J. Christina Wang

Federal Reserve Bank of Boston
Research Dept, T-8
600 Atlantic Avenue
Boston, Massachusetts 02210

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org

NBER Working Papers and Publications

December 2009A General-Equilibrium Asset-Pricing Approach to the Measurement of Nominal and Real Bank Output
with Susanto Basu, John G. Fernald
in Price Index Concepts and Measurement, W. Erwin Diewert, John S. Greenlees and Charles R. Hulten, editors
December 2008The Value of Risk: Measuring the Service Output of U.S. Commercial Banks
with Susanto Basu, Robert Inklaar: w14615
Rather than charging direct fees, banks often charge implicitly for their services via interest spreads. As a result, much of bank output has to be estimated indirectly. In contrast to current statistical practice, dynamic optimizing models of banks argue that compensation for bearing systematic risk is not part of bank output. We apply these models and find that between 1997 and 2007, in the U.S. National Accounts, on average, bank output is overestimated by 21 percent and GDP is overestimated by 0.3 percent. Moreover, compared with current methods, our new estimates imply more plausible estimates of the share of capital in income and the return on fixed capital.

Published: Susanto Basu & Robert Inklaar & J. Christina Wang, 2011. "The Value Of Risk: Measuring The Service Output Of U.S. Commercial Banks," Economic Inquiry, Western Economic Association International, vol. 49(1), pages 226-245, 01. citation courtesy of

A General-Equilibrium Asset-Pricing Approach to the Measurement of Nominal and Real Bank Output
with Susanto Basu, John G. Fernald: w14616
This paper addresses the proper measurement of financial service output that is not priced explicitly. It shows how to impute nominal service output from financial intermediaries' interest income, and how to construct price indices for those financial services. We model financial intermediaries as providers of financial services which resolve asymmetric information between borrowers and lenders. We embed these intermediaries in a dynamic, stochastic, general-equilibrium model where assets are priced competitively according to their systematic risk, as in the standard consumption-based capital-asset-pricing model. In this environment, we show that it is critical to take risk into account in order to measure financial output accurately. We also show that even using a risk-adjusted reference ...

Published: A General-Equilibrium Asset-Pricing Approach to the Measurement of Nominal and Real Bank Output, J. Christina Wang, Susanto Basu, John G. Fernald. in Price Index Concepts and Measurement, Diewert, Greenlees, and Hulten. 2009

Risk Bearing, Implicit Financial Services and Specialization in the Financial Industry
with Susanto Basu: w14614
This paper makes three points regarding the proper measurement of the output of financial intermediaries. Two of them concern the measurement of nominal financial output, especially banking output. First, we show that, to impute the nominal value of implicitly priced financial output, it is necessary to adjust each reference rate of interest (also called "the user cost of funds") for the risk inherent in that corresponding financial transaction. Otherwise, nominal financial output will be overstated, and the bias can be large (about 25 percent). Second, we argue that, according to finance theory, the required risk correction can be implemented practically at the level of industries (e.g., the banking sector as a whole). The third point concerns the construction of a financial services pric...
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