Journal Article
Small Business Lending during COVID-19
Lopez, Jose A.; Spiegel, Mark M.; Beauregard, Remy (2020-11-23)
Small businesses and farms were hit hard by restrictions that limited their ability to pay operating costs during the COVID-19 crisis. Banks played an important supportive role, substantially expanding the loans available to these firms during the early months of the crisis. The growth in lending was associated with small business participation in the Paycheck Protection Program (PPP) and bank use of the PPP Liquidity Facility. Analyzing data for the first half of 2020 suggests that these programs were successful in supporting lending growth during the crisis, particularly among small banks.
FRBSF Economic Letter , Volume 2020 , Issue 35 , Pages 01-05

Journal Article
Are Inflation Expectations Well Anchored in Mexico?
Beauregard, Remy; Christensen, Jens H. E.; Fischer, Eric; Zhu, Simon (2023-01-17)
Price inflation has increased sharply since early 2021 in many countries, including Mexico. If sustained, high inflation in Mexico could raise questions about the ability of its central bank to bring inflation down to its 3% inflation target. However, analyzing the difference between market prices of nominal and inflation-indexed government bonds suggests investors’ long-term inflation expectations in Mexico are close to the central bank’s inflation target and are projected to remain so in coming years.
FRBSF Economic Letter , Volume 2023 , Issue 01 , Pages 6

Working Paper
Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico
Christensen, Jens H. E.; Zhu, Simon; Beauregard, Remy; Fischer, Eric (2021-02-24)
To study inflation expectations and associated risk premia in emerging bond markets, thispaper provides estimates for Mexico based on an arbitrage-free dynamic term structuremodel of nominal and real bond prices that accounts for their liquidity risk. In addition todocumenting the existence of large and time-varying liquidity premia in nominal and realbond prices that are only weakly correlated, the results indicate that long-term inflationexpectations in Mexico are well anchored close to the inflation target of the Bank ofMexico. Furthermore, Mexican inflation risk premia are larger and more ...
Working Paper Series , Paper 2021-08

Journal Article
Commercial Banks under Persistent Negative Rates
Spiegel, Mark M.; Beauregard, Remy (2020-09-28)
Do extended periods of negative policy interest rates continue to encourage commercial bank lending? A large panel of European and Japanese banks provides evidence on the impact of negative rates over different lengths of time. Analysis suggests that both bank profitability and bank lending activity erode more the longer such negative policy rates continue, primarily due to banks’ reluctance to pass negative rates along to retail depositors. This appears to negate one of the main arguments for moving policy rates below the zero bound.
FRBSF Economic Letter , Volume 2020 , Issue 29 , Pages 01-05

Report
Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico
Christensen, Jens H. E.; Zhu, Simon; Beauregard, Remy; Fischer, Eric (2021-03-01)
To study inflation expectations and associated risk premia in emerging bond markets, this paper provides estimates for Mexico based on an arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for their liquidity risk. In addition to documenting the existence of large and time-varying liquidity premia in nominal and real bond prices that are only weakly correlated, the results indicate that long-term inflation expectations in Mexico are well anchored close to the inflation target of the Bank of Mexico. Furthermore, Mexican inflation risk premia are larger ...
Staff Reports , Paper 961