Search Results

Showing results 1 to 10 of approximately 2,725.

(refine search)
SORT BY: PREVIOUS / NEXT
Bank:Board of Governors of the Federal Reserve System (U.S.)  Series:Finance and Economics Discussion Series 

Working Paper
Using a projection method to analyze inflation bias in a micro-founded model

Since Kydland and Prescott (1977) and Barro and Gordon (1983), most studies of the problem of the inflation bias associated with discretionary monetary policy have assumed a quadratic loss function. We depart from the conventional linear-quadratic approach to the problem in favor of a projection method approach. We investigate the size of the inflation bias that arises in a microfounded nonlinear environment with Calvo price setting. The inflation bias is found to lie between 1% and 6% for a reasonable range of parameter values, when the bias is defined as the steady-state deviation of the ...
Finance and Economics Discussion Series , Paper 2010-18

Working Paper
Updated Primer on the Forward-Looking Analysis of Risk Events (FLARE) Model: A Top-Down Stress Test Model

This is an updated technical note describes the Forward-Looking Analysis of Risk Events (FLARE) model, which is a top-down model that helps assess how well the banking system is positioned to weather exogenous macroeconomic shocks. FLARE estimates banking system capital under varying macroeconomic scenarios, time horizons, and other systemic shocks.
Finance and Economics Discussion Series , Paper 2022-009

Working Paper
Employment in the Great Recession : How Important Were Household Credit Supply Shocks?

I pool data from all large multimarket lenders in the U.S. to estimate how many of the over seven million jobs lost in the Great Recession can be explained by reductions in the supply of mortgage credit. I construct a mortgage credit supply instrument at the county level, the weighted average (by prerecession mortgage market shares) of liquidity-driven lender shocks during the recession. The reduction in mortgage supply explains about 15 percent of the employment decline. The job losses are concentrated in construction and finance.
Finance and Economics Discussion Series , Paper 2018-074

Working Paper
Mortgage debt and household deleveraging: accounting for the decline in mortgage debt using consumer credit record data

One of the major reasons hypothesized for the tepid economic recovery thus far is the ongoing "deleveraging" process. From 2009:Q3 to 2011:Q3, aggregate household debt declined by about $1.5 trillion in real terms, with mortgage debt falling by about $1 trillion. Other than defaults, the factors driving the decline in aggregate debt are not precisely understood, in large part because the necessary data are not widely available. This paper draws on panel data consisting of individual credit records to better understand why mortgage debt has declined. I decompose changes in aggregate mortgage ...
Finance and Economics Discussion Series , Paper 2012-14

Working Paper
The trajectory of wealth in retirement

As the baby boomers begin to retire, a great deal remains unknown about the evolution of wealth toward the end of life. In this paper, we develop a new measure of household resources that converts total financial, nonfinancial, and annuitized assets into an expected annual amount of wealth per person. We use this measure, which we call "annualized comprehensive wealth," to investigate spend-down behavior among older households in the Health and Retirement Study. Our analysis indicates that, in (real) dollar terms, the median household?s wealth declines more slowly than its remaining life ...
Finance and Economics Discussion Series , Paper 2008-13

Working Paper
Second Home Buyers and the Housing Boom and Bust

Record-high second home buying (homeowners acquiring nonprimary residences) was a central feature of the 2000s boom, but the macroeconomic effects remain an open question partly because reliable geographic data is currently unavailable. This paper constructs local data on second home buying by merging credit bureau data with mortgage servicing records. The identification strategy exploits the fact that the vacation share of housing from the 2000 Census is predictive of second home origination shares during the boom years, while also uncorrelated with other boom-bust drivers including proxies ...
Finance and Economics Discussion Series , Paper 2019-029

Working Paper
Estimating changes in supervisory standards and their economic effects

The disappointingly slow recovery in the U.S. from the recent recession and financial crisis has once again focused attention on the relationship between financial frictions and economic growth. With bank loans having only recently started growing and still sluggish, some bankers and borrowers have suggested that unnecessarily tight supervisory policies have been a constraint on new lending that is hindering recovery. This paper explores one specific aspect of supervisory policy: whether the standards used to assign commercial bank CAMELS ratings have changed materially over time (1991-2011). ...
Finance and Economics Discussion Series , Paper 2012-55

Working Paper
Credit Default Swaps in General Equilibrium: Spillovers, Credit Spreads, and Endogenous Default

This paper highlights two new effects of credit default swap markets (CDS) in a general equilibrium setting. First, when firms' cash flows are correlated, CDSs impact the cost of capital{credit spreads{and investment for all firms, even those that are not CDS reference entities. Second, when firms internalize the credit spread changes, the incentive to issue safe rather than risky bonds is fundamentally altered. Issuing safe debt requires a transfer of profits from good states to bad states to ensure full repayment. Alternatively, issuing risky bonds maximizes profits in good states at the ...
Finance and Economics Discussion Series , Paper 2016-042

Working Paper
What does financial volatility tell us about macroeconomic fluctuations?

This paper provides an extensive analysis of the predictive ability of financial volatility measures for economic activity. We construct monthly measures of stock and bond market volatility from daily returns and model volatility as composed of a long-run component that is common across all series, and a set of idiosyncratic short-run components. Based on powerful in-sample predictive ability tests, we find that the stock volatility measures and the common factor significantly improve short-term forecasts of conventional financial indicators. A real-time out of sample assessment yields a ...
Finance and Economics Discussion Series , Paper 2013-61

Working Paper
Time-varying Uncertainty of the Federal Reserve’s Output Gap Estimate

A factor stochastic volatility model estimates the common component to estimates of the output gap produced by the staff of the Federal Reserve, its time-varying volatility, and time-varying, horizon-specific forecast uncertainty. Output gap estimates are very uncertain, even well after the fact, especially at business cycle turning points. However, the common component of the output gap estimates is clearly procyclical, and innovations to the common factor produce persistent positive effects on economic activity. Output gaps estimated by the Congressional Budget Office have very similar ...
Finance and Economics Discussion Series , Paper 2020-012r1

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

Working Paper 2725 items

FILTER BY Author

Berger, Allen N. 61 items

Kiley, Michael T. 49 items

Sharpe, Steven A. 42 items

Orphanides, Athanasios 41 items

Carlson, Mark A. 34 items

Passmore, Wayne 33 items

show more (495)

FILTER BY Jel Classification

G21 224 items

E52 175 items

E58 130 items

G28 117 items

E32 115 items

E44 101 items

show more (419)

FILTER BY Keywords

Monetary policy 229 items

Econometric models 113 items

Interest rates 97 items

Inflation (Finance) 82 items

Business cycles 63 items

Risk 61 items