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Report
International banking and liquidity risk transmission: lessons from across countries
Goldberg, Linda S.; Buch, Claudia M. (2014-05-01)
Activities of international banks have been at the core of discussions on the causes and effects of the international financial crisis. Yet we know little about the actual magnitudes and mechanisms for transmission of liquidity shocks through international banks, including the reasons for heterogeneity in transmission across banks. The International Banking Research Network, established in 2012, brings together researchers from around the world with access to micro-level data on individual banks to analyze issues pertaining to global banks. This paper summarizes the common methodology and ...
Staff Reports , Paper 675

Working Paper
Uncertainty and Labor Market Fluctuations
Lee, Justin J.; Jo, Soojin (2019-07-02)
We investigate how a macroeconomic uncertainty shock affects the labor market. We focus on the uncertainty transmission mechanism, for which we employ a set of worker flow indicators in addition to labor stock variables. We incorporate common factors from such indicators into a framework that can simultaneously estimate historical macroeconomic uncertainty and its impacts on the macroeconomy and labor market. We find firms defer hiring as the real option value of waiting increases. Moreover, significantly more workers are laid off while voluntary quits drop, suggesting other mechanisms such ...
Working Papers , Paper 1904

Working Paper
A semiparametric characterization of income uncertainty over the life cycle
Li, Geng; Feigenbaum, James (2010)
We propose a novel approach to estimate household income uncertainty at various future horizons and characterize how the estimated uncertainty evolves over the life cycle. We measure income uncertainty as the variance of linear forecast errors conditional on information available to households prior to observing the realized income. This approach is semiparametric because we impose essentially no restrictions on the statistical properties of the forecast errors. Relative to previous studies, we find lower and less persistent income uncertainties that call for a life cycle consumption profile ...
Finance and Economics Discussion Series , Paper 2010-42

Working Paper
Constructing Fan Charts from the Ragged Edge of SPF Forecasts
Clark, Todd E.; Ganics, Gergely; Mertens, Elmar (2022-11-23)
We develop a model that permits the estimation of a term structure of both expectations and forecast uncertainty for application to professional forecasts such as the Survey of Professional Forecasters (SPF). Our approach exactly replicates a given data set of predictions from the SPF (or a similar forecast source) without measurement error. Our model captures fixed horizon and fixed-event forecasts, and can accommodate changes in the maximal forecast horizon available from the SPF. The model casts a decomposition of multi-period forecast errors into a sequence of forecast updates that may be ...
Working Papers , Paper 22-36

Journal Article
Why small businesses were hit harder by the recent recession
Sahin, Aysegul; Kitao, Sagiri; Cororaton, Anna; Laiu, Sergiu (2011-07)
Although both large and small businesses felt the sting of job losses during the 2007-09 downturn, small firms experienced disproportionate declines. A study of the recession?s employment effect on small firms suggests that poor sales and economic uncertainty were the main reasons for their weak performance and sluggish recovery?problems that affected large firms too, but to a lesser degree. Although a tightened credit supply constrained some small firms, weak consumer demand for the firms? products and services was a more pressing factor, reducing revenues and dampening new investment ...
Current Issues in Economics and Finance , Volume 17 , Issue July

Working Paper
News and Uncertainty about COVID-19: Survey Evidence and Short-Run Economic Impact
Kuester, Keith; Schoenle, Raphael; Dietrich, Alexander; Muller, Gernot J. (2020-04-09)
We survey households about their expectations of the economic fallout of the COVID-19 pandemic, in real time and at daily frequency. Our baseline question asks about the expected impact on output and inflation over a one-year horizon. Starting on March 10, the median response suggests that the expected output loss is still moderate. This changes over the course of three weeks: At the end of March, the expected loss amounts to some 15 percent. Meanwhile, the pandemic is expected to raise inflation considerably. The uncertainty about these effects is very large. In the second part of the paper ...
Working Papers , Paper 20-12

Working Paper
Some Implications of Uncertainty and Misperception for Monetary Policy
López-Salido, J. David; Hebden, James; Erceg, Christopher J.; Kiley, Michael T.; Tetlow, Robert J. (2018-08-23)
When choosing a strategy for monetary policy, policymakers must grapple with mismeasurement of labor market slack, and of the responsiveness of price inflation to that slack. Using stochastic simulations of a small-scale version of the Federal Reserve Board?s principal New Keynesian macroeconomic model, we evaluate representative rule-based policy strategies, paying particular attention to how those strategies interact with initial conditions in the U.S. as they are seen today and with the current outlook. To do this, we construct a current relevant baseline forecast, one that is loosely ...
Finance and Economics Discussion Series , Paper 2018-059

Journal Article
Informational easing: improving credit conditions through the release of information
Pritsker, Matthew (2010-08)
Economist Matthew Pritsker of the Board of Governors of the Federal Reserve System offers a theoretical view on how regulators can reduce uncertainty in the financial markets by improving the availability of information.
Economic Policy Review , Volume 16 , Issue Aug , Pages 77-87

Journal Article
Uncertainty, unemployment, and inflation
Liu, Zheng; Leduc, Sylvain (2012)
Heightened uncertainty acts like a decline in aggregate demand because it depresses economic activity and holds down inflation. Policymakers typically try to counter uncertainty's economic effects by easing the stance of monetary policy. But, in the recent recession and recovery, nominal interest rates have been near zero and couldn't be lowered further. Consequently, uncertainty has reduced economic activity more than in previous recessions. Higher uncertainty is estimated to have lifted the U.S. unemployment rate by at least one percentage point since early 2008.
FRBSF Economic Letter

Working Paper
Believe only what you see: credit rating agencies, structured finance, and bonds
Elamin, Mahmoud (2012)
This paper identifies rating verifiability as a key difference that explains why credit rating agencies (CRAs) failed to mitigate information asymmetries in the structured finance market but succeeded in the bond market. Two infinitely repeated models are analyzed. In the first, the rating is unverifiable, and there is no equilibrium where the CRA reveals its information. In the second, the rating is verified with some probability, and full information revelation is guaranteed for any verification probability, when the CRA is patient enough. The interaction between verification probability ...
Working Papers (Old Series) , Paper 1222

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