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Series:FEDS Notes 

Discussion Paper
New Financial Market Measures of the Neutral Real Rate and Inflation Expectations

Long-term U.S. interest rates have fallen substantially over the last two decades. The 5-to-10-year nominal forward interest rate implied by the prices of U.S. Treasury securities is now about 7 percentage points lower than it was at the start of the 1990s.
FEDS Notes , Paper 2020-08-03

Discussion Paper
An Early Evaluation of the Effects of the Pandemic on Living Arrangements and Household Formation

As with many other aspects of life—including the record-setting decline in employment—the COVID-19 pandemic has profoundly affected the living arrangements of millions of Americans. In this note, we document a fact that has as yet received little attention:
FEDS Notes , Paper 2020-08-07

Discussion Paper
The Cost Structure of Consumer Finance Companies and Its Implications for Interest Rates: Evidence from the Federal Reserve Board's 2015 Survey of Finance Companies

Interest includes compensation not only for forbearance (forgoing current income for future income) and risk bearing but also compensation for expenses incurred to originate, service, and collect loans. The latter expenses are largely fixed, not varying much with the amount of credit.
FEDS Notes , Paper 2020-08-12

Discussion Paper
A New Indicator of Common Wage Inflation

The cyclical state of the economy and the natural rate of unemployment are key unobserved variables in policymakers' analysis of economic developments. The price Phillips curve relates the measures of resource utilization—often through deviations of the unemployment rate from the natural rate of unemployment—to consumer price inflation.
FEDS Notes , Paper 2020-07-08

Discussion Paper
Modeling the Global Effects of the COVID-19 Sudden Stop in Capital Flows

The COVID-19 outbreak has triggered unusually fast outflows of dollar funding from emerging market economies (EMEs). These outflows are known as sudden stop episodes, and are typically followed by economic contractions.
FEDS Notes , Paper 2020-07-02

Discussion Paper
Dealer Inventory Constraints during the COVID-19 Pandemic: Evidence from the Treasury Market and Broader Implications

Strains in the Treasury market in March indicated a decline in broker-dealer inventory capacity, which has historically predicted persistent reductions in market liquidity across asset classes, the availability of financing for non-financial firms, and real activity.
FEDS Notes , Paper 2020-07-17

Discussion Paper
How Did Banks Fund C&I Drawdowns at the Onset of the COVID-19 Crisis?

Banks experienced significant balance sheet expansions in March 2020 due to unprecedented increases in commercial and industrial (C&I) loans and deposit funding. According to the Federal Reserve's H.8 data, "Assets and Liabilities of Commercial Banks in the U.S.", C&I loans increased by nearly $480 billion in March—the largest monthly increase in the history of this series, surpassing the nearly $90 billion increase in C&I loans in the six weeks following Lehman Brothers' collapse in 2008.
FEDS Notes , Paper 2020-07-31-1

Discussion Paper
Monitoring Risk From Collateral Runs

We present an estimate of the total amount of funds primary dealers can access from the intermediation of cash and securities through secured funding transactions (SFTs). We highlight how this activity can introduce an additional source of risk: the abrupt withdrawal of cash borrowers, which we call collateral runs.
FEDS Notes , Paper 2020-07-31-2

Discussion Paper
Principal Trading Firm Activity in Treasury Cash Markets

This FEDS Note aims to share insights on Treasury cash transactions reported in the Financial Industry Regulatory Authority (FINRA)'s Trade Reporting and Compliance Engine (TRACE). Following earlier joint FEDS Notes and Liberty Street Economics blog posts that examined aggregate trading volume in the Treasury cash market across venues and security types, this post sheds light on the trading activity of Principal Trade Firms (PTFs) and other market participants that are not registered broker-dealer members of FINRA.
FEDS Notes , Paper 2020-08-04

Discussion Paper
How Correlated is LIBOR with Bank Funding Costs?

In a recent article in the BIS Quarterly Review, authors Schrimpf and Sushko (2019) provide an overview of the LIBOR transition to risk-free rates led by the FSB Official Sector Steering Group (OSSG). They also argue that rates like LIBOR may be desirable because banks “require a lending benchmark that behaves not too differently from the rates at which they raise funding.”
FEDS Notes , Paper 2020-06-29

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