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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

Discussion Paper
Standard Elements of a Monetary Policy Implementation Framework
Søvik, Ylva; Martin, Antoine; Eisner, Emily (2016-02-01)
In the minutes of the July 2015 Federal Open Market Committee (FOMC) meeting, the chair indicated that Federal Reserve staff would undertake an extended effort to evaluate potential long-run monetary policy implementation frameworks. But what is a central bank’s monetary policy implementation framework? In a series of four posts, we provide an overview of the key elements that typically constitute such a framework.
Liberty Street Economics , Paper 20160201

Discussion Paper
A Time-Series Perspective on Safety, Liquidity, and Low Interest Rates
Tambalotti, Andrea; Giannoni, Marc; Del Negro, Marco; Giannone, Domenico; Bok, Brandyn (2018-02-06)
The previous post in this series discussed several possible explanations for the trend decline in U.S. real interest rates since the late 1990s. We noted that while interest rates have generally come down over the past two decades, this decline has been more pronounced for Treasury securities. The conclusion that we draw from this evidence is that the convenience associated with the safety and liquidity embedded in Treasuries is an important driver of the secular (long-term) decline in Treasury yields. In this post and the next, we provide an overview of the two complementary empirical ...
Liberty Street Economics , Paper 20180206

Working Paper
Monetary policy strategy in a global environment
Moutot, Philippe; Vitale, Giovanni (2009)
Since the mid-1980s the world economy has gone through profound transformations of which the sources and effects are probably not yet completely understood. The process of continuous integration in trade, production and financial markets across countries and economic regions?which is what is generally defined as "globalisation"?affects directly the conduct of monetary policy in a variety of respects. The aim of this paper is to present an overview of the structural implications of globalisation for the domestic economies of developed countries and to deduct from these implications lessons ...
Globalization Institute Working Papers , Paper 29

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
Unconventional monetary policy and the dollar: conventional signs, unconventional magnitudes
Leduc, Sylvain; Glick, Reuven (2015-11-29)
We examine the effects of unconventional monetary policy surprises on the value of the dollar using high-frequency intraday data and contrast them with the effects of conventional policy tools. Identifying monetary policy surprises from changes in interest rate future prices in narrow windows around policy announcements, we find that monetary policy surprises since the Federal Reserve lowered its policy rate to the effective lower bound have had larger effects on the value of the dollar. In particular, we document that the impact on the dollar has been roughly three times that following ...
Working Paper Series , Paper 2015-18

Discussion Paper
The International Experience of Central Bank Asset Purchases and Inflation
Benigno, Gianluca; Pesenti, Paolo (2021-10-20)
Recent inflationary pressures in the global economy have rekindled the debate on the link between money growth and price stability. Specifically, does rapid central bank money creation resulting from large-scale purchases of government securities fuel inflationary spending by households and firms? We argue that there are many valid reasons to be skeptical about this textbook narrative. In this post, we look at the international experience with regard to asset purchases, money growth, and inflation dynamics in the pre-COVID era in an attempt to draw lessons from the recent past. Most notably, ...
Liberty Street Economics , Paper 20211020

Discussion Paper
The Effect of Fed Funds Rate Hikes on Consumer Borrowing Costs
Boyarchenko, Nina; Plosser, Matthew; Kim, Sooji (2015-12-21)
The target federal funds rate has hovered around zero for nearly a decade, and observers are questioning what effect an increase could have on both the financial markets and the real economy. In this post, we examine the historical reaction of loan rates to target rate increases. Specifically, we examine the interest rates that banks offer on residential mortgages and home equity lines of credit (HELOCs).
Liberty Street Economics , Paper 20151221

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