Search Results

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Working Paper
Optimal Dynamic Capital Requirements and Implementable Capital Buffer Rules
Canzoneri, Matthew B.; Diba, Behzad T.; Guerrieri, Luca; Mishin, Arsenii (2020-08-06)
We build a quantitatively relevant macroeconomic model with endogenous risk-taking. In our model, deposit insurance and limited liability can lead banks to make risky loans that are socially inefficient. This excessive risk-taking can be triggered by aggregate or sectoral shocks that reduce the return on safer loans. Excessive risk-taking can be avoided by raising bank capital requirements, but unnecessarily tight requirements lower welfare by limiting liquidity producing bank deposits. Consequently, optimal capital requirements are dynamic (or state contingent). We provide examples in which ...
Finance and Economics Discussion Series , Paper 2020-056

Working Paper
Selecting Primal Innovations in DSGE models
Ferroni, Filippo; León-Ledesma, Miguel A.; Grassi, Stefano (2017-08-01)
DSGE models are typically estimated assuming the existence of certain primal shocks that drive macroeconomic fluctuations. We analyze the consequences of estimating shocks that are "non-existent" and propose a method to select the primal shocks driving macroeconomic uncertainty. Forcing these non-existing shocks in estimation produces a downward bias in the estimated internal persistence of the model. We show how these distortions can be reduced by using priors for standard deviations whose support includes zero. The method allows us to accurately select primal shocks and estimate model ...
Working Paper Series , Paper WP-2017-20

Report
Inflation in the Great Recession and New Keynesian models
Giannoni, Marc; Del Negro, Marco; Schorfheide, Frank (2013)
It has been argued that existing DSGE models cannot properly account for the evolution of key macroeconomic variables during and following the recent great recession. We challenge this argument by showing that a standard DSGE model with financial frictions available prior to the recent crisis successfully predicts a sharp contraction in economic activity along with a modest and protracted decline in inflation following the rise in financial stress in the fourth quarter of 2008. The model does so even though inflation remains very dependent on the evolution of economic activity and of monetary ...
Staff Reports , Paper 618

Discussion Paper
A Bird's Eye View of the FRBNY DSGE Model
Sbordone, Argia M.; De Paoli, Bianca; Tambalotti, Andrea (2014-09-23)
Dynamic stochastic general equilibrium (DSGE) models provide a stylized representation of reality. As such, they do not attempt to model all the myriad relationships that characterize economies, focusing instead on the key interactions among critical economic actors. In this post, we discuss which of these interactions are captured by the FRBNY model and describe how we quantify them using macroeconomic data. For more curious readers, this New York Fed working paper provides much greater detail on these and other aspects of the model.
Liberty Street Economics , Paper 20140923

Working Paper
Monetary Policy and The Medium-Run Natural Rate
Curdia, Vasco (2025-10-16)
The natural rate of interest is an elusive concept in theory and practice. However, it is essential for central banks’ calibration of the policy rate. Model consistent measures are often too extreme to be used in practice. On the other hand, empirical measures lack the full backing of theory to make them proper benchmarks. This paper proposes a medium-run measure of the natural rate that averages out some excessive fluctuations, while retaining enough connection to economic theory to make it optimal under certain circumstances. The discussion also provides a framework on how to evaluate and ...
Working Paper Series , Paper 2025-24

Discussion Paper
What’s Up with the Phillips Curve?
Chen, William; Del Negro, Marco; Lenza, Michele; Primiceri, Giorgio E.; Tambalotti, Andrea (2020-09-18)
U.S. inflation used to rise during economic booms, as businesses charged higher prices to cope with increases in wages and other costs. When the economy cooled and joblessness rose, inflation declined. This pattern changed around 1990. Since then, U.S. inflation has been remarkably stable, even though economic activity and unemployment have continued to fluctuate. For example, during the Great Recession unemployment reached 10 percent, but inflation barely dipped below 1 percent. More recently, even with unemployment as low as 3.5 percent, inflation remained stuck under 2 percent. What ...
Liberty Street Economics , Paper 20200918a

Report
The New York Fed DSGE Model: A Post-Covid Assessment
Del Negro, Marco; Dogra, Keshav; Gleich, Aidan; Gundam, Pranay; Lee, Donggyu; Nallamotu, Ramya; Pacula, Brian (2024-01-01)
We document the real-time forecasting performance for output and inflation of the New York Fed dynamic stochastic general equilibrium (DSGE) model since 2011. We find the DSGE's accuracy to be comparable to that of private forecasters before Covid, but somewhat worse thereafter.
Staff Reports , Paper 1082

Report
The forward guidance puzzle
Patterson, Christina; Giannoni, Marc; Del Negro, Marco (2012)
With short-term interest rates at the zero lower bound, forward guidance has become a key tool for central bankers, and yet we know little about its effectiveness. This paper first empirically documents the impact of forward guidance announcements on a broad cross section of financial markets data and professional forecasts. We find that Federal Open Market Committee (FOMC) announcements containing forward guidance had heterogeneous effects depending on the other content of the statement. We show that once we control for these other elements, forward guidance had, on average, positive and ...
Staff Reports , Paper 574

Discussion Paper
Forecasting the Great Recession: DSGE vs. Blue Chip
Del Negro, Marco; Schorfheide, Frank; Herbst, Daniel (2012-04-16)
Dynamic stochastic general equilibrium (DSGE) models have been trashed, bashed, and abused during the Great Recession and after. One of the many reasons for the bashing was the models’ alleged inability to forecast the recession itself. Oddly enough, there’s little evidence on the forecasting performance of DSGE models during this turbulent period. In the paper “DSGE Model-Based Forecasting,” prepared for Elsevier’s Handbook of Economic Forecasting, two of us (Del Negro and Schorfheide), with the help of the third (Herbst), provide some of this evidence. This post shares some of our ...
Liberty Street Economics , Paper 20120416

Working Paper
Oil Price Fluctuations, US Banks, and Macroprudential Policy
Gelain, Paolo; Lorusso, Marco (2024-10-23)
Using US micro-level data on banks, we document a negative effect of high oil prices on US banks' balance sheets, more negative for highly leveraged banks. We set and estimate a general equilibrium model with banking and oil sectors that rationalizes those findings through the financial accelerator mechanism. This mechanism amplifies the effect of oil price shocks, making them non-negligible drivers of the dynamics of US banks' intermediation activity and of the US real economy. Macroprudential policy, in the form of a countercyclical capital buffer, can meaningfully address oil price ...
Working Papers , Paper 22-33R

show more (39)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords