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Report
The Heterogeneous Impact of Referrals on Labor Market Outcomes
Lester, Benjamin; Rivers, David A.; Topa, Giorgio
(2021-10-01)
We document a new set of facts regarding the impact of referrals on labor market outcomes. Our results highlight the importance of distinguishing between different types of referrals—those from family and friends and those from business contacts—and different occupations. Then we develop an on-the-job search model that incorporates referrals and calibrate the model to key moments in the data. The calibrated model yields new insights into the roles played by different types of referrals in the match formation process, and provides quantitative estimates of the effects of referrals on ...
Staff Reports
, Paper 987
Working Paper
Bad Sovereign or Bad Balance Sheets? Euro Interbank Market Fragmentation and Monetary Policy, 2011-2015
Gabrieli, Silvia; Labonne, Claire
(2018-07-12)
We measure the relative role of sovereign-dependence risk and balance sheet (credit) risk in euro area interbank market fragmentation from 2011 to 2015. We combine bank-to-bank loan data with detailed supervisory information on banks? cross-border and cross-sector exposures. We study the impact of the credit risk on banks? balance sheets on their access to, and the price paid for, interbank liquidity, controlling for sovereign-dependence risk and lenders? liquidity shocks. We find that (i) high non-performing loan ratios on the GIIPS portfolio hinder banks? access to the interbank market ...
Supervisory Research and Analysis Working Papers
, Paper RPA 18-3
Working Paper
The Fed's Response to Economic News Explains the “Fed Information Effect”
Swanson, Eric T.; Bauer, Michael D.
(2020-02-27)
High-frequency changes in interest rates around FOMC announcements are a standard method of measuring monetary policy shocks. However, some recent studies have documented puzzling effects of these shocks on private-sector forecasts of GDP, unemployment, or inflation that are opposite in sign to what standard macroeconomic models would predict. This evidence has been viewed as supportive of a “Fed information effect” channel of monetary policy, whereby an FOMC tightening (easing) communicates that the economy is stronger (weaker) than the public had expected. We show that these empirical ...
Working Paper Series
, Paper 2020-06
Report
Safety, liquidity, and the natural rate of interest
Del Negro, Marco; Giannone, Domenico; Giannoni, Marc; Tambalotti, Andrea
(2017-05-11)
Why are interest rates so low in the Unites States? We find that they are low primarily because the premium for safety and liquidity has increased since the late 1990s, and to a lesser extent because economic growth has slowed. We reach this conclusion using two complementary perspectives: a flexible time-series model of trends in Treasury and corporate yields, inflation, and long-term survey expectations, and a medium-scale dynamic stochastic general equilibrium (DSGE) model. We discuss the implications of this finding for the natural rate of interest.
Staff Reports
, Paper 812
Working Paper
Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates
Mitra, Indrajit; Xu, Yu
(2020-11-09)
We present a theory in which limited risk sharing of idiosyncratic labor income risk plays a key role in determining the dynamics of interest rates. Our production-based model relates the cross-sectional distribution of labor income risk to observable aggregate labor market variables. Our model makes two key predictions. First, it predicts positive risk premia for long-term bonds while simultaneously matching key macroeconomic moments. Second, it predicts a negative correlation between current labor market conditions (as measured by labor market tightness or the job-finding rate) and future ...
FRB Atlanta Working Paper
, Paper 2020-20
Working Paper
Interest Rate Volatility and Sudden Stops : An Empirical Investigation
Tenorio, Gabriel; Reyes-Heroles, Ricardo M.
(2017-07)
Using a multi-country regime-switching vector autoregressive (VAR) model we document the existence of two regimes in the volatility of interest rates at which emerging economies borrow from international financial markets, and study the statistical relationship of such regimes with episodes of sudden stops. Periods of high volatility tend to be persistent and are associated with high interest rates, the occurrence of sudden stops in external financing, and large declines in economic activity. Most strikingly, we show that regime switches drive the countercyclicality of interest rates in ...
