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Working Paper
Quantifying "Quantitative Tightening" (QT): How Many Rate Hikes Is QT Equivalent To?
Wei, Bin
(2022-07-15)
How many interest rate hikes is quantitative tightening (QT) equivalent to? In this paper, I examine this question based on the preferred-habitat model in Vayanos and Vila (2021). I define the equivalence between rate hikes and QT such that they both have the same impact on the 10-year yield. Based on the model calibrated to fit the nominal Treasury data between 1999 and 2022, I show that a passive roll-off of $2.2 trillion over three years is equivalent to an increase of 29 basis points in the current federal funds rate at normal times. However, during a crisis period with risk aversion ...
FRB Atlanta Working Paper
, Paper 2022-8
Working Paper
Bankruptcy and Delinquency in a Model of Unsecured Debt
Young, Eric R.; Athreya, Kartik B.; Sanchez, Juan M.; Tam, Xuan S.
(2016-12-01)
This paper documents and interprets two facts central to the dynamics of informal default or "delinquency" on unsecured consumer debt. First, delinquency does not mean a persistent cessation of payment. In particular, we observe that for individuals 60 to 90 days late on payments, 85% make payments during the next quarter that allow them to avoid entering more severe delinquency. Second, many in delinquency (40%) have smaller debt obligations one quarter later. To understand these facts, we develop a theoretically and institutionally plausible model of debt delinquency and bankruptcy. Our ...
Working Paper
, Paper 16-12
Report
Modigliani Meets Minsky: Inequality, Debt, and Financial Fragility in America, 1950-2016
Bartscher, Alina K.; Steins, Ulrike I.; Schularick, Moritz; Kuhn, Moritz
(2020-05-01)
This paper studies the secular increase in U.S. household debt and its relation to growing income inequality and financial fragility. We exploit a new household-level data set that covers the joint distributions of debt, income, and wealth in the United States over the past seven decades. The data show that increased borrowing by middle-class families with low income growth played a central role in rising indebtedness. Debt-to-income ratios have risen most dramatically for households between the 50th and 90th percentiles of the income distribution. While their income growth was low, ...
Staff Reports
, Paper 924
Working Paper
Pandemic Recession Dynamics: The Role of Monetary Policy in Shifting a U-Shaped Recession to a V-Shaped Rebound
Kiley, Michael T.
(2020-10-07)
COVID-19 has depressed economic activity around the world. The initial contraction may be amplified by the limited space for conventional monetary policy actions to support recovery implied by the low level of nominal interest rates recently. Model simulations assuming an initial contraction in output of 10 percent suggest several policy lessons. Adverse effects of constrained monetary policy space are large, changing a V-shaped rebound into a deep U-shaped recession absent large-scale Quantitative Easing (QE). Additionally, the medium-term scarring on economic potential can be large, and ...
Finance and Economics Discussion Series
, Paper 2020-083
Working Paper
Credit, bankruptcy, and aggregate fluctuations
Nakajima, Makoto; Rios-Rull, Jose-Victor
(2014-10-20)
We ask two questions related to how access to credit affects the nature of business cycles. First, does the standard theory of unsecured credit account for the high volatility and procyclicality of credit and the high volatility and countercyclicality of bankruptcy filings found in U.S. data? Yes, it does, but only if we explicitly model recessions as displaying countercyclical earnings risk (i.e., rather than having all households fare slightly worse than normal during recessions, we ensure that more households than normal fare very poorly). Second, does access to credit smooth aggregate ...
Working Papers
, Paper 14-31
Working Paper
Bond Risk Premiums at the Zero Lower Bound
Andreasen, Martin M.; Joergensen, Kasper; Meldrum, Andrew C.
(2019-05-28)
This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but extending the model with regime-switching in the (physical) dynamics of the factors at the lower bound resolves this shortcoming. The model is also consistent with the downwards trend in surveys on short rate expectations at long horizons, but requires a break in the level of its factors to closely fit the ...
Finance and Economics Discussion Series
, Paper 2019-040
Working Paper
Credit-Market Sentiment and the Business Cycle
López-Salido, J. David; Zakrajšek, Egon; Stein, Jeremy C.
(2015-04-25)
Using U.S. data from 1929 to 2015, we show that elevated credit-market sentiment in year t-2 is associated with a decline in economic activity in years t and t+1. Underlying this result is the existence of predictable mean reversion in credit-market conditions. When credit risk is aggressively priced, spreads subsequently widen. The timing of this widening is, in turn, closely tied to the onset of a contraction in economic activity. Exploring the mechanism, we find that buoyant credit-market sentiment in year t-2 also forecasts a change in the composition of external finance: Net debt ...
