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Working Paper
The Opportunistic Approach to Disinflation
Orphanides, Athanasios; Wilcox, David W.
This paper explores the theoretical foundations of a new approach to monetary policy. Proponents of this approach hold that when inflation is moderate but still above the long-run objective, the Fed should not take deliberate anti-inflation action, but rather should wait for external circumstances-such as favorable supply shocks and unforeseen recessions-to deliver the desired reduction in inflation. While waiting for such circumstances to arise, the Fed should aggressively resist incipient increases in inflation. This strategy has come to be known as "the opportunistic approach to ...
Finance and Economics Discussion Series , Paper 1996-24

Discussion Paper
End of the Road? Impact of Interest Rate Changes on the Automobile Market
Copeland, Adam; Maccini, Louis J.; Hall, George (2015-11-23)
The Federal Reserve has kept interest rates at historic lows for the last six years, but eventually rates will return to their long-term averages. That means both policymakers and the public will once again be asking one of the classic questions in monetary economics: What are the impacts of rising interest rates on the real economy? Our recent New York Fed staff report ?Interest Rates and the Market for New Light Vehicles,? considers this question for the U.S. market for new cars and light trucks. We find strong evidence that rising rates will dampen activity: Our model predicts that in the ...
Liberty Street Economics , Paper 20151123

Report
The liquidity effect of the Federal Reserve’s balance sheet reduction on short-term interest rates
Brauning, Falk (2017-10-01)
I examine the impact of the Federal Reserve?s balance sheet reduction on short-term interest rates emanating from the declining supply of reserve balances. Using an exogenous shift in the supply of reserves, I estimate that by January 2019, when the Fed will have reduced its portfolio by $500 billion, the overnight repurchase agreement (repo) spread (relative to the lower bound of the federal funds target range) will be 10 basis points higher and the fed funds spread will be 2 basis points higher than in October 2017, all else being equal. I also find that a declining supply of reserve ...
Current Policy Perspectives , Paper 18-1

Speech
Living Life Near the ZLB
Williams, John C. (2019-07-18)
Remarks at 2019 Annual Meeting of the Central Bank Research Association (CEBRA), New York City.
Speech , Paper 327

Speech
Research, Policy, and the Zero Lower Bound
Williams, John C. (2020-03-06)
Remarks at Shadow Open Market Committee Spring Meeting, New York City.
Speech

Speech
The Economy in the Time of Coronavirus
Williams, John C. (2020-05-21)
Remarks at the Buffalo Niagara Partnership, the Greater Rochester Chamber of Commerce, and CenterState CEO (delivered via videoconference).
Speech

Report
Interest rates and the market for new light vehicles
Hall, George J.; Copeland, Adam; Maccini, Louis J. (2015-09-01)
We study the impact of interest rates changes on both the demand for and supply of new light vehicles in an environment where consumers and manufacturers face their own interest rates. An increase in the consumers? interest rate raises their cost of financing and thus lowers the demand for new vehicles. An increase in the manufacturers? interest rate raises their cost of holding inventories. Both channels have equilibrium effects that are amplified and propagated over time through inventories, which serve as a way to both smooth production and facilitate greater sales at a given price. ...
Staff Reports , Paper 741

Report
Interest rate conundrums in the twenty-first century
Hanson, Samuel; Wright, Jonathan H.; Lucca, David O. (2017-03-01)
Long-term nominal interest rates are known to be highly sensitive to high-frequency (daily or monthly) movements in short-term rates. We find that, since 2000, this high-frequency sensitivity has grown even stronger in U.S. data. By contrast, the association between low-frequency changes (at six- or twelve-month horizons) in short- and long-term rates, which was also strong before 2000, has weakened substantially. We show that this puzzling post-2000 combination of high-frequency ?excess sensitivity? and low-frequency ?decoupling? of short- and long-term rates arises because increases in ...
Staff Reports , Paper 810

Report
The Microstructure of China's Government Bond Market
Horan, Casidhe; Fleming, Michael J.; Bai, Jennie (2013-05-01)
Although China now has one of the largest government bond markets in the world, the market has received relatively little attention and analysis. We describe the history and structure of the market and assess its functioning. We find that trading in individual bonds was historically sparse but has increased markedly in recent years. We find also that certain announcements of macroeconomic news, such as China?s producer price index (PPI) and manufacturing purchasing managers? index (PMI), have significant effects on yields, even when such yields are measured at a daily level. Despite the ...
Staff Reports , Paper 622

Report
Momentum and the term structure of interest rates
Durham, J. Benson (2013-12-01)
A vast literature reports excess returns to momentum strategies across many financial asset classes. However, no study examines trading rules based on price history along individual government-bond term structures?that is, with respect to duration buckets across the curve?as opposed to across sovereign markets or individual term structures as a whole over time. Under duration-neutral and long-only constraints as well as low trading costs, this paper reports excess annualized returns of up to 120 basis points and information ratios as high as 0.79 using U.S. Treasury total return data from ...
Staff Reports , Paper 657

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