations (20)
    See also Journal Article Interest rate risk and bank equity valuations, Journal of Monetary Economics, Elsevier (2018) View citations (66) (2018)
19. Monetary Policy and Real Borrowing Costs at the Zero Lower Bound
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2014) View citations (4)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2014) View citations (8)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (12)
    See also Chapter Monetary Policy and Real Borrowing Costs at the Zero Lower Bound, NBER Chapters, National Bureau of Economic Research, Inc (2013) View citations (3) (2013)
    Journal Article Monetary Policy and Real Borrowing Costs at the Zero Lower Bound, American Economic Journal: Macroeconomics, American Economic Association (2015) View citations (124) (2015)
20. Uncertainty, Financial Frictions, and Investment Dynamics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (449)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2014) View citations (288)
    2010 Meeting Papers, Society for Economic Dynamics (2010) View citations (81)

2013

21. On the Identification of Financial and Uncertainty Shocks
    2013 Meeting Papers, Society for Economic Dynamics View citations (17)
22. Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
    See also Journal Article Stress-testing US bank holding companies: A dynamic panel quantile regression approach, International Journal of Forecasting, Elsevier (2014) View citations (42) (2014)
23. The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (71)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2013) View citations (66)
    See also Journal Article The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk, Journal of Money, Credit and Banking, Blackwell Publishing (2013) View citations (52) (2013)

2012

24. Changes in bank lending standards and the macroeconomy
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (28)
    See also Journal Article Changes in bank lending standards and the macroeconomy, Journal of Monetary Economics, Elsevier (2014) View citations (217) (2014)
25. Credit spreads as predictors of real-time economic activity: a Bayesian Model-Averaging approach
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (16)
26. Misallocation and Financial Frictions: Some Direct Evidence From the Dispersion in Borrowing Costs
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
27. Misallocation and financial market frictions: some direct evidence from the dispersion in borrowing costs
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    See also Journal Article Misallocation and Financial Market Frictions: Some Direct Evidence from the Dispersion in Borrowing Costs, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2013) View citations (111) (2013)

2011

28. Credit Spreads and Business Cycle Fluctuations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (50)
    See also Journal Article Credit Spreads and Business Cycle Fluctuations, American Economic Review, American Economic Association (2012) View citations (1230) (2012)

2009

29. Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets
    2009 Meeting Papers, Society for Economic Dynamics View citations (381)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (420)
    See also Journal Article Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets, Journal of Monetary Economics, Elsevier (2009) View citations (371) (2009)

2007

30. Investment and the Cost of Capital: New Evidence from the Corporate Bond Market
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (71)

2005

31. The Determinants of Market Frictions in the Corporate Market
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (13)

2004

32. The magnitude and cyclical behavior of financial market frictions
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (63)

2002

33. Inventory dynamics and business cycles: what has changed?
    Staff Reports, Federal Reserve Bank of New York View citations (4)
    See also Journal Article Inventory Dynamics and Business Cycles: What Has Changed?, Journal of Money, Credit and Banking, Blackwell Publishing (2007) View citations (53) (2007)

2001

34. Capital requirements, business loans, and business cycles: an empirical analysis of the standardized approach in the new Basel Capital Accord
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (11)

2000

35. Factor Supplies and Specialization in the World Economy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (31)
    Also in Staff Reports, Federal Reserve Bank of New York (2000) View citations (30)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2000) View citations (24)
36. Microeconomic inventory adjustment: evidence from U.S. firm-level data
    Staff Reports, Federal Reserve Bank of New York View citations (4)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2000) View citations (3)
37. Purchasing power parity: three stakes through the heart of the unit root null
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
    Also in Staff Reports, Federal Reserve Bank of New York (1999) View citations (31)

1999

38. Microeconomic inventory adjustment and aggregate dynamics
    BIS Working Papers, Bank for International Settlements View citations (1)
    Also in Staff Reports, Federal Reserve Bank of New York (1998) View citations (3)

1998

39. Trade inventories
    Staff Reports, Federal Reserve Bank of New York View citations (5)

1997

40. Retail inventories, internal finance, and aggregate fluctuations
    Research Paper, Federal Reserve Bank of New York View citations (6)

1995

41. Retail Inventories, Internal Finance, and Aggregate Fluctuations: Evidence From Firm-Level Panel Data
    Working Papers, U.S. Census Bureau, Center for Economic Studies

Journal Articles

2024

1. Analyzing the Efficacy of the Fed's Secondary Market Corporate Credit Facility
   Policy Hub, 2024, 2024, (5), 10
2. La croissance monétaire et la poussée inflationniste post-pandémie
   Revue d'économie financière, 2024, N° 153, (1), 179-191
3. The Fed takes on corporate credit risk: An analysis of the efficacy of the SMCCF
   Journal of Monetary Economics, 2024, 146, (C)
   See also Working Paper The Fed Takes On Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF, Working Papers (2024) (2024)