Finance and Economics Discussion Series
, Paper 2015-28
Working Paper
The International Spillovers of Synchronous Monetary Tightening
Caldara, Dario; Ferrante, Francesco; Iacoviello, Matteo; Prestipino, Andrea; Queraltó, Albert
(2023-11-29)
We use historical data and a calibrated model of the world economy to study how a synchronous monetary tightening can amplify cross-border transmission of monetary policy. The empirical analysis shows that historical episodes of synchronous tightening are associated with tighter financial conditions and larger effects on economic activity than asynchronous ones. In the model, a sufficiently large synchronous tightening can disrupt intermediation of credit by global financial intermediaries causing large output losses and an increase in sacrifice ratios, that is, output lost for a given ...
International Finance Discussion Papers
, Paper 1384
Working Paper
Flights to Safety
Wei, Min; Inghelbrecht, Koen; Bekaert, Geert; Baele, Lieven
(2014-06-05)
Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The majority of FTS events are country-specific not global. FTS episodes coincide with increases in the VIX and the Ted spread, decreases in consumer sentiment indicators and appreciations of the Yen, Swiss franc, and US dollar. The financial, basic materials and industrial industries under-perform in FTS episodes, but the telecom industry outperforms. Money ...
Finance and Economics Discussion Series
, Paper 2014-46
Working Paper
Financial Conditions and Economic Activity: Insights from Machine Learning
Kiley, Michael T.
(2020-11-16)
Machine learning (ML) techniques are used to construct a financial conditions index (FCI). The components of the ML-FCI are selected based on their ability to predict the unemployment rate one-year ahead. Three lessons for macroeconomics and variable selection/dimension reduction with large datasets emerge. First, variable transformations can drive results, emphasizing the need for transparency in selection of transformations and robustness to a range of reasonable choices. Second, there is strong evidence of nonlinearity in the relationship between financial variables and economic ...
Finance and Economics Discussion Series
, Paper 2020-095
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E17 1 items
E2 1 items
E25 1 items
E41 1 items
E53 1 items
E65 1 items
F00 1 items
F11 1 items
F13 1 items
F3 1 items
F37 1 items
F43 1 items
F55 1 items
F66 1 items
G19 1 items
G22 1 items
G3 1 items
G31 1 items
G38 1 items
G40 1 items
H21 1 items
H24 1 items
H43 1 items
H56 1 items
H57 1 items
J2 1 items
J24 1 items
J30 1 items
J31 1 items
J38 1 items
J41 1 items
K12 1 items
K22 1 items
L13 1 items
L14 1 items
M20 1 items
M21 1 items
N2 1 items
N32 1 items
O24 1 items
O30 1 items
O31 1 items
O33 1 items
O53 1 items
Q20 1 items
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FILTER BY Keywords
monetary policy 77 items
financial frictions 30 items
liquidity 25 items
COVID-19 24 items
Financial crises 19 items
Inflation 17 items
financial crisis 17 items
business cycles 16 items
Great Recession 15 items
bank lending 15 items
investment 14 items
Bankruptcy 13 items
financial stability 13 items
quantitative easing 13 items
leverage 12 items
Banking 11 items
Financial Distress 11 items
asset prices 11 items
Sovereign default 10 items
Consumption 10 items
International Spillovers 10 items
Mortgage 10 items
misallocation 10 items
Banks 9 items
Default 9 items
Delinquency 9 items
Inequality 9 items
Uncertainty 9 items
Asset pricing 9 items
credit card debt 9 items
zombie firms 8 items
Debt 8 items
Foreclosure 8 items
Interest rates 8 items
Macroprudential policy 8 items
banking panics 8 items
evergreening 8 items
DSGE models 7 items
Learning 7 items
Open Economy Macroeconomics 7 items
Panel Data Estimation 7 items
financial intermediation 7 items
Incomplete markets 7 items
Recession 7 items
Unconventional monetary policy 7 items
collateral constraints 7 items
contagion 7 items
financial shocks 7 items
firm dynamics 7 items
heterogeneous firms 7 items
Multiplicity 6 items
Self-fulfilling debt crises 6 items
Treasury securities 6 items
excess bond premium 6 items
household debt 6 items
Bank runs 6 items
Bargaining 6 items
Consumer credit 6 items
Credit 6 items
Credit crunch 6 items
Employment 6 items