International Finance Discussion Papers
, Paper 1209
Working Paper
Equilibrium Yield Curves and the Interest Rate Lower Bound
Nakata, Taisuke; Tanaka, Hiroatsu
(2016-10)
We study the term structure of default-free interest rates in a sticky-price model with an occasionally binding effective lower bound (ELB) constraint on interest rates and recursive preferences. The ELB constraint induces state-dependency in the dynamics of term premiums by affecting macroeconomic uncertainty and interest-rate sensitivity to economic activities. In a model calibrated to match key features of the aggregate economy and term structure dynamics in the U.S. above and at the ELB, we find that the ELB constraint typically lowers the absolute size of term premiums at the ELB and ...
Finance and Economics Discussion Series
, Paper 2016-085
Working Paper
The international monetary and financial system: a capital account perspective
Shin, Hyun Song; Borio, Claudio; James, Harold
(2014-10-01)
In analysing the performance of the international monetary and financial system (IMFS), too much attention has been paid to the current account and far too little to the capital account. This is true of both formal analytical models and historical narratives. This approach may be reasonable when financial markets are highly segmented. But it is badly inadequate when they are closely integrated, as they have been most of the time since at least the second half of the 19th century. Zeroing on the capital account shifts the focus from the goods markets to asset markets and balance sheets. Seen ...
Globalization Institute Working Papers
, Paper 204
Discussion Paper
Assessing monetary accommodation: a simple empirical model of monetary policy and its implications for unemployment and inflation
Armen, Alan; Koenig, Evan F.
(2015-12)
This note suggests that household wealth growth and a long-forward interest rate can be used to construct a simple and convenient reference standard for assessing the current stance of monetary policy. It shows that the difference between the federal funds rate and this reference interest rate is a powerful predictor of the unemployment rate and inflation, producing real-time forecasts that are competitive with consensus-based forecasts from surveys of forecasting professionals. Moreover, one can understand past FOMC policy actions as efforts to adjust the stance of policy, so measured, in ...
Staff Papers
, Issue Dec
Working Paper
The Fed’s “Ample-Reserves” Approach to Implementing Monetary Policy
Ihrig, Jane E.; Senyuz, Zeynep; Weinbach, Gretchen C.
(2020-02-27)
We describe the Federal Reserve’s (the Fed’s) approach to implementing monetary policy in an ample-reserves regime. We use a stylized model to explain the factors the Fed considers and the tools it uses to ensure interest rate control when the quantity of reserves is ample. Then, we take a close look at the Fed’s experience operating in this regime in the post-crisis period, both as it has raised and lowered its policy rate. Looking ahead, we highlight some considerations relevant for maintaining a level of reserves consistent with the efficient and effective implementation of ...
Finance and Economics Discussion Series
, Paper 2020-022
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Heterogeneous Money Demand 1 items
Heterogeneous agent New Keynesian models 1 items
Hidden Factors 1 items
Homeownership 1 items
Household balance sheets 1 items
Household finance 1 items
Housing rents 1 items
Housing rents and housing prices 1 items
Housing tenure 1 items
Hysteresis 1 items
Idiosyncratic risk 1 items
Imperfect Information 1 items
Implied financing rates 1 items
Incomplete Markets 1 items
Indexation lag 1 items
Industry heterogeneity 1 items
Inflation swaps 1 items
Information sensitivity of debt 1 items
Informed trading 1 items
Insurance companies 1 items
Intangible Capital 1 items
Interest Rate Parity 1 items
Interest rate normalization 1 items
Interest rate policy 1 items
Interest-rate forecasts 1 items
Interest-rate lower bound 1 items
International spillovers 1 items
Introductory economics 1 items
Inversion Filter 1 items
Kansas City Financial Stress Index 1 items
LSAP 1 items
LSAPs 1 items
Labor Markets 1 items
Life cycle 1 items
Life insurance 1 items
Liquidity Trap 1 items
Liquidity constraints 1 items
