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Working Paper
Supply and demand shifts of shorts before Fed announcements during QE1–QE3
Planchon, Jade; McInish, Thomas H.; Neely, Christopher J. (2020-12-17)
Cohen, Diether, and Malloy (Journal of Finance, 2007), find that shifts in the demand curve predict negative stock returns. We use their approach to examine changes in supply and demand at the time of FOMC announcements. We show that shifts in the demand for borrowing Treasuries and agencies predict quantitative easing. A reduction in the quantity demanded at all points along the demand curve predicts expansionary quantitative easing announcements.
Working Papers , Paper 2020-051

Working Paper
Is Money Essential? An Experimental Approach
Janet Hua, Jiang,; Norman, Peter; Puzzello, Daniela; Sultanum, Bruno; Wright, Randall (2021-06-30)
Working Paper , Paper 21-12

Working Paper
Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach
Bognanni, Mark; Herbst, Edward (2014-11-12)
Vector autoregressions with Markov-switching parameters (MS-VARs) offer dramatically better data fit than their constant-parameter predecessors. However, computational complications, as well as negative results about the importance of switching in parameters other than shock variances, have caused MS-VARs to see only sparse usage. For our first contribution, we document the effectiveness of Sequential Monte Carlo (SMC) algorithms at estimating MSVAR posteriors. Relative to multi-step, model-specific MCMC routines, SMC has the advantages of being simpler to implement, readily parallelizable, ...
Working Papers (Old Series) , Paper 1427

Working Paper
No Firm Is an Island? How Industry Conditions Shape Firms’ Expectations
Coibion, Olivier; Andrade, Philippe; Gorodnichenko, Yuriy; Gautier, Erwan (2020-08-01)
We study how firms’ expectations and actions are affected by both aggregate and industry-specific conditions using a survey of French manufacturing firms. We document an important new stylized fact. In response to industry-level shocks that have no aggregate effects, firms’ aggregate expectations respond persistently. This is consistent with “island” models in which firms use the local prices they observe to make inferences about broader aggregate conditions. We then assess the extent to which these patterns are related to observable characteristics of firms and the industries in ...
Working Papers , Paper 20-17

Report
The 2015 Survey of Consumer Payment Choice: technical appendix
Foster, Kevin; Angrisani, Marco; Hitczenko, Marcin (2017-07-01)
This document serves as the technical appendix to the 2015 Survey of Consumer Payment Choice administered by the Dornsife Center for Economic and Social Research (CESR). The Survey of Consumer Payment Choice (SCPC) is an annual study designed primarily to collect data on attitudes to and use of various payment instruments by consumers over the age of 18 in the United States. The main report, which introduces the survey and discusses the principal economic results, can be found at http://www.bostonfed.org/economic/cprc/SCPC. In this data report, we detail the technical aspects of the survey ...
Research Data Report , Paper 17-4

Report
Money in the Production Function
Wessel, Ryan; Prescott, Edward C. (2018-04-10)
Businesses hold large quantities of cash reserves, which have average returns well below their investments in tangible capital. Businesses do this because these monetary assets provide services. One implication is that money services is a factor of production in capital theoretic valuation equilibrium models. Our aggregate production function is consistent with both the classical demand for money function relationship and with extended periods of near zero short-term nominal interest rates. In our model economy, there is a 100 percent reserve requirement on all demand deposits. Demand ...
Staff Report , Paper 562

Report
Reconciling Bagehot with the Fed's response to September 11
Martin, Antoine (2005-08-01)
The nineteenth-century economist Walter Bagehot maintained that in order to prevent bank panics, a central bank should provide liquidity at a very high rate of interest. However, most of the theoretical literature on liquidity provision suggests that central banks should lend at an interest rate of zero. This latter recommendation is broadly consistent with the Federal Reserve?s behavior in the days following September 11, 2001. This paper shows that Bagehot?s recommendation can be reconciled with the Fed?s policy if one recognizes that Bagehot had in mind a commodity money regime in which ...
Staff Reports , Paper 217

Working Paper
Average Inflation Targeting and Household Expectations
Coibion, Olivier; Knotek, Edward S.; Gorodnichenko, Yuriy (2021-12-20)
Using a daily survey of U.S. households, we study how the Federal Reserve’s announcement of its new strategy of average inflation targeting affected households’ expectations. Starting with the day of the announcement, there is a very small uptick in the minority of households reporting that they had heard news about monetary policy relative to prior to the announcement, but this effect fades within a few days. Those hearing news about the announcement do not seem to have understood the announcement: they are no more likely to correctly identify the Fed’s new strategy than others, nor ...
Working Papers , Paper 20-26R

Working Paper
Macroeconomic Dynamics Near the ZLB : A Tale of Two Countries
Schorfheide, Frank; Aruoba, S. Boragan; Cuba-Borda, Pablo A. (2016-05)
We compute a sunspot equilibrium in an estimated small-scale New Keynesian model with a zero lower bound (ZLB) constraint on nominal interest rates and a full set of stochastic fundamental shocks. In this equilibrium a sunspot shock can move the economy from a regime in which inflation is close to the central bank's target to a regime in which the central bank misses its target, inflation rates are negative, and interest rates are close to zero with high probability. A nonlinear filter is used to examine whether the U.S. in the aftermath of the Great Recession and Japan in the late 1990s ...
International Finance Discussion Papers , Paper 1163

Working Paper
Maturity Structure and Liquidity Risk
Andolfatto, David (2020-04)
This paper studies the optimal maturity structure for government debt when markets for liquidity insurance are incomplete or non-competitive. There is no fiscal risk. Government debt in the model solves a dynamic inefficiency. Issuing debt in short and long maturities solves a liquidity insurance problem, but optimal yield curve policy is only possible if long-duration debt is rendered illiquid. Optimal policy is implementable through treasury operations only--adjustments in the primary deficit are not necessary.
Working Papers , Paper 2020-008

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