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Working Paper
Missing Import Price Changes and Low Exchange Rate Pass-Through
Vigfusson, Robert J.; Gagnon, Etienne; Mandel, Benjamin R. (2012)
A large body of empirical work has found that exchange rate movements have only modest effects on inflation. However, the response of an import price index to exchange rate movements may be underestimated because some import price changes are missed when constructing the index. We investigate downward biases that arise when items experiencing a price change are especially likely to exit or to enter the index. We show that, in theoretical pricing models, entry and exit have different implications for the timing and size of these biases. Using Bureau of Labor Statistics (BLS) microdata, we ...
International Finance Discussion Papers , Paper 1040

Working Paper
Patent-Based News Shocks
Vukotić, Marija; Cascaldi-Garcia, Danilo (2020-04-17)
We exploit firm-level data on patent grants and subsequent reactions of stocks to identify technological news shocks. Changes in stock market valuations due to announcements of individual patent grants represent expected future increases in the technology level, which we refer to as patent-based news shocks. Our patentbased news shocks resemble diffusion news, in that they do not affect total factor productivity in the short run but induce a strong permanent effect after five years. These shocks produce positive comovement between consumption, output, investment, and hours. Unlike the ...
International Finance Discussion Papers , Paper 1277

Report
Credit Frictions in the Great Recession
Pastorino, Elena; Lopez, Pierlauro; Midrigan, Virgiliu; Kehoe, Patrick J. (2020-12-15)
Although a credit tightening is commonly recognized as a key determinant of the Great Recession, to date, it is unclear whether a worsening of credit conditions faced by households or by firms was most responsible for the downturn. Some studies have suggested that the household-side credit channel is quantitatively the most important one. Many others contend that the firm-side channel played a crucial role. We propose a model in which both channels are present and explicitly formalized. Our analysis indicates that the household-side credit channel is quantitatively more relevant than the ...
Staff Report , Paper 617

Working Paper
Macroeconomic Implications of Uniform Pricing
Kozlowski, Julian; Daruich, Diego (2021-01-29)
We compile a new database of grocery prices in Argentina. We find uniform pricing both within and across regions—i.e., prices almost do not vary within stores of a chain. In line with uniform pricing, prices in stores of chains operating in one region react to changes in regional employment, while prices in multi-region chains do not. Using a quantitative regional model with multi-region firms and uniform pricing, we find a one-half smaller elasticity of prices to a regional than an aggregate shock. This result highlights that some caution may be necessary when using regional shocks to ...
Working Papers , Paper 2019-024

Report
Optimal Monetary Policy According to HANK
Dogra, Keshav; Challe, Edouard; Acharya, Sushant (2020-02-01)
We study optimal monetary policy in a heterogeneous agent new Keynesian economy. A utilitarian planner seeks to reduce consumption inequality, in addition to stabilizing output gaps and inflation. The planner does so both by reducing income risk faced by households, and by reducing the pass-through from income to consumption risk, trading off the benefits of lower inequality against productive inefficiency and higher inflation. When income risk is countercyclical, policy curtails the fall in output in recessions to mitigate the increase in inequality. We uncover a new form of time ...
Staff Reports , Paper 916

Working Paper
Search with wage posting under sticky prices
Mustre-del-Rio, Jose; Foerster, Andrew T. (2014-12-01)
Research Working Paper , Paper RWP 14-17

Journal Article
Consumer Price Inflation and Rising Rents in the West
Rappaport, Jordan; Redmond, Michael (2016-12-19)
Rising home rents in four western metros have increasingly boosted consumer price inflation.
Macro Bulletin

Working Paper
Land Price Dynamics and Macroeconomic Fluctuations with Imperfect Substitution in Real Estate Markets
Davis, J. Scott; Sapci, Ayse; Huang, Kevin X. D. (2021-05-18)
The collateral channel, whereby an increase in residential house prices leads to an increase in commercial property prices, loosening firm borrowing constraints and leading to higher firm investment, is weaker when residential and commercial real estate are imperfect substitutes. We first show in a reduced form regression with firm level data that the strength of local zoning regulations has a negative effect on the estimated increase in firm investment following an increase in local residential real estate prices. We then modify the DSGE model of the collateral channel in Liu, Wang, and Zha ...
Globalization Institute Working Papers , Paper 401

Working Paper
Forecasting US Inflation in Real Time
Fulton, Chad; Hubrich, Kirstin (2021-03-04)
We perform a real-time forecasting exercise for US inflation, investigating whether and how additional information--additional macroeconomic variables, expert judgment, or forecast combination--can improve forecast accuracy and robustness. In our analysis we consider the pre-pandemic period including the Global Financial Crisis and the following expansion--the longest on record--featuring unemployment that fell to a rate not seen for nearly sixty years. Distinguishing features of our study include the use of published Federal Reserve Board staff forecasts contained in Tealbooks and a focus on ...
Finance and Economics Discussion Series , Paper 2021-014

Working Paper
Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements
Yang, Shu-Kuei X.; Song, Dongho; Doh, Taeyoung (2020-10-06)
We apply a natural language processing algorithm to FOMC statements to construct a new measure of monetary policy stance, including the tone and novelty of a policy statement. We exploit cross-sectional variations across alternative FOMC statements to identify the tone (for example, dovish or hawkish), and contrast the current and previous FOMC statements released after Committee meetings to identify the novelty of the announcement. We then use high-frequency bond prices to compute the surprise component of the monetary policy stance. Our text-based estimates of monetary policy surprises are ...
Research Working Paper , Paper RWP 20-14

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