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Working Paper
The Nonlinear Effects of Uncertainty Shocks
Owyang, Michael T.; Jackson, Laura E.; Kliesen, Kevin L. (2018-11-16)
We consider the effects of uncertainty shocks in a nonlinear VAR that allows uncertainty to have amplification effects. When uncertainty is relatively low, fluctuations in uncertainty have small, linear effects. In periods of high uncertainty, the effect of a further increase in uncertainty is magnified. We find that uncertainty shocks in this environment have a more pronounced effect on real economic variables. We also conduct counterfactual experiments to determine the channels through which uncertainty acts. Uncertainty propagates through both the household consumption channel and through ...
Working Papers , Paper 2018-035

Journal Article
The Nonlinear Effects of Uncertainty Shocks
Owyang, Michael T.; Jackson, Laura E.; Kliesen, Kevin L. (2019-10-26)
We consider the effects of uncertainty shocks in a nonlinear VAR that allows uncertainty to have amplification effects. When uncertainty is relatively low, fluctuations in uncertainty have small, linear effects. In periods of high uncertainty, the effect of a further increase in uncertainty is magnified. We find that uncertainty shocks in this environment have a more pronounced effect on real economic variables. We also conduct counterfactual experiments to determine the channels through which uncertainty acts. Uncertainty propagates through both the household consumption channel and through ...
Working Papers , Volume 24 , Issue 4

Working Paper
Mortgage Prepayment, Race, and Monetary Policy
Gerardi, Kristopher S.; Willen, Paul S.; Zhang, David Hao (2020-09-01)
This paper documents large differences in mortgage prepayment behavior across racial and ethnic groups in the United States, which have significant implications for monetary policy, inequality, and pricing. Using a novel data set that combines administrative data on mortgage performance with information on race and ethnicity, we show that Black and Hispanic white borrowers have significantly lower prepayment rates compared with Non-Hispanic white borrowers, holding income, credit score, and equity constant. This gap is on the order of 50 percent and largely reflects different sensitivities ...
Working Papers , Paper 20-7

Speech
The Economy’s Outlook, Challenges, and Way Forward
Rosengren, Eric S. (2020-09-30)
President Rosengren’s comments were delivered at the Massachusetts Bankers Association’s New England Conference, and were based on a speech he delivered on September 23, 2020 to the Boston Economic Club.
Speech

Discussion Paper
How Have High Reserves and New Policy Tools Reshaped the Fed Funds Market?
Afonso, Gara; Stern, Sammuel (2016-07-11)
Over the last decade, the federal funds market has evolved to accommodate new policy tools such as interest on reserves and the overnight reverse repo facility. Trading motives have also responded to the expansion in aggregate reserves as the result of large-scale asset purchases. These changes have affected market participants differently since, for instance, not all institutions are required to keep reserves at the Fed and some are not eligible to earn interest on reserves. Differential effects have changed the profile of participants willing to borrow and lend in this market, and this ...
Liberty Street Economics , Paper 20160711

Key Elements of the Fed’s New Monetary Policy Strategy
Kliesen, Kevin L.; Bokun, Kathryn (2020-10-20)
In August, the Fed announced completion of its framework review that resulted in a new monetary policy strategy. How does the new strategy differ from the previous one?
On the Economy

Working Paper
More Stories of Unconventional Monetary Policy
Karson, Evan; Neely, Christopher J. (2020-10-29)
This article extends the work of Fawley and Neely (2013) to describe how major central banks have evolved unconventional monetary policies to encourage real activity and maintain stable inflation rates from 2013 through 2019. By 2013, central banks were moving from lump-sum asset purchase programs to continuing asset purchase programs, which are conditioned on economic conditions, careful communication strategies, bank lending programs with incentives and negative interest rates. This article reviews how central banks tailored their unconventional monetary methods to their various challenges ...
Working Papers , Paper 2020-043

Blog
What Is Yield Curve Control?
Kliesen, Kevin L.; Bokun, Kathryn (2020-08-11)
Australia and Japan have recent experience in controlling the yield curve as a tool to conduct monetary policy. The U.S. did so in the 1940s and early 1950s.
On the Economy

Report
Corporate Debt Maturity and Monetary Policy
Bräuning, Falk; Fillat, Jose; Wang, J. Christina (2020-10-22)
Do firms lengthen the maturity of their borrowing following a flattening of the Treasury yield curve that results from monetary policy operations? We explore this question separately for the years before and during the zero lower bound (ZLB) period, recognizing that the same change in the yield curve slope signifies different states of the economy and monetary policy over the two regimes. We find that the answer is robustly yes for the pre-ZLB period: Firms extended the maturity of their bond issuance by nearly three years in response to a policy-induced reduction of 1 percentage point in the ...
Current Policy Perspectives

Working Paper
Bargaining Power and Outside Options in the Interbank Lending Market
Abbassi, Puriya; Bräuning, Falk; Schulze, Niels (2020-06-01)
We study the role of bargaining power and outside options with respect to the pricing of over-the-counter interbank loans using a bilateral Nash bargaining model, and we test the model predictions with detailed transaction-level data from the euro-area interbank market. We find that lender banks with greater bargaining power over their borrowers charge higher interest rates, while the lack of alternative investment opportunities for lenders lowers bilateral interest rates. Moreover, we find that when lenders that are not eligible to earn interest on excess reserves (IOER) lend funds to ...
Working Papers , Paper 20-10

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