Articles in Refereed Journals

  1. 2017

    “Clustered Housing Cycles.” Hernández-Murillo, Rubén, Michael T. Owyang, and Margarita Rubio. 2017. Regional Science and Urban Economics 66 (September): 185–97. doi:10.1016/j.regsciurbeco.2017.06.003.

    Abstract:

    Using a panel of U.S. city-level building permits data, we estimate a Markov-switching model of housing cycles that allows cities to systematically deviate from the national housing cycle. These deviations occur for clusters of cities that experience simultaneous housing contractions. We find that cities do not form housing regions in the traditional geographic sense. Instead, similarities in factors affecting the demand for housing (such as population growth or availability of credit) appear to be more important determinants of cyclical co-movements than similarities in factors affecting the supply for land (such as the availability of developable land or the elasticity of land supply).

    BibTeX entry:

    @article{rsue2017,
      journal = {Regional Science and Urban Economics},
      title = {Clustered Housing Cycles},
      author = {Hern{\'a}ndez-Murillo, Rub{\'e}n and Owyang, Michael~T. and Rubio, Margarita},
      month = sep,
      year = {2017},
      volume = {66},
      pages = {185--197},
      pubtype = {Journal},
      selectpub = {Yes},
      doi = {10.1016/j.regsciurbeco.2017.06.003},
      keywords = {Clustered Markov switchingBusiness cyclesBuilding permitsCo-movements},
      url = {http://research.stlouisfed.org/wp/2013/2013-021.pdf}
    }
    

    Links to file:

  2. 2015

    “Did Affordable Housing Legislation Contribute to the Subprime Securities Boom?” Ghent, Andra C., Rubén Hernández-Murillo, and Michael T. Owyang. 2015. Real Estate Economics 43 (4): 820–54. doi:10.1111/1540-6229.12110.

    Abstract:

    In this paper, we use a regression discontinuity approach and present new institutional evidence to investigate whether affordable housing policies influenced the market for securitized subprime mortgages. We use merged loan-level data on non-prime mortgages with individual- and neighborhood- level data for California and Florida. We find no evidence that lenders increased subprime originations or altered pricing around the discrete eligibility cutoffs for the Government Sponsored Enterprises’ (GSEs) affordable housing goals or the Community Reinvestment Act. Although we find evidence that the GSEs bought significant quantities of subprime securities, our results indicate that these purchases were not directly related to their affordable housing mandates.

    BibTeX entry:

    @article{ree2015,
      title = {Did Affordable Housing Legislation Contribute to the Subprime Securities Boom?},
      author = {Ghent, Andra C. and Hern{\'a}ndez-Murillo, Rub{\'e}n and Owyang, Michael T.},
      journal = {Real Estate Economics},
      year = {2015},
      month = {Winter},
      pages = {820--854},
      volume = {43},
      doi = {10.1111/1540-6229.12110},
      issue = {4},
      pubtype = {Journal},
      selectpub = {Yes},
      url = {http://research.stlouisfed.org/wp/2012/2012-005.pdf}
    }
    

    Links to file:

  3. 2014

    “Differences in Subprime Loan Pricing Across Races and Neighborhoods .” Ghent, Andra C., Rubén Hernández-Murillo, and Michael T. Owyang. 2014. Regional Science and Urban Economics 48 (September): 199–215. doi:10.1016/j.regsciurbeco.2014.07.006.

    Abstract:

    We investigate whether race and ethnicity influenced subprime loan pricing during 2005, the peak of the subprime mortgage expansion. We combine loan-level data on the performance of non-prime securitized mortgages with individual- and neighborhood-level data on racial and ethnic characteristics for metropolitan areas in California and Florida. Using a model of rate determination that accounts for predicted loan performance, we evaluate the differences in subprime mortgage rates in terms of racial and ethnic groups and neighborhood characteristics. We find evidence of adverse pricing for blacks and Hispanics. The evidence of adverse pricing is strongest for purchase mortgages and mortgages originated by non-depository institutions.

