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Working Paper
Speculative capital inflows and exchange rate targeting in the Pacific Basin
This paper studies the process of capital inflow management and speculative inflows for countries pursuing the joint goals of monetary and exchange rate management. We introduce a sticky-price model with imperfect asset substitutability in which a central bank engages in costly sterilization to mitigate the influence of capital inflows on its policy targets. The costs of sterilization, often referred to as "quasi-fiscal costs" in the literature, reflect the loss experienced by the central bank by holding foreign securities whose nominal yields are inferior to those paid on domestic bonds. ...
Journal Article
Credit aggregates from the flow of funds accounts
Journal Article
The U.S. flow of funds accounts and their uses
The U.S. flow of funds accounts compiled by the Board of Governors provide a broadly consistent set of time-series data for tracking funds as they move from economic sectors that serve as sources of capital to sectors that use the capital to acquire physical and financial assets. They present a wide range of data organized by financial instrument and by sector. With statistics extending back more than a half a century, the accounts document financial developments, provide means for studying macroeconomic behavior, and are used for policy purposes. This article briefly describes the accounts ...
Journal Article
What you don’t know can hurt you: keeping track of risks in the financial system
The financial crisis of 2007-2008 left in its wake new responsibilities for regulators to monitor the economy for risks to financial stability. The new task of monitoring financial stability includes tracking the risks of financial instruments and learning where these risks are located within the financial marketplace. One way to do this is to track the quantities of financial instruments and which institutions hold them. In this article, Leonard Nakamura discusses some limitations of the current data and the current data framework and the extent to which we can use the Flow of Funds for ...
Report
Estimating the impacts of U.S. LSAPs on emerging market economies’ local currency bond markets
This paper examines whether large-scale asset purchases (LSAPs) by the Federal Reserve influenced capital flows out of the United States and into emerging market economies (EMEs) and also analyzes the degree of pass-through from long-term U.S. government bond yields to long-term EME bond yields. Using panel data from a broad array of EMEs, our empirical estimates suggest that a 10-basis-point reduction in long-term U.S. Treasury yields results in a 0.4-percentage-point increase in the foreign ownership share of emerging market debt. This, in turn, is estimated to reduce government bond yields ...
Working Paper
Durable financial regulation: monitoring financial instruments as a counterpart to regulating financial institutions
This paper sets forth a discussion framework for the information requirements of systemic financial regulation. It specifically describes a potential large macro-micro database for the U.S. based on an extended version of the Flow of Funds. I argue that such a database would have been of material value to U.S. regulators in ameliorating the recent financial crisis and could be of aid in understanding the potential vulnerabilities of an innovative financial system in the future. I also suggest that making these data available to the academic research community, under strict confidentiality ...
Working Paper
A comparison of the household sector from the Flow of Funds Accounts and the Survey of Consumer Finances
This paper examines selected assets and liabilities from the FFA household sector and from the 1989 and 1992 SCF. SCF and FFA comparisons have proved difficult in the past, and previous research has not fully adjusted for definitional differences between the FFA and the SCF. This analysis addresses common misperceptions about the definitions of the FFA's assets and liabilities and describes the reconciliations between the FFA and SCF measures. The results show that for some asset and liability categories the SCF and FFA estimates are quite close. Measures of liabilities, however, match up ...