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Assessing potential financial imbalances in an era of accommodative monetary policy : a speech at the 2011 International Conference: Real and Financial Linkage and Monetary Policy, Bank of Japan, Tokyo, Japan, June 1, 2011

remarks at the 2011 International Conference: Real and Financial Linkage and Monetary Policy, Bank of Japan, Tokyo, Japan, June 2, 2011
Speech , Paper 606

Working Paper
The Decline of the U.S. Labor Share

Over the past quarter century, labor?s share of income in the United States has trended downwards, reaching its lowest level in the postwar period after the Great Recession. Detailed examination of the magnitude, determinants and implications of this decline delivers five conclusions. First, around one third of the decline in the published labor share is an artifact of a progressive understatement of the labor income of the self-employed underlying the headline measure. Second, movements in labor?s share are not a feature solely of recent U.S. history: The relative stability of the aggregate ...
Working Paper Series , Paper 2013-27

Working Paper
Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited

We develop flexible semiparametric time series methods that are then used to assess the causal effect of monetary policy interventions on macroeconomic aggregates. Our estimator captures the average causal response to discrete policy interventions in a macro-dynamic setting, without the need for assumptions about the process generating macroeconomic outcomes. The proposed procedure, based on propensity score weighting, easily accommodates asymmetric and nonlinear responses. Application of this estimator to the effects of monetary restraint shows the Fed to be an effective inflation fighter. ...
Working Paper Series , Paper 2013-24

Unconventional monetary policy and central bank communications : a speech at the University of Chicago Booth School of Business U.S. Monetary Policy Forum, New York, New York, February 25, 2011

remarks at the U.S. Monetary Policy Forum, New York, New York, February 25, 2011
Speech , Paper 604

Working Paper
Inflation to target : what inflation to target?

This paper derives a central bank's objective function and optimal policy rule for an economy with both CPI and PPI inflation rates. It implements constrained-optimal policy rules with minimal information requirement, and evaluates the robustness of these simple rules when the central bank may not know the exact sources of shocks or nominal rigidities. One of the main findings is that monetary policy that ignores PPI inflation rate or PPI sector shocks can result in significant welfare loss.
Research Working Paper , Paper RWP 03-10

Working Paper
Does Quantitative Easing Affect Market Liquidity?

The second round of large-scale asset purchases by the Federal Reserve?frequently referred to as QE2?included repeated purchases of Treasury inflation-protected securities (TIPS). To quantify the effect QE2 had on the functioning of the TIPS market and the related market for inflation swaps, we exploit the measure of combined liquidity premiums in TIPS yields and inflation swap rates derived by Christensen and Gillan (2012). We find that, on TIPS purchase dates, the liquidity premium dropped by 8 to 11 basis points depending on maturity, or about 50 percent. Furthermore, the effect was ...
Working Paper Series , Paper 2013-26

Working Paper
A Defense of Moderation in Monetary Policy

This paper examines the implications of uncertainty about the effects of monetary policy for optimal monetary policy with an application to the current situation. Using a stylized macroeconomic model, I derive optimal policies under uncertainty for both conventional and unconventional monetary policies. According to an estimated version of this model, the U.S. economy is currently suffering from a large and persistent adverse demand shock. Optimal monetary policy absent uncertainty would quickly restore real GDP close to its potential level and allow the inflation rate to rise temporarily ...
Working Paper Series , Paper 2013-15

Working Paper
Specific factors meet intermediate inputs : implications for strategic complementarities and persistence

A central challenge to monetary business-cycle theory is to find a solution to the problem of persistence and delay in the real effects of monetary shocks. Previous research has identified separately specific factors and intermediate inputs as two promising mechanisms for generating the persistence and delay in a staggered price-setting framework. Models based on either of these two mechanisms have also been used in the design of optimal monetary policy. ; By examining a staggered price model that features both specific factors and intermediate inputs, the author finds an offsetting ...
Research Working Paper , Paper RWP 04-06

Working Paper
Bank Linkages and International Trade

We show that bank linkages have a positive effect on international trade. We construct the global banking network (GBN) at the bank level, using individual syndicated loan data from Loan Analytics for 1990-2007. We compute network distance between bank pairs and aggregate it to country pairs as a measure of bank linkages between countries. We use data on bilateral trade from IMF DOTS as the subject of our analysis and data on bilateral bank lending from BIS locational data to control for financial integration and financial flows. Using gravity approach to modeling trade with country-pair and ...
Working Paper Series , Paper 2013-14



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