    BibTeX entry:

    @article{rsue2014,
      title = {Differences in Subprime Loan Pricing Across Races and Neighborhoods },
      author = {Ghent, Andra C. and Hern{\'a}ndez-Murillo, Rub{\'e}n and Owyang, Michael T.},
      journal = {Regional Science and Urban Economics },
      year = {2014},
      month = sep,
      pages = {199--215},
      volume = {48},
      doi = {10.1016/j.regsciurbeco.2014.07.006},
      issn = {0166-0462},
      keywords = {Fair Housing Act},
      pubtype = {Journal},
      selectpub = {Yes},
      url = {http://research.stlouisfed.org/wp/2011/2011-033.pdf}
    }
    

    Links to file:

  4. 2013

    “What Do Happiness and Health Satisfaction Data Tell Us about Relative Risk Aversion?” Hernández-Murillo, Rubén, and Néstor Gandelman. 2013. Journal of Economic Psychology 39 (December): 301–12. doi:10.1016/j.joep.2013.09.005.

    Abstract:

    In this paper we provide estimates of the coefficient of relative risk aversion using information on self-reports of subjective personal well-being from multiple datasets, including three cross-sectional surveys and two panel surveys, namely the Gallup World Poll, the European Social Survey, the World Values Survey, the British Household Panel Survey for the United Kingdom, and the General Social Survey for the United States. We additionally consider the implications of allowing for health-state dependence in the utility function on the estimates of risk aversion and examine how the marginal utility of income changes in poor health states. Our estimates of relative risk aversion with cross-section data vary closely around 1, which corresponds to logarithmic utility, while the estimates with panel data are slightly larger. We find that controlling for health dependence generally reduces these estimates. In contrast with other studies in the literature, our results also suggest that the marginal utility of income increases when satisfaction with health deteriorates, and this effect is robust across the various datasets analyzed.

    BibTeX entry:

    @article{jepsy2013,
      title = {What do happiness and health satisfaction data tell us about relative risk aversion?},
      author = {Hern{\'a}ndez-Murillo, Rub{\'e}n and Gandelman, N{\'e}stor},
      journal = {Journal of Economic Psychology},
      year = {2013},
      month = dec,
      pages = {301-312},
      volume = {39},
      doi = {10.1016/j.joep.2013.09.005},
      keywords = {Relative risk aversion; Marginal utility of income; Happiness; Health dependence},
      pubtype = {Journal},
      selectpub = {Yes},
      url = {http://research.stlouisfed.org/wp/2011/2011-039.pdf}
    }
    

    Links to file:

  5. 2010

    “Strategic Online Banking Adoption.” Hernández-Murillo, Rubén, Gerard Llobet, and Roberto Fuentes. 2010. Journal of Banking and Finance 34 (7): 1650–63. doi:10.1016/j.jbankfin.2010.03.011.

    Abstract:

    In this paper we study the determinants of banks’ decisions to adopt a transactional website for their customers. Using a panel of commercial banks in the United States for the period 2003–2006, we show that although bank-specific characteristics are important determinants of banks’ adoption decisions, competition also plays a prominent role. The extent of competition is related to the geographic overlap of banks in different markets and their relative market share in terms of deposits. In particular, banks adopt online banking services earlier in markets where their competitors have already adopted this technology. This paper is one of the first to construct local banking markets using the geographic market definitions delimited by the CASSIDI Database compiled at the Federal Reserve Bank of St. Louis.

    BibTeX entry:

    @article{jobafi2010,
      title = {Strategic online banking adoption},
      author = {Hern{\'a}ndez-Murillo, Rub{\'e}n and Llobet, Gerard and Fuentes, Roberto},
      journal = {Journal of Banking {and} Finance},
      year = {2010},
      month = jul,
      number = {7},
      pages = {1650-1663},
      volume = {34},
      doi = {10.1016/j.jbankfin.2010.03.011},
      pubtype = {Journal},
      selectpub = {Yes},
      url = {http://research.stlouisfed.org/wp/2006/2006-058.pdf}
    }
    

    Links to file:

  6. 2009

    “Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach.” Armesto, Michelle T., Rubén Hernández-Murillo, Michael T. Owyang, and Jeremy Piger. 2009. Journal of Money, Credit and Banking 41 (1): 35–55. doi:10.1111/j.1538-4616.2008.00186.x.

