Email: robert.j.kurtzman@frb.gov

Working Papers:

Abstract: This paper examines the potential misallocation of resources induced by central bank large-scale asset purchases, particularly the purchase of corporate bonds of nonfinancial firms, through their heterogeneous effect on firms' cost of capital. First, we analytically demonstrate the mechanism in a static model with heterogeneous agents. We then evaluate the misallocation of resources induced by corporate bond buys and the associated output losses in a calibrated DSGE model of which Gertler and Karadi (2013) is a special case. The calibrated model suggests misallocation effects from corporate bond buys can be large enough to make corporate bond buys less effective than government bond buys, which is not the case without accounting for misallocation effects.
...discussed on Bloomberg

Abstract: Using confidential loan officer survey data on lending standards and internal risk ratings on loans, we document an effect of large-scale asset purchase programs (LSAPs) on lending standards and risk-taking. We exploit cross-sectional variation in banks’ holdings of mortgage-backed securities to show that the first and third round of quantitative easing (QE1 and QE3) significantly lowered lending standards and increased loan risk characteristics. The magnitude of the effects is about the same in QE1 and QE3, and is comparable to the effect of a one percentage point decrease in the Fed funds target rate during times of conventional monetary policy.
Abstract: This paper develops a heterogeneous firm general equilibrium model with endogenous innovation and default to assess policies related to leverage and debt overhang.  We estimate key model parameters and find that near default, debt overhang induces nonlinearities in firm innovation decisions leading to slower growth from incumbent firms.  However, debt overhang induces firms to take on less leverage ex ante and partially offsets inefficiencies stemming from the monopoly markup and taxation's effect on entry.  In the context of these tradeoffs, the general equilibrium gains from resolving debt overhang are negative, with implications for assessing the gains from corporate tax policies.
Accounting For Productivity Dispersion over the Business Cycle
 (with David Zeke)
Abstract: This paper presents accounting decompositions of changes in aggregate labor and capital productivity. Our simplest decomposition breaks changes in an aggregate productivity ratio into two components: A mean component, which captures common changes to firm factor productivity ratios, and a dispersion component, which captures changes in the variance and higher order moments of their distribution. In standard models with heterogeneous firms and frictions to firm input decisions, the dispersion component is a function of changes in the second and higher moments of the log of marginal revenue factor productivities and reflects changes in the extent of distortions to firm factor input allocations across firms. We apply our decomposition to public firm data from the United States and Japan. We find that the mean component is responsible for most of the variation in aggregate productivity over the business cycle, while the dispersion component plays a modest role.


"Poker Player Behavior After Big Wins and Big Losses'' (with Gary Smith and Michael Levere). Management Science. 55.9 (2009): p1547-1555.


1. The views expressed are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System or of anyone else associated with the Federal Reserve System