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Discussion Paper
Making a Statement: How Did Professional Forecasters React to the August 2011 FOMC Statement?
Moench, Emanuel; Eusepi, Stefano; Crump, Richard K. (2013-01-07)
The Federal Open Market Committee (FOMC) statement released on August 9, 2011, was the first to incorporate language on “forward guidance” with an explicit date tied to the Committee’s expected path of monetary policy. In this post, we exploit the timing of surveys taken before and after this statement’s release to investigate how professional forecasters changed their expectations of growth, inflation, and monetary policy. We find that the average forecast of the federal funds rate shifts considerably and closely aligns with the new language in the statement, while the average ...
Liberty Street Economics , Paper 20130107

Discussion Paper
Global Asset Prices and Taper Tantrum Revisited
Groen, Jan J. J. (2014-12-08)
Global asset market developments during the summer of 2013 have been attributed to changes in the outlook for U.S. monetary policy, starting with former Chairman Bernanke’s May 22 comments concerning future curtailing of the Federal Reserve’s asset purchase programs. A previous post found that the signal of a possible change in U.S. monetary policy coincided with an increase in global risk aversion which put downward pressure on global asset prices. This post revisits this episode by measuring the impact of changes in Fed’s expected policy rate path and in the economic outlook on the ...
Liberty Street Economics , Paper 20141208

Discussion Paper
Connecting “The Dots”: Disagreement in the Federal Open Market Committee
Moench, Emanuel; Eusepi, Stefano; Crump, Richard K.; Davig, Troy A. (2014-09-25)
People disagree, and so do the members of the Federal Open Market Committee (FOMC). How much do they disagree? Why do they disagree? We look at the FOMC’s projections of the federal funds rate (FFR) and other variables and compare them with those in the New York Fed’s Survey of Primary Dealers (SPD). We show that the members of the FOMC tend to disagree more than the primary dealers and offer some potential explanations.
Liberty Street Economics , Paper 20140925a

Discussion Paper
Counterparty and Collateral Policies of Central Bank Lending Facilities
Sarkar, Asani; Helene Lee (2017-08-16)
In a previous post, we compared the Federal Reserve’s discount window with the standing lending facilities (SLFs) at the Bank of England (BoE), the European Central Bank (ECB), and the Bank of Japan (BoJ). We showed that the Fed’s discount window was less integrated with monetary policy than the SLFs of the other central banks. In this post, we observe that the counterparty and collateral policies of the Fed’s discount window are similarly less integrated with the practices involved in monetary policy operations, in comparison with the other central banks.
Liberty Street Economics , Paper 20170816

Discussion Paper
Size Is Not All: Distribution of Bank Reserves and Fed Funds Dynamics
Afonso, Gara M.; Lester, Benjamin; Armenter, Roc (2018-07-11)
As a consequence of the Federal Reserve’s large-scale asset purchases from 2008-14, banks’ reserve balances at the Fed have increased dramatically, rising from $10 billion in March 2008 to more than $2 trillion currently. In that new environment of abundant reserves, the FOMC put in place a framework for controlling the fed funds rate, using the interest rate that it offered to banks and a different, lower interest rate that it offered to non-banks (and banks). Now that the Fed has begun to gradually reduce its asset holdings, aggregate reserves are shrinking as well, and an important ...
Liberty Street Economics , Paper 20180711

Discussion Paper
How Have High Reserves and New Policy Tools Reshaped the Fed Funds Market?
Afonso, Gara; Stern, Sammuel (2016-07-11)
Over the last decade, the federal funds market has evolved to accommodate new policy tools such as interest on reserves and the overnight reverse repo facility. Trading motives have also responded to the expansion in aggregate reserves as the result of large-scale asset purchases. These changes have affected market participants differently since, for instance, not all institutions are required to keep reserves at the Fed and some are not eligible to earn interest on reserves. Differential effects have changed the profile of participants willing to borrow and lend in this market, and this ...
Liberty Street Economics , Paper 20160711

Discussion Paper
The FRBNY DSGE Model Forecast
Sara Shahanaghi; Eusepi, Stefano; Del Negro, Marco; Cocci, Matthew; Giannoni, Marc (2014-09-26)
The U.S. economy has been in a gradual but slow recovery. Will the future be more of the same? This post presents the current forecasts from the Federal Reserve Bank of New York’s (FRBNY) DSGE model, described in our earlier “Bird’s Eye View” post, and discusses the driving forces behind the forecasts. Find the code used for estimating the model and producing all the charts in this blog series here. (We should reiterate that these are not the official New York Fed staff forecasts, but only an input to the overall forecasting process at the Bank.)
Liberty Street Economics , Paper 20140926

Discussion Paper
Bank Capital, Loan Liquidity, and Credit Standards since the Global Financial Crisis
Sporn, John; Hamerling, Sarah Ngo; Morgan, Donald P. (2020-10-21)
Did the 2007-09 financial crisis or the regulatory reforms that followed alter how banks change their underwriting standards over the course of the business cycle? We provide some simple, “narrative” evidence on that question by studying the reasons banks cite when they report a change in commercial credit standards in the Federal Reserve’s Senior Loan Officer Opinion Survey. We find that the economic outlook, risk tolerance, and other real factors generally drive standards more than financial factors such as bank capital and loan market liquidity. Those financial factors have mattered ...
Liberty Street Economics , Paper 20201021

Discussion Paper
Is Stigma Attached to the European Central Bank's Marginal Lending Facility?
Sarkar, Asani; Helene Lee (2018-04-16)
The European Central Bank (ECB)’s marginal lending facility has been used by banks to borrow funds both in normal times and during the crisis that started in 2007. In this post, we argue that how a central bank communicates the purpose of a facility is important in determining how users of the facility are perceived. In particular, the ECB never refers to the marginal lending facility as a back-up source of funds. The ECB’s neutral approach may be a key factor in explaining why financial institutions are less reluctant to use the marginal lending facility than the Fed’s discount window.
Liberty Street Economics , Paper 20180416

Discussion Paper
Federal Reserve Liquidity Facilities Gross $22 Billion for U.S. Taxpayers
Abrahams, Michael (2012-11-07)
During the 2007-09 crisis, the Federal Reserve took many measures to mitigate disruptions in financial markets, including the introduction or expansion of liquidity facilities. Many studies have found that the Fed’s lending via the facilities helped stabilize financial markets. In addition, because the Fed’s loans were well collateralized and generally priced at a premium to the cost of funds, they had another, less widely noted benefit: they made money for U.S. taxpayers. In this post, I bring information together from various sources and time periods to show that the facilities ...
Liberty Street Economics , Paper 20121107

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