    Abstract:

    Studies of the predictive ability of the Federal Reserve’s Beige Book for aggregate output and employment have proven inconclusive. This might be attributed, in part, to its irregular release schedule. We use a model that allows for data sampling at mixed frequencies to analyze the predictive power of the Beige Book. We find that the Beige Book’s national summary and District reports predict GDP and aggregate employment and that most District reports provide information content for regional employment. In addition, there appears to be an asymmetry in the predictive content of the Beige Book language.

    BibTeX entry:

    @article{jmoncb2009,
      title = {Measuring the Information Content of the {B}eige {B}ook: {A} Mixed Data Sampling Approach},
      author = {Armesto, Michelle T. and Hern{\'a}ndez-Murillo, Rub{\'e}n and Owyang, Michael T. and Piger, Jeremy},
      journal = {Journal of Money, Credit and Banking},
      year = {2009},
      month = feb,
      number = {1},
      pages = {35-55},
      volume = {41},
      doi = {10.1111/j.1538-4616.2008.00186.x},
      pubtype = {Journal},
      selectpub = {Yes},
      url = {http://research.stlouisfed.org/wp/2007/2007-010.pdf}
    }
    

    Links to file:

  7. 2007

    “Spatial Dependence in Models of State Fiscal Convergence.” Coughlin, Cletus C., Thomas A. Garrett, and Rubén Hernández-Murillo. 2007. Public Finance Review 35 (3): 361–84. doi:10.1177/1091142106295766.

    Abstract:

    We apply spatial econometric techniques to models of state and local fiscal policy convergence. Our work extends the work of Scully and Annala in much the same way that Rey and Montouri extended the literature on income convergence among U.S. states. Our results indicate that most fiscal policies have been converging and that the growth paths of state and local fiscal policies are not independent. In addition, we find that total expenditures have been converging faster than output, whereas total tax revenues have been converging slower than output. Our models further demonstrate that state expenditure growth is dependent on expenditure growth in economically and demographically similar states, while output growth and revenue growth in a state are dependent on output growth and revenue growth, respectively, in contiguous states.

    BibTeX entry:

    @article{pufire2007,
      title = {Spatial Dependence in Models of State Fiscal Convergence},
      author = {Coughlin, Cletus C. and Garrett, Thomas A. and Hern{\'a}ndez-Murillo, Rub{\'e}n},
      journal = {Public Finance Review},
      year = {2007},
      month = may,
      number = {3},
      pages = {361-384},
      volume = {35},
      doi = {10.1177/1091142106295766},
      pubtype = {Journal},
      url = {http://research.stlouisfed.org/wp/2006/2006-001.pdf}
    }
    

    Links to file:

  8. 2006

    “The Information Content of Regional Employment Data for Forecasting Aggregate Conditions.” Hernández-Murillo, Rubén, and Michael T. Owyang. 2006. Economics Letters 90 (3): 335–39. doi:10.1016/j.econlet.2005.08.023.

    Abstract:

    We consider whether disaggregated data enhance the efficiency of aggregate employment forecasts. We find that incorporating spatial interaction into a disaggregated forecasting model lowers the out-of-sample mean squared error from a univariate aggregate model by 70% at a two-year horizon.

    BibTeX entry:

    @article{ecolet2006,
      title = {The information content of regional employment data for forecasting aggregate conditions},
      author = {Hern{\'a}ndez-Murillo, Rub{\'e}n and Owyang, Michael T.},
      journal = {Economics Letters},
      year = {2006},
      month = mar,
      number = {3},
      pages = {335-339},
      volume = {90},
      doi = {10.1016/j.econlet.2005.08.023},
      pubtype = {Journal},
      selectpub = {Yes},
      url = {http://research.stlouisfed.org/wp/2004/2004-005.pdf}
    }
    

    Links to file:

  9. 2006

    “Patent Licensing Revisited: Heterogeneous Firms and Product Differentiation.” Hernández-Murillo, Rubén, and Gerard Llobet. 2006. International Journal of Industrial Organization 24 (1): 149–75. doi:10.1016/j.ijindorg.2005.03.008.