2023

4. Financial heterogeneity and monetary union
   Journal of Monetary Economics, 2023, 139, (C), 21-40 View citations (1)
   See also Working Paper Financial heterogeneity and monetary union, BIS Working Papers (2023) View citations (1) (2023)

2022

5. Introducing the Credit Market Sentiment Index
   Richmond Fed Economic Brief, 2022, 22, (33)
6. Sovereign risk and financial risk
   Journal of International Economics, 2022, 136, (C) View citations (7)
   See also Working Paper Sovereign Risk and Financial Risk, FRB Atlanta Working Paper (2021) View citations (1) (2021)
   Chapter Sovereign Risk and Financial Risk, NBER Chapters, 2021 (2021) View citations (2) (2021)

2021

7. Income Inequality and the depth of economic downturns
   Economics Letters, 2021, 205, (C) View citations (2)
   See also Working Paper Income inequality and the depth of economic downturns, BIS Working Papers (2021) View citations (4) (2021)
8. Monetary policy, relative prices and inflation control: flexibility born out of success
   BIS Quarterly Review, 2021 View citations (7)
9. The Term Structure of the Excess Bond Premium: Measures and Implications
   Policy Hub, 2021, 2021, (12)

2019

10. U.S. Monetary Policy and International Bond Markets
    Journal of Money, Credit and Banking, 2019, 51, (S1), 127-161 View citations (1)
    See also Working Paper US Monetary Policy and International Bond Markets, NBER Working Papers (2019) View citations (39) (2019)

2018

11. Interest rate risk and bank equity valuations
    Journal of Monetary Economics, 2018, 98, (C), 80-97 View citations (66)
    See also Working Paper Interest Rate Risk and Bank Equity Valuations, Working Papers (2014) View citations (8) (2014)

2017

12. Comment on bank liabilities channel
    Journal of Monetary Economics, 2017, 89, (C), 45-50
13. Credit-Market Sentiment and the Business Cycle
    The Quarterly Journal of Economics, 2017, 132, (3), 1373-1426 View citations (122)
    See also Working Paper Credit-Market Sentiment and the Business Cycle, NBER Working Papers (2016) View citations (34) (2016)
14. Inflation Dynamics during the Financial Crisis
    American Economic Review, 2017, 107, (3), 785-823 View citations (169)
    See also Working Paper Inflation Dynamics During the Financial Crisis, NBER Working Papers (2016) View citations (13) (2016)

2016

15. The macroeconomic impact of financial and uncertainty shocks
    European Economic Review, 2016, 88, (C), 185-207 View citations (312)
    See also Working Paper The Macroeconomic Impact of Financial and Uncertainty Shocks, International Finance Discussion Papers (2016) View citations (235) (2016)
16. The response of sovereign bond yields to U.S. monetary policy
    Journal Economía Chilena (The Chilean Economy), 2016, 19, (2), 102-106 View citations (10)
    See also Chapter The Response of Sovereign Bond Yields to U.S. Monetary Policy, Central Banking, Analysis, and Economic Policies Book Series, 2016, 24, 257-283 (2016) View citations (9) (2016)

2015

17. Monetary Policy and Real Borrowing Costs at the Zero Lower Bound
    American Economic Journal: Macroeconomics, 2015, 7, (1), 77-109 View citations (124)
    See also Working Paper Monetary Policy and Real Borrowing Costs at the Zero Lower Bound, NBER Working Papers (2014) View citations (12) (2014)
    Chapter Monetary Policy and Real Borrowing Costs at the Zero Lower Bound, NBER Chapters, 2013 (2013) View citations (3) (2013)

2014

18. Changes in bank lending standards and the macroeconomy
    Journal of Monetary Economics, 2014, 62, (C), 23-40 View citations (217)
    See also Working Paper Changes in bank lending standards and the macroeconomy, Finance and Economics Discussion Series (2012) View citations (28) (2012)
19. Stress-testing US bank holding companies: A dynamic panel quantile regression approach
    International Journal of Forecasting, 2014, 30, (3), 691-713 View citations (42)
    See also Working Paper Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach, Finance and Economics Discussion Series (2013) View citations (1) (2013)

2013

20. Misallocation and Financial Market Frictions: Some Direct Evidence from the Dispersion in Borrowing Costs
    Review of Economic Dynamics, 2013, 16, (1), 159-176 View citations (111)
    See also Working Paper Misallocation and financial market frictions: some direct evidence from the dispersion in borrowing costs, Finance and Economics Discussion Series (2012) View citations (2) (2012)
    Software Item Code and data files for "Misallocation and Financial Market Frictions: Some Direct Evidence from the Dispersion in Borrowing Costs", Computer Codes (2012) (2012)
21. The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk
    Journal of Money, Credit and Banking, 2013, 45, (s2), 29-57 View citations (52)
    Also in Journal of Money, Credit and Banking, 2013, 45, (s2), 29-57 (2013) View citations (25)
    See also Working Paper The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk, NBER Working Papers (2013) View citations (71) (2013)

