Search Results

Showing results 1 to 10 of approximately 28.

(refine search)
Author:Edge, Rochelle M. 

Working Paper
Taxation and the Taylor principle

We add a nominal tax system to a sticky-price monetary business cycle model. When nominal interest income is taxed, the coefficient on inflation in a Taylor-type monetary policy rule must be significantly larger than one in order for the model economy to have a determinate rational expectations equilibrium. When depreciation is treated as a charge against taxable income, an even larger weight on inflation is required in the Taylor rule in order to obtain a determinate and stable equilibrium. These results have obvious implications for assessing the historical conduct of monetary policy.
Finance and Economics Discussion Series , Paper 2002-51

Discussion Paper
Measuring the Severity of Stress-Test Scenarios

This note presents a simple methodology for measuring the severity of stress-test scenarios, which relies on a comparison of scenario developments with historically stressful episodes--specifically, recessions and house-price retrenchments.
FEDS Notes , Paper 2017-05-05

Working Paper
Financial Stability Committees and Basel III Macroprudential Capital Buffers

We evaluate how a country’s governance structure for macroprudential policy affects its implementation of Basel III macroprudential capital buffers. We find that the probabilities of using the countercyclical capital buffer (CCyB) are higher in countries that have financial stability committees (FSCs) with stronger governance mechanisms and fewer agencies, which reduces coordination problems. These higher probabilities are more sensitive to credit growth, consistent with the CCyB being used to mitigate systemic risk. A country’s probability of using the CCyB is even higher when the FSC ...
Finance and Economics Discussion Series , Paper 2020-016

Working Paper
Documentation of the Research and Statistics Division’s estimated DSGE model of the U.S. economy: 2006 version

This paper provides documentation for the large-scale estimated DSGE model of the U.S. economy used in Edge, Kiley, and Laforte (2007). The model represents part of an ongoing research project (the Federal Reserve Board's Estimated, Dynamic, Optimization-based--FRB/EDO--model project) in the Macroeconomic and Quantitative Studies section of the Federal Reserve Board aimed at developing a DSGE model that can be used to address practical policy questions and the model documented here is the version that was current at the end of 2006. The paper discusses the model's specification, estimated ...
Finance and Economics Discussion Series , Paper 2007-53

Working Paper
The unreliability of credit-to-GDP ratio gaps in real-time: Implications for countercyclical capital buffers

Macroeconomists have long recognized that activity-gap measures are unreliable in real time and that this can present serious difficulties for stabilization policy. This paper investigates whether the credit-to-GDP ratio gap, which has been proposed as a reference point for accumulating countercyclical capital buffers, is subject to similar problems. We find that ex-post revisions to the U.S. credit-to-GDP ratio gap are sizable and as large as the gap itself, and that the main source of these revisions stems from the unreliability of end-of-sample estimates of the series' trend rather than ...
Finance and Economics Discussion Series , Paper 2011-37

Working Paper
A comparison of forecast performance between Federal Reserve staff forecasts, simple reduced-form models, and a DSGE model

This paper considers the "real-time" forecast performance of the Federal Reserve staff, time-series models, and an estimated dynamic stochastic general equilibrium (DSGE) model--the Federal Reserve Board's new Estimated, Dynamic, Optimization-based (Edo) model. We evaluate forecast performance using out-of-sample predictions from 1996 through 2005, thereby examining over 70 forecasts presented to the Federal Open Market Committee (FOMC). Our analysis builds on previous real-time forecasting exercises along two dimensions. First, we consider time-series models, a structural DSGE model that ...
Finance and Economics Discussion Series , Paper 2009-10

Discussion Paper
A New Dataset of Macroprudential Policy Governance Structures

Governance structures are a critical part of a framework for implementing macroprudential policy, alongside methodologies for measuring and monitoring systemic risk, and analyses to understand the impact of policies that may be used to mitigate risk. As part of various research projects to study macroprudential policy frameworks, we have compiled a new dataset of governance structures in 58 countries. This note documents the construction of our dataset, including the decisions that we made concerning the countries and governance-structure facts to record in our dataset, and it discusses the ...
IFDP Notes , Paper 2017-11-07

Working Paper
New Financial Stability Governance Structures and Central Banks

We evaluate the institutional frameworks developed to implement time-varying macroprudential policies in 58 countries. We focus on new financial stability committees (FSCs) that have grown dramatically in number since the global financial crisis, and their interaction with central banks, and infer countries? revealed preferences for effectiveness versus political economy considerations. Using cluster analysis, we find that only one-quarter of FSCs have both good processes and good tools to implement macroprudential actions, and that instead most FSCs have been designed to improve ...
Finance and Economics Discussion Series , Paper 2019-019

Working Paper
General-equilibrium effects of investment tax incentives

This paper develops a new-Keynesian model with nominal depreciation allowances to consider the effects of temporary tax-based investment incentives on capital spending and real activity. In particular, we investigate the effects of a temporary expensing allowance on investment in partial and general equilibrium and challenge the conventional view, advanced by Auerbach and Summers (1979) and Judd (1985), that partial-equilibrium analyses overstate the calculated impact of such policies. We also explore two additional questions. First, we investigate a claim noted by Auerbach and Summers and ...
Finance and Economics Discussion Series , Paper 2010-17

Discussion Paper
Credit-to-GDP Trends and Gaps by Lender-and Credit-type

The one-sided credit-to-GDP gap -- measured as the difference between the level of private nonfinancial sector credit-to-GDP and its one-sided Hodrick-Prescott (HP) filtered trend (with λ=400,000) -- is a prominent variable in the decision-making framework proposed by the BCBS for the Basel III countercyclical capital buffer (CCyB).
FEDS Notes , Paper 2015-12-03


FILTER BY Content Type

FILTER BY Jel Classification

G28 2 items

E58 1 items

G18 1 items

G21 1 items

H11 1 items

H19 1 items

show more (2)