    Abstract:

    In this paper we study the optimal licensing agreement between a patentholder of a cost-reducing innovation and firms that have heterogeneous uses for the new technology. We consider the case in which these firms are competitors in a downstream market. We extend the competition environment among the licensees beyond the Cournot/Bertrand models considered by the previous literature to a framework with differentiated products. We also assume that potential licensees have private information about the usefulness of the new technology. We characterize two purposes the optimal licensing contract serves to the patentholder: separation of the licensees and competition softening in the downstream market. We also describe how the optimal contract changes with the degree of product differentiation.

    BibTeX entry:

    @article{indorg2006,
      title = {Patent licensing revisited: Heterogeneous firms and product differentiation},
      author = {Hern{\'a}ndez-Murillo, Rub{\'e}n and Llobet, Gerard},
      journal = {International Journal of Industrial Organization},
      year = {2006},
      month = jan,
      number = {1},
      pages = {149-175},
      volume = {24},
      doi = {10.1016/j.ijindorg.2005.03.008},
      pubtype = {Journal},
      selectpub = {Yes},
      url = {http://research.stlouisfed.org/wp/2002/2002-031.pdf}
    }
    

    Links to file:

  10. 2004

    “Tax Competition and Tax Harmonization With Evasion.” Gandelman, Néstor, and Rubén Hernández-Murillo. 2004. Topics in Economic Analysis and Policy 4 (1). doi:10.2202/1538-0653.1219.

    Abstract:

    We examine a two-jurisdiction tax competition environment where local governments can only imperfectly monitor where agents pay taxes and risk-averse individuals may choose to cross borders to pay lower taxes in a neighboring location. In a game between local authorities, we find that, when communities differ in size, in equilibrium the smaller community sets lower taxes and attracts agents from the larger jurisdiction. With identical communities, tax rates must be equal. Finally, we examine the incentives of jurisdictions to harmonize tax rates and find that, whenever the smaller community benefits from tax harmonization, the larger jurisdiction will benefit also.

    BibTeX entry:

    @article{bejeap2004,
      title = {Tax Competition and Tax Harmonization With Evasion},
      author = {Gandelman, N{\'e}stor and Hern{\'a}ndez-Murillo, Rub{\'e}n},
      journal = {Topics in Economic Analysis {and} Policy},
      year = {2004},
      month = may,
      number = {1},
      volume = {4},
      doi = {10.2202/1538-0653.1219},
      keywords = {Tax Competition; Tax Evasion; Tax Harmonization; Risk Aversion},
      pubtype = {Journal},
      selectpub = {Yes},
      url = {http://research.stlouisfed.org/wp/2002/2002-015.pdf}
    }
    

    Links to file:

  11. 2004

    “Racial Profiling Or Racist Policing? Bounds Tests In Aggregate Data.” Hernández-Murillo, Rubén, and John Knowles. 2004. International Economic Review 45 (3): 959–89. doi:10.1111/j.0020-6598.2004.00293.x.

    Abstract:

    State-wide reports on police traffic stops and searches summarize very large populations, making them potentially powerful tools for identifying racial bias, particularly when statistics on search outcomes are included. But when the reported statistics conflate searches involving different levels of police discretion, standard tests for racial bias are not applicable. This article develops a model of police search decisions that allows for nondiscretionary searches and derives tests for racial bias in data that mix different search types. Our tests reject unbiased policing as an explanation of the disparate impact of motor-vehicle searches on minorities in Missouri.

    BibTeX entry:

    @article{iecrev2004,
      title = {Racial Profiling Or Racist Policing? {B}ounds Tests In Aggregate Data},
      author = {Hern{\'a}ndez-Murillo, Rub{\'e}n and Knowles, John},
      journal = {International Economic Review},
      year = {2004},
      month = aug,
      number = {3},
      pages = {959-989},
      volume = {45},
      doi = {10.1111/j.0020-6598.2004.00293.x},
      pubtype = {Journal},
      selectpub = {Yes},
      url = {http://research.stlouisfed.org/wp/2004/2004-012.pdf}
    }
    

    Links to file: