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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

Speech
The Impact of the Pandemic on Cultural Capital in the Finance Industry
Stiroh, Kevin J. (2020-11-16)
Remarks at the Risk USA Conference (delivered via videoconference).
Speech

Working Paper
Constrained Discretion and Central Bank Transparency
Bianchi, Francesco; Melosi, Leonardo (2016-10-16)
We develop and estimate a general equilibrium model to quantitatively assess the effects and welfare implications of central bank transparency. Monetary policy can deviate from active inflation stabilization and agents conduct Bayesian learning about the nature of these deviations. Under constrained discretion, only short deviations occur, agents? uncertainty about the macroeconomy remains contained, and welfare is high. However, if a deviation persists, uncertainty accelerates and welfare declines. Announcing the future policy course raises uncertainty in the short run by revealing that ...
Working Paper Series , Paper WP-2016-15

Journal Article
Climate Risk and the Fed: Preparing for an Uncertain Certainty
Daly, Mary C. (2021-06-28)
While the severity and scope of a changing climate remains unclear, the consensus is that it poses a significant risk to the global economy and financial system. As monetary policymakers, the Fed’s job is to navigate this uncertainty by anticipating the potential changes and understanding their implications.
FRBSF Economic Letter , Volume 2021 , Issue 17 , Pages 08

Working Paper
Perturbation methods for Markov-switching DSGE models
Rubio-Ramirez, Juan F.; Foerster, Andrew T.; Zha, Tao; Waggoner, Daniel F. (2014-08-01)
Markov-switching DSGE (MSDSGE) modeling has become a growing body of literature on economic and policy issues related to structural shifts. This paper develops a general perturbation methodology for constructing high-order approximations to the solutions of MSDSGE models. Our new method, called "the partition perturbation method," partitions the Markov-switching parameter space to keep a maximum number of time-varying parameters from perturbation. For this method to work in practice, we show how to reduce the potentially intractable problem of solving MSDSGE models to the manageable problem ...
FRB Atlanta Working Paper , Paper 2014-16

Working Paper
The zero lower bound and endogenous uncertainty
Throckmorton, Nathaniel A.; Richter, Alexander W.; Plante, Michael D. (2014-05-21)
This paper documents a strong negative correlation between macroeconomic uncertainty and real GDP growth since the Great Recession. Prior to that event the correlation was weak, even when conditioning on recessions. At the same time, many central banks reduced their policy rate to its zero lower bound (ZLB), which we contend contributed to the strong correlation between macroeconomic uncertainty and real GDP growth. To test that theory, we use a model where the ZLB occasionally binds. The model roughly matches the correlation in the data?away from the ZLB the correlation is weak but strongly ...
Working Papers , Paper 1405

Working Paper
The cost of fiscal policy uncertainty: industry evidence of its impact on the labor market
Wang, J. Christina (2013-12-01)
The anemic pace of the recovery of the U.S. economy from the Great Recession has frequently been blamed on heightened uncertainty, much of which concerns the nation's fiscal policy. Intuition suggests that increased policy uncertainty likely has different impacts on industries with different exposure to government actions. Such heterogeneity can help identify the effect of shocks due to policy uncertainty. This study uses industry data to explore whether policy uncertainty indeed affects the dynamics of employment during this recovery, and particularly whether it has a differential impact on ...
Working Papers , Paper 13-22

Working Paper
When are the Effects of Fiscal Policy Uncertainty Large?
Johannsen, Benjamin K. (2014-05-22)
Using a new-Keynesian model with endogenous capital accumulation, I show that uncertainty about fiscal policy can cause large declines in consumption, investment, and output when the zero lower bound (ZLB) binds, but has modest effects when the monetary authority is not constrained by the ZLB. I study uncertainty about the level of government spending and uncertainty about tax rates on consumption, wages, capital income, and investment. In my model, uncertainty about government spending and the wage tax rate has particularly large effects. I show that the effects of fiscal policy uncertainty ...
Finance and Economics Discussion Series , Paper 2014-40

Journal Article
The Uncertainty Channel of the Coronavirus
Liu, Zheng; Leduc, Sylvain (2020-03-30)
The outbreak of the novel coronavirus, or COVID-19, has severely disrupted economic activity through various supply and demand channels. The pandemic can also have pervasive economic impact by raising uncertainty. In the past, sudden and outsized spikes in uncertainty have led to large and protracted increases in unemployment and declines in inflation. These effects are similar to those resulting from declines in aggregate demand. Monetary policy accommodation, such as interest rate cuts, can help cushion the economy from such uncertainty shocks.
FRBSF Economic Letter , Volume 2020 , Issue 07 , Pages 05

Report
Macroeconomic Drivers and the Pricing of Uncertainty, Inflation, and Bonds
Williams, John C.; Mertens, Thomas M.; Bok, Brandyn (2022-04-01)
This paper analyzes a new stylized fact: According to financial market prices, the correlation between uncertainty shocks, as measured by changes in the VIX, and changes in break-even inflation rates has declined and turned negative over the past quarter century. It rationalizes this uncertainty-inflation correlation within a standard New Keynesian model with a lower bound on interest rates combined with a decline in the natural rate of interest. With a lower natural rate, the likelihood of the lower bound binding increased and the effects of uncertainty on the economy became more pronounced. ...
Staff Reports , Paper 1011

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