Liquidity effect 1 items
London Interbank Offered Rate (LIBOR) 1 items
Long-run consumption risks 1 items
Long-run real interest rate 1 items
Long-term rates 1 items
Low interest rates 1 items
Low-for-long 1 items
Lower Bound 1 items
Macroeconomic News 1 items
Macroeconomic announcements 1 items
Macroeconomic forecasting 1 items
Macroeconomics 1 items
Macroprudential policies 1 items
Markov regime switching 1 items
Markov-perfect equilibrium 1 items
Maturity Transformation 1 items
Microprudential policies 1 items
Milton Friedman 1 items
Misperception 1 items
Misreporting 1 items
Moments 1 items
Monetary Policy Uncertainty 1 items
Monetary and fiscal policy interaction 1 items
Monetary and macroprudential policies 1 items
Monetary policy shocks 1 items
Monetary policy strategy 1 items
Monetary policy tools 1 items
Money market 1 items
Money premium 1 items
Mortgage rate 1 items
Mutual Fund 1 items
NIRP 1 items
Natality 1 items
Natural rate hypothesis 1 items
Natural rate of output 1 items
Natural real rate 1 items
Natural real rate of interest 1 items
Negative Rates 1 items
Negative interest rate policy 1 items
Net interest margin 1 items
Networks 1 items
News 1 items
No-arbitrage term structure models 1 items
Nonlinear regression 1 items
OTC market 1 items
OccBin 1 items
Open market operations 1 items
Optimal monetary policy 1 items
Optimal policy 1 items
Options 1 items
Over-the-Counter Markets 1 items
Overreaction 1 items
Pandemic 1 items
Pandemics 1 items
Particle Filter 1 items
Pdf 1 items
Phillips curve 1 items
Pileup 1 items
Potential output 1 items
Pre-FOMC 1 items
Price dispersion 1 items
Price puzzle 1 items
Price stickiness 1 items
Principal components 1 items
Production Networks 1 items
Projection Methods 1 items
QT 1 items
Quadratic term structure models 1 items
Quadratic-Gaussian Term Structure Models 1 items
Real wage 1 items
Referrals 1 items
Regime switches 1 items
Regime-Switching 1 items
Repo market 1 items
Reserve Bank of New Zealand 1 items
Reserve targets 1 items
Reverse repo facility 1 items
Ricardian equivalence 1 items
Risk 1 items
Risk-taking channel of monetary policy 1 items
SLOOS 1 items
SVAR 1 items
Safe assets 1 items
Scarcity of safe assets 1 items
Scarring 1 items
Search 1 items
Search Theory 1 items
Search for yield 1 items
Secured Overnight Financing Rate (SOFR) 1 items
Securities Markets Programme 1 items
Segmentation 1 items
Sequential regression approach 1 items
Shadow Banks 1 items
Shadow banking 1 items
Shadow rate term structure models 1 items
Shared National Credit Program 1 items
Shopping 1 items
Small Open Economy Model 1 items
Sovereign risk 1 items
State-Space Model 1 items
Structural instability 1 items
Sudden stops 1 items
Summary of Economic Projections (SEP) 1 items
Survey of Terms of Business Lending 1 items
Surveys 1 items
Syndicated loans 1 items
Time-Varying Labor Wedge 1 items
Time-Varying Velocity of Money 1 items
Time-varying volatility 1 items
Treasury Inflation-Protected Securities (TIPS) 1 items
Treasury auctions 1 items
Treasury bond yield 1 items
Treasury bonds 1 items
Treasury market 1 items
Treasury repo rate 1 items
Treasury securities 1 items
Treasury yields 1 items
U.S. Dollar 1 items
U.S. monetary policy 1 items
Uncertainty shocks 1 items
Unconventional policies 1 items
Unemployment 1 items
VAR models 1 items
Velocity 1 items
Volatility 1 items
World Interest Rate 1 items
Yield curve control 1 items
adjustable-rate mortgages 1 items
administered rates 1 items
affine models 1 items
affine term structure 1 items
affine term-structure model 1 items
announcements 1 items
asset bubbles 1 items
asset purchases 1 items
asset supply effects 1 items
balance sheets 1 items
bank funding risk 1 items
bank-firm matching 1 items
benchmark 1 items
bond 1 items
bond prices 1 items
bond-specific risk premia 1 items
break-evens 1 items
business leverage 1 items
capital controls 1 items
capital regulations 1 items
carry trade 1 items
censored observations 1 items
central bank 1 items
central bank communications 1 items
central bank credibility 1 items
central banking 1 items
checks 1 items
commodities 1 items
commodity 1 items
concentration 1 items
consumption 1 items
corporate bond yields 1 items
corporate finance 1 items
cost of carbon 1 items
country risk 1 items
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