Search Results
Journal Article
Forecasting China's Role in World Oil Demand
Although China?s growth has slowed recently, the country?s demand for oil could be entering a period of faster growth that could result in substantially higher oil prices. Because Americans buy and sell oil and petroleum products in the global market, global demand prospects influence the profitability of U.S. oil producers and the costs paid by U.S. consumers. Analysis based on the global relationship between economic development and oil demand illustrates the prospects for Chinese oil demand growth and the resulting opportunities and challenges for U.S. producers and consumers.
Discussion Paper
Revisions to the Federal Reserve Dollar Indexes
This note details the construction of the foreign exchange rate indexes and describes the motives for the changes to the methodology.
Working Paper
Measuring Inclusion: Gender and Coauthorship at the Federal Reserve Board
Relative to diversity, inclusion is much harder to measure. We measure inclusion of women in economics using novel data on coauthoring relationships among Federal Reserve Board economists. Individual coauthoring relationships are voluntary, yet inclusion in coauthoring networks can be central to research productivity and career success. We document gender affinity in coauthoring, with individuals up to 34 percent more likely to have a same-gender coauthor in the data relative to what would be predicted by random assignment. Because women account for under 30 percent of Federal Reserve Board ...
Working Paper
Nonparametric HAC estimation for time series data with missing observations
The Newey and West (1987) estimator has become the standard way to estimate a heteroskedasticity and autocorrelation consistent (HAC) covariance matrix, but it does not immediately apply to time series with missing observations. We demonstrate that the intuitive approach to estimate the true spectrum of the underlying process using only the observed data leads to incorrect inference. Instead, we propose two simple consistent HAC estimators for time series with missing data. First, we develop the Amplitude Modulated estimator by applying the Newey-West estimator and treating the missing ...
Working Paper
Generating Options-Implied Probability Densities to Understand Oil Market Events
We investigate the informational content of options-implied probability density functions (PDFs) for the future price of oil. Using a semiparametric variant of the methodology in Breeden and Litzenberger (1978), we investigate the fit and smoothness of distributions derived from alternative PDF estimation methods, and develop a set of robust summary statistics. Using PDFs estimated around episodes of high geopolitical tensions, oil supply disruptions, and macroeconomic data releases, we explore the extent to which oil price movements are expected or unexpected, and whether agents believe ...
Working Paper
Gender Gaps in the Federal Reserve System
To better understand the stalled progress of women in economics, we construct new data on women's representation and research output in one of the largest policy institutions—the Federal Reserve System. We document a slight increase in women’s representation over the past 20 years, in line with academic trends. We also document a significant gender gap in research output, especially for years in which economists have greater domestic responsibilities, but nearly absent gender gaps in policy output and career progression. This work complements existing research on women in academia, ...
Working Paper
Taxonomy of Global Risk, Uncertainty, and Volatility Measures
A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have been proposed in the literature, and these measures are frequently used by market participants, policy makers, and researchers in their analyses. However, risk and uncertainty measures differ across multiple dimensions, including the method of calculation, the underlying outcome (that is, the asset price or macroeconomic variable), and the horizon at which they are calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility ...
Discussion Paper
Oil, Equities, and a "Nonbinding" Zero Lower Bound: The Monetary Policy Response to COVID-19
We analyze the recent behavior of oil and equity prices in the context of our earlier work, Datta, et al. (2021), which focuses on the previous zero lower bound (ZLB) episode, in the aftermath of the Global Financial Crisis. We find that the correlation between oil and equity returns and the responsiveness of these returns to macroeconomic surprises are perhaps elevated relative to normal times but somewhat moderated relative to the previous ZLB episode.
Discussion Paper
Bottlenecks, Shortages, and Soaring Prices in the U.S. Economy
Since the onset of the COVID-19 pandemic, sweeping production constraints, combined with surging demand in some industries, have led to shortages, severe congestion, and soaring prices. What will it take for these bottlenecks to resolve and for price pressures to ease?
Working Paper
Gender Gaps in the Federal Reserve System
To better understand the stalled progress of women in economics, we construct new data on women’s representation and research output in one of the largest policy institutions—the Federal Reserve System. We document a slight increase in women’s representation over the past 20 years, in line with academic trends. We also document a significant gender gap in research output, especially for years in which economists have greater domestic responsibilities, but nearly absent gender gaps in policy output and career progression. This work complements existing research on women in academia, ...