Search Results
Showing results 1 to 6 of approximately 6.
(refine search)
Journal Article
Examining the Recent Shift in State and Local Pension Plans to Alternative Investments
State and local pension plans have increasingly turned to alternative investments in recent years. The authors found that this shift appears to be across the board; underfunding only partially explains this shift. In addition, they found that switching to alternative investments does not necessarily increase the volatility of returns.
Working Paper
The Term Structure of Monetary Policy Uncertainty
This paper studies the transmission of Federal Reserve communication to financial markets and the economy using new measures of the term structure of policy rate uncertainty. Movements in the term structure of interest rate uncertainty around FOMC announcements cannot be summarized by a single measure but instead are two dimensional. We characterize these two dimensions as the level and slope factors of the term structure of interest rate uncertainty. These two monetary policy uncertainty factors significantly help to explain changes in Treasury yields and forward real interest rates around ...
Journal Article
How Does a Rise in International Shipping Costs Affect U.S. Inflation?
Trenton Herriford, Elizabeth M. Johnson, Nicholas Sly, and A. Lee Smith find that an increase in ocean shipping costs leads to a modest boost in core inflation after one year.
Journal Article
Does the Recent Decline in Household Longer-Term Inflation Expectations Signal a Loss of Confidence in the FOMC?
Households have lowered their longer-term inflation outlooks, but they appear confident in the FOMC?s ability to achieve stable prices.
Working Paper
Forward Guidance, Monetary Policy Uncertainty, and the Term Premium
We examine the macroeconomic and term-premia implications of monetary policy uncertainty shocks. Using Eurodollar options, we employ the VIX methodology to measure implied volatility about future short-term interest rates at various horizons. We identify monetary policy uncertainty shocks using the unexpected changes in this term structure of implied volatility around monetary policy announcements. {{p}} Two principal components succinctly characterize these changes around policy announcements, which have the interpretation as shocks to the level and slope of the term structure of implied ...
Journal Article
How Do FOMC Projections Affect Policy Uncertainty?
In January 2012, the Federal Open Market Committee (FOMC) began publicly releasing its participants? projections for the future value of the federal funds rate. The former FOMC Chair Ben Bernanke stated that these releases help the public form policy expectations. However, Federal Reserve Bank of San Francisco President John C. Williams noted that the range of the funds rate forecast conveyed disagreement and uncertainty. These projections may be conflicting in nature, and thus may not lower public uncertainty. Bundick and Herriford seek to answer the question: do these projections decrease ...