Conference Paper
Estimating the interest rate sensitivity of liquid retail deposit values
Orphanides, Athanasios; Small, David H.; O'Brien, James M. (1994)
Proceedings , Paper 42

Journal Article
The empirical properties of a monetary aggregate that adds bond and stock funds to M2
Orphanides, Athanasios; Small, David H.; Reid, Brian (1994-11)
Review , Issue Nov , Pages 31-51

Working Paper
Quantitative monetary easing and risk in financial asset markets
Small, David H.; Kimura, Takeshi (2004)
In this paper, we empirically examine the portfolio-rebalancing effects stemming from the policy of "quantitative monetary easing" recently undertaken by the Bank of Japan when the nominal short-term interest rate was virtually at zero. Portfolio-rebalancing effects resulting from the open market purchase of long-term government bonds under this policy have been statistically significant. Our results also show that the portfolio-rebalancing effects were beneficial in that they reduced risk premiums on assets with counter-cyclical returns, such as government and high-grade corporate bonds. ...
Finance and Economics Discussion Series , Paper 2004-57

Working Paper
A quantitative exploration of the opportunistic approach to disinflation
Small, David H.; Wilcox, David W.; Wieland, Volker W.; Orphanides, Athanasios (1997)
A number of observers have advocated recently that the Federal Reserve take an ``opportunistic'' approach to the conduct of monetary policy. A hallmark of this approach is that the central bank focuses on fighting inflation when inflation is high, but focuses on stabilizing output when inflation is low. The implied policy rule is nonlinear. This paper compares the behavior of inflation and output under opportunistic and conventional linear policies. Using stochastic simulations of a small-scale rational expectations model, we study the cost and time required to achieve a given disinflation, ...
Finance and Economics Discussion Series , Paper 1997-36

Journal Article
Understanding the behavior of M2 and V2
Porter, Richard D.; Small, David H. (1989-04)
Federal Reserve Bulletin , Issue Apr

Working Paper
Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases
Giannone, Domenico; Reichlin, Lucrezia; Small, David H. (2005)
This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing "news" on the basis of an evolving conditioning information set. The marginal contribution is then split into what is due to timeliness of information and what is due to economic content. We find that the Federal Reserve Bank of Philadelphia surveys have a large marginal impact on the nowcast of both inflation variables and real ...
Finance and Economics Discussion Series , Paper 2005-42

Working Paper
The scope of monetary policy actions authorized under the Federal Reserve Act
Clouse, James A.; Small, David H. (2004)
The Federal Reserve Act authorizes the Federal Reserve to undertake various types of discount window loans and open market operations. While the Federal Reserve generally has not found it necessary to use all types of such authority, there could be circumstances in which the Federal Reserve might need to consider utilizing its statutory authority more broadly than it has in the past. We examine the limits imposed by the Federal Reserve Act along two dimensions: those types of counterparties and financial instruments with which the Federal Reserve may conduct monetary policy. In doing so, we ...
Finance and Economics Discussion Series , Paper 2004-40

Working Paper
Estimating the interest rate sensitivity of liquid retail deposit values
Orphanides, Athanasios; Small, David H.; O'Brien, James M. (1994)
Finance and Economics Discussion Series , Paper 94-15