FEDS 2019-025: Information in Yield Spread Trades
Yang-Ho Park | Using positions data on bond futures, I document that speculators' spread trades contain private information about future economic activities and asset prices. Strong steepening trades...
View ArticleIFDP 2019-1245: Liquidity Funding Shocks: The Role of Banks' Funding Mix
Antonio Álvarez, Alejandro Fernandez, Joaquin Garcia-Cabo, and Diana Posada | This study attempts to evaluate the impact of an increase in banks' funding stress and its transmission to the real...
View ArticleIFDP 2019-1246: Institutional Investors, the Dollar, and U.S. Credit
Friederike Niepmann and Tim Schmidt-Eisenlohr | This paper documents that an appreciation of the U.S. dollar is associated with a reduction in the supply of commercial and industrial loans by U.S....
View ArticleFEDS 2019-029: Second Home Buyers and the Housing Boom and Bust
Daniel Garcia | Record-high second home buying (homeowners acquiring nonprimary residences) was a central feature of the 2000s boom, but the macroeconomic effects remain an open question partly because...
View ArticleFEDS 2019-030: When Simplicity Offers a Benefit, Not a Cost: Closed-Form...
Todd Prono | Simple, multi-step estimators are developed for the popular GARCH(1,1) model, where these estimators are either available entirely in closed form or dependent upon a preliminary estimate...
View ArticleFEDS 2019-031: Understanding Bank and Nonbank Credit Cycles: A Structural...
C. Bora Durdu and Molin Zhong | We explore the structural drivers of bank and nonbank credit cycles using an estimated medium-scale macro model that allows for bank and nonbank financial...
View ArticleFEDS 2019-032: Some International Evidence for Keynesian Economics Without...
Roger E.A. Farmer and Giovanni Nicolò | Farmer and Nicolò (2018) show that the Farmer Monetary (FM)-model outperforms the three-equation New-Keynesian (NK)-model in post war U.S. data. In this paper,...
View ArticleFEDS 2019-033: A Generalized Approach to Indeterminacy in Linear Rational...
Francesco Bianchi and Giovanni Nicolò | We propose a novel approach to deal with the problem of indeterminacy in Linear Rational Expectations models. The method consists of augmenting the original...
View ArticleIFDP 2019-1247: Variance Risk Premium Components and International Stock...
Juan M. Londono and Nancy R. Xu | In this paper, we document and explain the distinct behaviors of U.S. downside and upside variance risk premiums (DVP and UVP, respectively) and their international...
View ArticleIFDP 2019-1248: Monetary Policy, Housing Rents, and Inflation
Daniel Dias and João B. Duarte | In this paper we study the effect of monetary policy shocks on housing rents. Our main finding is that, in contrast to house prices, housing rents increase in response...
View ArticleFEDS 2019-034: Business Dynamics in the National Establishment Time Series...
Leland D. Crane and Ryan A. Decker | Business microdata have proven useful in a number of fields, but the main sources of comprehensive microdata are subject to significant confidentiality...
View ArticleFEDS 2019-035: Measuring Labor-Force Participation and the Incidence and...
Hie Joo Ahn and James D. Hamilton | The underlying data from which the U.S. unemployment rate, labor-force participation rate, and duration of unemployment are calculated contain numerous internal...
View ArticleFEDS 2019-037: Credible Forward Guidance
Taisuke Nakata and Takeki Sunakawa | We analyze credible forward guidance policies in a sticky-price model with an effective lower bound (ELB) constraint on nominal interest rates by solving a series...
View ArticleFEDS 2019-036: Optimal Inflation Target with Expectations-Driven Liquidity Traps
Philip Coyle and Taisuke Nakata | In expectations-driven liquidity traps, a higher inflation target is associated with lower inflation and consumption. As a result, introducing the possibility of...
View ArticleFEDS 2019-038: Benchmarking Operational Risk Stress Testing Models
Filippo Curti, Marco Migueis, and Robert Stewart | The Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) requires large bank holding companies (BHCs) to project losses under stress...
View ArticleFEDS 2019-039: The Role of U.S. Monetary Policy in Global Banking Crises
Bora Durdu, Alex Martin, and Ilknur Zer | We examine the role of U.S. monetary policy in global financial stability by using a cross-country database spanning the period from 1870-2010 across 69...
View ArticleIFDP 2019-1249: Housing Choices and Their Implications for Consumption...
Eva de Francisco | This paper proposes a model to jointly explain some of the heterogeneous individual consumption behavior found in the recent empirical literature, such as the existence of a...
View ArticleFEDS 2019-040: Bond Risk Premiums at the Zero Lower Bound
Martin M. Andreasen, Kasper Jørgensen, and Andrew Meldrum | This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries...
View ArticleFEDS 2019-041: The costs and benefits of liquidity regulations: Lessons from...
Christopher J. Curfman and John Kandrac | We investigate how liquidity regulations affect banks by examining a dormant monetary policy tool that functions as a liquidity regulation. Our identification...
View ArticleFEDS 2019-042: Inflation and Deflationary Biases in Inflation Expectations
Michael J. Lamla, Damjan Pfajfar, and Lea Rendell | We explore the consequences of losing confidence in the price-stability objective of central banks by quantifying the inflation and deflationary...
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