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Author:Bundick, Brent 

Conference Paper
Housing, housing finance, and monetary policy: an introduction to the Bank's 2007 Economic Symposium

Proceedings - Economic Policy Symposium - Jackson Hole

Working Paper
Do federal funds futures need adjustment for excess returns? a state-dependent approach

This paper utilizes a Markov-switching framework to model excess returns in federal funds futures contracts. This framework identifies a high-volatility state where excess returns are large, positive, and volatile and a low-volatility state where excess returns have a lower volatility and are small in absolute value. Federal funds futures rates require adjustment for excess returns only in the high-volatility state. Intermeeting rate cuts of the federal funds rate target always correspond with the high-volatility regime and can explain much of the variation in excess returns. This paper also ...
Research Working Paper , Paper RWP 07-08

Working Paper
Uncertainty shocks in a model of effective demand

Can increased uncertainty about the future cause a contraction in output and its components? An identified uncertainty shock in the data causes significant declines in output, consumption, investment, and hours worked. Standard general-equilibrium models with flexible prices cannot reproduce this comovement. However, uncertainty shocks can easily generate comovement with countercyclical markups through sticky prices. Monetary policy plays a key role in offsetting the negative impact of uncertainty shocks during normal times. Higher uncertainty has even more negative effects if monetary ...
Research Working Paper , Paper RWP 14-15

Working Paper
Does Communicating a Numerical Inflation Target Anchor Inflation Expectations? Evidence & Bond Market Implications

High-frequency empirical evidence suggests that inflation expectations in the United States became better anchored after the Federal Reserve began communicating a numerical inflation target. Using an event-study approach, we find that forward measures of inflation compensation became unresponsive to news about current inflation after the adoption of an explicit inflation target. In contrast, we find that forward measures of nominal compensation in Japan continued to drift with news about current inflation, even after the Bank of Japan adopted a numerical inflation target. These empirical ...
Research Working Paper , Paper RWP 18-1

Working Paper
The dynamic effects of forward guidance shocks

We examine the macroeconomic effcts of forward guidance shocks at the zero lower bound. Empirically, we identify forward guidance shocks using unexpected changes in futures contracts around monetary policy announcements. We then embed these policy shocks in a vector autoregression to trace out their macroeconomic implications. Forward guidance shocks that lower expected future policy rates lead to moderate increases in economic activity and inflation. After examining forward guidance shocks in the data, we show that a standard model of nominal price rigidity can reproduce our empirical ...
Research Working Paper , Paper RWP 16-2

Working Paper
Uncertainty Shocks in a Model of Effective Demand: Reply

de Groot, Richter, and Throckmorton (2018) argue that the model in Basu and Bundick (2017) can match the empirical evidence only because the model assumes an asymptote in the economy?s response to an uncertainty shock. In this Reply, we provide new results showing that our model?s ability to match the data does not rely either on assuming preferences that imply an asymptote nor on a particular value of the intertemporal elasticity of substitution. We demonstrate that shifting to preferences that are not vulnerable to the Comment?s critique does not change our previous conclusions about the ...
Research Working Paper , Paper RWP 18-5

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 ...
Research Working Paper , Paper RWP 17-7

Working Paper
Endogenous volatility at the zero lower bound: implications for stabilization policy

At the zero lower bound, the central bank's inability to offset shocks endogenously generates volatility. In this setting, an increase in uncertainty about future shocks causes significant contractions in the economy and may lead to non-existence of an equilibrium. The form of the monetary policy rule is crucial for avoiding catastrophic outcomes. State-contingent optimal monetary and fiscal policies can attenuate this endogenous volatility by stabilizing the distribution of future outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and ...
Research Working Paper , Paper RWP 15-1

Journal Article
The Rise and Fall of College Tuition Inflation

The cost of college tuition increased rapidly from 1980 to 2004 at a rate of about 7 percent per year, significantly outpacing the overall inflation rate. Since 2005, college tuition inflation has slowed markedly and has averaged closer to 2 percent per year for the last few years. Understanding what drives tuition inflation is important for predicting future tuition as well as personal income mobility. However, untangling the various supply and demand factors influencing college tuition can be challenging. {{p}} Brent Bundick and Emily Pollard document changes in college tuition inflation ...
Economic Review , Issue Q I , Pages 57-75

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.
Macro Bulletin

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Smith, Andrew Lee 6 items

Basu, Susanto 4 items

Herriford, Trenton 3 items

Pollard, Emily 2 items

Sellon, Gordon H. 2 items

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E52 9 items

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E58 2 items

E47 1 items

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