Search Results
High inflation disproportionately hurts low-income households
Household survey results do not support Nobel laureate economist Paul Krugman's recent suggestion that low-income families “have actually been hurt less by inflation than families with higher incomes.”
Working Paper
The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility
We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that vary by sector, volume and degree of jump activity. We use extended HAR-RV models, and consider different frequencies (5, 60 and 300 seconds), forecast horizons (1, 5, 22 and 66 days) and the use of standard and robust-to-noise volatility and threshold bipower variation measures. Incorporating signed finite and infinite jumps generates significantly better ...
Working Paper
Understanding the Exposure at Default Risk of Commercial Real Estate Construction and Land Development Loans
We study and model the determinants of exposure at default (EAD) for large U.S. construction and land development loans from 2010 to 2017. EAD is an important component of credit risk, and commercial real estate (CRE) construction loans are more risky than income producing loans. This is the first study modeling the EAD of construction loans. The underlying EAD data come from a large, confidential supervisory dataset used in the U.S. Federal Reserve’s annual Comprehensive Capital Assessment Review (CCAR) stress tests. EAD reflects the relative bargaining ability and information sets of ...
Journal Article
Increased credit availability, rising asset prices help boost consumer spending
A combination of much less household debt, revived access to consumer credit and recovering asset prices have holstered U.S. consumer spending. This trend will likely continue despite an estimated 50 percent reduction since the mid-2000s of the housing wealth effect?an important amplifier during the boom years.
Working Paper
The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility
We propose a novel approach to decompose realized jump measures by type of activity (finite/infinite) and sign, and also provide noise-robust versions of the ABD jump test (Andersen et al., 2007b) and realized semivariance measures. We find that infinite (finite) jumps improve the forecasts at shorter (longer) horizons; but the contribution of signed jumps is limited. As expected, noise-robust measures deliver substantial forecast improvements at higher sampling frequencies, although standard volatility measures at the 300-second frequency generate the smallest MSPEs. Since no single model ...
Working Paper
Mobility and Engagement Following the SARS-Cov-2 Outbreak
We develop a Mobility and Engagement Index (MEI) based on a range of mobility metrics from Safegraph geolocation data, and validate the index with mobility data from Google and Unacast. We construct MEIs at the county, MSA, state and nationwide level, and link these measures to indicators of economic activity. According to our measures, the bulk of sheltering-in-place and social disengagement occurred during the week of March 15 and simultaneously across the U.S. At the national peak of the decline in mobility in early April, localities that engaged in a 10% larger decrease in mobility than ...
Journal Article
When will the U.S. housing market stabilize?
The hope that housing markets had stabilized in mid-2010 was dashed by subsequent declines in home construction and prices (Charts 1 and 2). Homebuilding peaked about five years ago, and housing prices almost four years ago. Amid such a prolonged downturn, a key question becomes, When will the housing market stabilize and support the economic recovery? We suggest that new home construction may stabilize and start recovering slowly within the next year or so. Our econometric results also indicate that national house prices may hit bottom late this year or in early 2012 and then recover slowly.
Working Paper
Shifting credit standards and the boom and bust in U.S. house prices
The U.S. house price boom has been linked to an unsustainable easing of mortgage credit standards. However, standard time series models of U.S. house prices omit credit constraints and perform poorly in the 2000s. We incorporate data on credit constraints for first-time buyers into a model of U.S. house prices based on the (inverted) demand for housing services. The model yields not only a stable long-run cointegrating relationship, a reasonable speed of adjustment, plausible income and price elasticities and an improved fit, but also sensible estimates of tax credit effects and the possible ...
Dallas Fed Mobility and Engagement Index Gives Insight into COVID-19’s Economic Impact
To gain insight into the economic impact of the pandemic, we developed an index of mobility and engagement, based on geolocation data collected from a large sample of mobile devices.
Working Paper
A Novel MIMIC-Style Model of European Bank Technical Efficiency and Productivity Growth
Using Bayesian Monte Carlo methods, we augment a stochastic distance function measure of bank efficiency and productivity growth with indicators of capitalization, return and risk. Our novel Multiple Indicator-Multiple Cause (MIMIC) style model generates more precise estimates of policy relevant parameters such as returns to scale, technical inefficiency and productivity growth. We find considerable variation in the performance of EU-15 banks over the period 2008 to 2015. For the vast majority of banks, productivity growth – the sum of efficiency and technical changes – is negative, ...