2012

22. Credit Spreads and Business Cycle Fluctuations
    American Economic Review, 2012, 102, (4), 1692-1720 View citations (1230)
    See also Working Paper Credit Spreads and Business Cycle Fluctuations, NBER Working Papers (2011) View citations (50) (2011)

2011

23. Monetary Policy and Credit Supply Shocks
    IMF Economic Review, 2011, 59, (2), 195-232 View citations (59)

2009

24. Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets
    Journal of Monetary Economics, 2009, 56, (4), 471-493 View citations (371)
    See also Working Paper Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets, 2009 Meeting Papers (2009) View citations (381) (2009)

2007

25. Inventory Dynamics and Business Cycles: What Has Changed?
    Journal of Money, Credit and Banking, 2007, 39, (2-3), 591-613 View citations (53)
    Also in Journal of Money, Credit and Banking, 2007, 39, (2‐3), 591-613 (2007) View citations (6)
    See also Working Paper Inventory dynamics and business cycles: what has changed?, Staff Reports (2002) View citations (4) (2002)

2003

26. Recent developments in business lending by commercial banks
    Federal Reserve Bulletin, 2003, 89, (Dec), 477-492 View citations (10)

2001

27. Profits and balance sheet developments at U.S. commercial banks in 2000
    Federal Reserve Bulletin, 2001, 87, (Jun), 367-393 View citations (1)

2000

28. Profits and balance sheet developments at U.S. commercial banks in 1999
    Federal Reserve Bulletin, 2000, 86, (Jun), 367-395

1995

29. The importance of credit for macroeconomic activity: identification through heterogeneity
    Conference Series ; [Proceedings], 1995, 39, 129-173 View citations (33)
    See also Chapter The Importance of Credit for Macroeconomic Activity: Identification through Heterogeneity, Palgrave Macmillan Books, 1998, 129-157 (1998) (1998)

Books

2023

1. The two-regime view of inflation
   BIS Papers, Bank for International Settlements View citations (9)

Chapters

2023

1. Banks
   Chapter 6 in Research Handbook of Financial Markets, 2023, pp 126-146

2021

2. Sovereign Risk and Financial Risk
   A chapter in NBER International Seminar on Macroeconomics 2021, 2021 View citations (2)
   See also Working Paper Sovereign Risk and Financial Risk, Federal Reserve Bank of Atlanta (2021) View citations (1) (2021)
   Journal Article Sovereign risk and financial risk, Elsevier (2022) View citations (7) (2022)

2020

3. Trade Exposure and the Evolution of Inflation Dynamics
   Chapter 06 in Changing Inflation Dynamics,Evolving Monetary Policy, 2020, vol. 27, pp 173-226 View citations (1)
   See also Working Paper Trade Exposure and the Evolution of Inflation Dynamics, Board of Governors of the Federal Reserve System (U.S.) (2019) View citations (2) (2019)

2016

4. The Response of Sovereign Bond Yields to U.S. Monetary Policy
   Chapter 08 in Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, 2016, vol. 24, pp 257-283 View citations (9)
   See also Journal Article The response of sovereign bond yields to U.S. monetary policy, Central Bank of Chile (2016) View citations (10) (2016)

2013

5. Monetary Policy and Real Borrowing Costs at the Zero Lower Bound
   A chapter in Lessons from the Financial Crisis for Monetary Policy, 2013 View citations (3)
   See also Journal Article Monetary Policy and Real Borrowing Costs at the Zero Lower Bound, American Economic Association (2015) View citations (124) (2015)
   Working Paper Monetary Policy and Real Borrowing Costs at the Zero Lower Bound, National Bureau of Economic Research, Inc (2014) View citations (12) (2014)

2012

6. Bank Lending and Credit Supply Shocks
   Palgrave Macmillan View citations (14)

2011

7. Improving Our Ability to Monitor Bank Lending
   A chapter in Risk Topography: Systemic Risk and Macro Modeling, 2011, pp 149-161 View citations (6)

1998

8. The Importance of Credit for Macroeconomic Activity: Identification through Heterogeneity
   Palgrave Macmillan
   See also Journal Article The importance of credit for macroeconomic activity: identification through heterogeneity, Federal Reserve Bank of Boston (1995) View citations (33) (1995)

Software Items

2012

1. Code and data files for "Misallocation and Financial Market Frictions: Some Direct Evidence from the Dispersion in Borrowing Costs"
   Computer Codes, Review of Economic Dynamics
   See also Journal Article Misallocation and Financial Market Frictions: Some Direct Evidence from the Dispersion in Borrowing Costs, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2013) View citations (111) (2013)