Forward guidance 6 items
Tail Risk 6 items
exchange rates 6 items
present bias 6 items
systemic risk 6 items
Credit supply 6 items
Federal Reserve System 5 items
Stagnations 5 items
bank closures 5 items
federal funds rates 5 items
Capital requirements 5 items
Convenience yields 5 items
Credit constraints 5 items
Search 5 items
adverse selection 5 items
collateral 5 items
emerging markets 5 items
financial markets 5 items
money markets 5 items
repo 5 items
shadow banking 5 items
Agency securities 4 items
Banking system 4 items
Equity and bond yields 4 items
Federal Reserve 4 items
Geography 4 items
Great Moderation 4 items
Large-Scale Asset Purchases (LSAP) 4 items
Over-the-counter market 4 items
Panic of 1907 4 items
Price informativeness 4 items
TIPS 4 items
Treasury bond short interest 4 items
Welfare 4 items
bond risk premia 4 items
event study 4 items
global financial cycle 4 items
heterogeneity 4 items
interbank markets 4 items
international finance 4 items
liquidity risk 4 items
local projections 4 items
public debt 4 items
risk premia 4 items
stochastic volatility 4 items
Bank regulation 4 items
Consumer bankruptcy 4 items
Credit Spreads 4 items
Financial Conditions 4 items
Fiscal policy 4 items
Identification 4 items
Lending Channel 4 items
Macroeconomic announcements 4 items
Stock Market 4 items
Sudden Stops 4 items
Survey Forecasts 4 items
Term Premium 4 items
Unemployment 4 items
Volatility 4 items
Bank Profitability 3 items
Bayesian VARs 3 items
Bayesian methods 3 items
Credit Card 3 items
Fed funds market 3 items
Heterogeneous agents 3 items
Home ownership 3 items
Liquidity requirements 3 items
Liquidity trap 3 items
Macroeconomic Releases, FOMC 3 items
Optimal monetary policy 3 items
Price discovery 3 items
Ricardian equivalence 3 items
Risk Premium 3 items
Startup rates 3 items
Sufficient statistics 3 items
Syndicated loans 3 items
TRACE 3 items
U.S. monetary policy spillovers 3 items
Variance Risk 3 items
Yield curve 3 items
corporate debt 3 items
financial fragility 3 items
financial market frictions 3 items
interbank network 3 items
interbank networks 3 items
internal capital markets 3 items
monetary policy transmission 3 items
mortgage finance 3 items
mortgages 3 items
quantitative tightening 3 items
structural breaks 3 items
term structure 3 items
zero lower bound 3 items
zombie lending 3 items
Asymmetric Information 3 items
Bank Credit 3 items
Business cycle 3 items
Credit easing 3 items
asset purchases 3 items
bank loans 3 items
bubbles 3 items
call loan rate 3 items
capital flows 3 items
convergence 3 items
credit channel 3 items
Agency costs 2 items
Asset-pricing 2 items
Banking conditions 2 items
Bayesian VAR 2 items
Bayesian estimation 2 items
Belief-driven business cycles 2 items
Beliefs 2 items
CDS 2 items
CGE models 2 items
Capital 2 items
Capital Reallocation 2 items
Capital tax 2 items
Chinese economy 2 items
Collateral channel 2 items
Covered interest rate parity 2 items
Debt-deflation 2 items
Density Forecasts 2 items
ELB 2 items
Effective lower bound 2 items
Endogenous security markets 2 items
Equity premium 2 items
European crisis 2 items
FinTech 2 items
Financial constraints 2 items
Fire sales 2 items
Firm heterogeneity 2 items
Forecasting 2 items
Great Inflation 2 items
Household leverage 2 items
Information asymmetry 2 items
Intangible Capital 2 items
Lending standards 2 items
Liquidity traps 2 items
Low interest rates 2 items
Macroeconomic priorities 2 items
Macroeconomic volatility 2 items
Minnesota Prior 2 items
Monetary Policy Implementation 2 items
Monetary policy cooperation 2 items
Money 2 items
National Banking system 2 items
Negative Interest Rates 2 items
Optimal level of government debt 2 items
Public information 2 items
QE 2 items
QT 2 items
Quantile Regressions 2 items
Reallocation 2 items
Sovereign debt crises 2 items
Structural VAR 2 items
Structural shocks 2 items
Temptation and self-control 2 items
Term Structure of Interest Rates 2 items
Uncertainty shocks 2 items
Welfare cost of business cycles 2 items
World Interest Rate 2 items
agency mortgage-backed securities 2 items
aggregate fluctuations 2 items
ambiguity aversion 2 items
bank 2 items
bargaining shocks 2 items
central bank credibility 2 items
credit market support facilities 2 items
currency premium 2 items
debt crisis 2 items
debt management 2 items
economic development 2 items
economic reform 2 items
endogenous TFP 2 items
expectation formation 2 items
federal funds market 2 items
financial development 2 items
financial spillovers 2 items
firm debt 2 items
foreign debt 2 items
global 2 items
global banks 2 items
global financial risk 2 items
global imbalances 2 items
haircut 2 items
historical narrative 2 items
house prices 2 items
housing 2 items
housing boom 2 items
housing prices 2 items
immoderation 2 items
inflation expectations 2 items
inflation risk premium 2 items
input-output linkages 2 items
instrumental variables 2 items
intermediary asset pricing 2 items
international business cycles 2 items
investment banking 2 items
liftoff 2 items
liquidity premium 2 items
macro-finance 2 items
macroprudential regulations 2 items
monetary policy shocks 2 items
natural rate of interest 2 items
net interest margins 2 items
nominal rigidities 2 items
optimal contracting 2 items
over-the-counter 2 items
pandemics 2 items
preferred-habitat 2 items
productivity growth 2 items
purchase effects 2 items
rate hikes 2 items
rational bubbles 2 items
real estate 2 items
real-time forecasts 2 items
recessions 2 items
repurchase agreements 2 items
reserves 2 items
return predictability 2 items
risk 2 items
runs 2 items
securities dealers 2 items
securities lending 2 items
securitization 2 items
sovereign bond markets 2 items
sovereign bonds 2 items
sovereign defaults 2 items
spillovers 2 items
strategic complementarities 2 items
term premiums 2 items
term spread 2 items
term structure modeling 2 items
term structures 2 items
threshold effects 2 items
time-varying uncertainty 2 items
transmission 2 items
tri-party repos 2 items
trilemma 2 items
wholesale funding 2 items
yield curves 2 items
Balance Sheet Policy 2 items
Bank Capital 2 items
Bond Return Predictability 2 items
Borrowing Constraint 2 items
Borrowing Constraints 2 items
Central Bank Communication 2 items
Company Level Matching 2 items
Adaptive expectations 1 items
Aggregate matching efficiency 1 items
Anchoring of inflation expectations 1 items
Animal spirits 1 items
Asset directed search 1 items
Asset liquidity 1 items
Asset price 1 items
Asset price volatility 1 items
Asset return predictability 1 items
Asymmetry 1 items
Bailouts 1 items
Balance sheet management 1 items
Balance sheet policy surprises 1 items
Balance sheet recession 1 items
Bank and nonbank financial institutions 1 items
Bank concentration 1 items
Bank credit allocation 1 items
Bank financial position 1 items
Bank financial soundness 1 items
Bank lending channel 1 items
Bank leverage 1 items
Bank losses 1 items
Bank risk 1 items
Bank size distribution 1 items
Bank valuation 1 items
Banking crises 1 items
Banking industry dynamics 1 items
Banking panic 1 items
Bayesian SVAR models 1 items
Bayesian maximum likelihood 1 items
Big Data 1 items
Bilateral matching 1 items
Bond premiums 1 items
Bond term premium 1 items
Borrowing premia 1 items
Bottom-up Forecast 1 items
Breakeven 1 items
Bretton Woods II 1 items
Broker-dealers 1 items
Business Cycle Fluctuations 1 items
CIP deviations 1 items
CMBS 1 items
Capital Controls 1 items
Capital Search 1 items
Capital flow management 1 items
Capital structure 1 items
Central Bank Swap Lines 1 items
Central Banking 1 items
Central bank lending authority 1 items
China 1 items
Climate 1 items
Cointegration 1 items
Collateralized loan obligations 1 items
Commercial and industrial loans 1 items
Commercial loans 1 items
Commercial real estate 1 items
Commodity prices 1 items
Constant conditional correlation model. 1 items
Consumer Debt 1 items
Convenience Yield 1 items
Corporate bond market 1 items
Corporate intangible capital 1 items
Corporate investment 1 items
Corporate profits 1 items
Cost Of Capital 1 items
Costly state verification 1 items
Credit Cycles 1 items
Credit Default Swaps 1 items
Credit Lines 1 items
Credit Reallocation 1 items
Credit channel of monetary policy 1 items
Credit frictions 1 items
Credit market segmentation 1 items
Credit policies 1 items
Credit risk 1 items
Credit standards 1 items
Credit-market sentiment 1 items
Cross-Sectional 1 items
Cross-Sectional Skewness 1 items
Cross-country analysis 1 items
Currency misalignments 1 items
Currency options 1 items
Current account 1 items
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