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Working Paper
The welfare consequences of ATM surcharges: evidence from a structural entry model
Gowrisankaran, Gautam; Krainer, John (2004)
We estimate a structural model of the market for automatic teller machines (ATMs) in order to evaluate the implications of regulating ATM surcharges on ATM entry and consumer and producer surplus. We estimate the model using data on firm and consumer locations, and identify the parameters of the model by exploiting a source of local quasi?experimental variation, that the state of Iowa banned ATM surcharges during our sample period while the state of Minnesota did not. We develop new econometric methods that allow us to estimate the parameters of equilibrium models without computing ...
Working Paper Series , Paper 2005-01

Working Paper
Quantifying embodied technological change
Wilson, Daniel J.; Sakellaris, Plutarchos (2001)
We estimate the rate of embodied technological change directly from plant-level manufacturing data on current output and input choices along with histories on their vintages of equipment investment. Our estimates range between 8 and 17 percent for the typical U.S. manufacturing plant during the years 1972-1996. Any number in this range is substantially larger than is conventionally accepted with some important implications. First, the role of investment-specific technological change as an engine of growth is even larger than previously estimated. Second, existing producer durable price ...
Working Paper Series , Paper 2001-16

Working Paper
Specifying and estimating New Keynesian models with instrument rules and optimal monetary policies
Dennis, Richard (2004)
This paper estimates several popular sticky-price New Keynesian models in an effort to understand whether and under what circumstances these models can usefully describe observed outcomes. We estimate and compare specifications that contain different forms of habit formation, specifications that have either the gap or real marginal costs driving inflation, and specifications that use either optimal policymaking or a forward-looking Taylor-type rule to summarize monetary policy. Among other results, we find that the different forms of habit formation lead to very similar aggregate behavior, ...
Working Paper Series , Paper 2004-17

Working Paper
Measuring the effect of the zero lower bound on medium- and longer-term interest rates
Williams, John C.; Swanson, Eric T. (2012)
The zero lower bound on nominal interest rates has constrained the Federal Reserve?s setting of the overnight federal funds rate for over three years running. According to many macroeconomic models, such an extended period of being stuck at the zero bound has important implications for the effectiveness of monetary and fiscal policies. However, economic theory also implies that households? and firms? decisions depend on the entire path of expected future short-term interest rates, not just the current level of the overnight rate. Thus, interest rates with a year or more to maturity are ...
Working Paper Series , Paper 2012-02

Working Paper
Monetary policy and the currency denomination of debt: a tale of two equilibria
Velasco, Andres; Chang, Roberto (2004)
Exchange rate policies depend on portfolio choices, and portfolio choices depend on anticipated exchange rate policies. This opens the door to multiple equilibria in policy regimes. We construct a model in which agents optimally choose to denominate their assets and liabilities either in domestic or in foreign currency. The monetary authority optimally chooses to float or to fix the currency, after portfolios have been chosen. We identify conditions under which both fixing and floating are equilibrium policies: if agents expect fixing and arrange their portfolios accordingly, the monetary ...
Working Paper Series , Paper 2004-30

Working Paper
The macroeconomic effects of large-scale asset purchase programs
Curdia, Vasco; Ferrero, Andrea; Chen, Han (2012-10-24)
We simulate the Federal Reserve second Large-Scale Asset Purchase program in a DSGE model with bond market segmentation estimated on U.S. data. GDP growth increases by less than a third of a percentage point and inflation barely changes relative to the absence of intervention. The key reasons behind our findings are small estimates for both the elasticity of the risk premium to the quantity of long-term debt and the degree of financial market segmentation. Absent the commitment to keep the nominal interest rate at its lower bound for an extended period, the effects of asset purchase programs ...
Working Paper Series , Paper 2012-22

Working Paper
Dynamic Labor Reallocation with Heterogeneous Skills and Uninsured Idiosyncratic Risk
Faia, Ester; Shabalina, Ekaterina; Kudlyak, Marianna (2021-06-10)
Occupational specificity of human capital motivates an important role of occupationalreallocation for the economy’s response to shocks and for the dynamics of inequality.We introduce occupational mobility, through a random choice model with dynamicvalue function optimization, into a multi-sector/multi-occupation Bewley (1980)-Aiyagari (1994) model with heterogeneous income risk, liquid and illiquid assets, priceadjustment costs, and in which households differ by their occupation-specific skills.Labor income is a combination of endogenous occupational wages and idiosyncraticshock. ...
Working Paper Series , Paper 2021-16

Working Paper
A Probability-Based Stress Test of Federal Reserve Assets and Income
Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D. (2013-12-16)
To support the economy, the Federal Reserve amassed a large portfolio of long-term bonds. We assess the Fed?s associated interest rate risk ? including potential losses to its Treasury securities holdings and declines in remittances to the Treasury. Unlike past examinations of this interest rate risk, we attach probabilities to alternative interest rate scenarios. These probabilities are obtained from a dynamic term structure model that respects the zero lower bound on yields. The resulting probability-based stress test finds that the Fed?s losses are unlikely to be large and remittances are ...
Working Paper Series , Paper 2013-38

Working Paper
Market-based measures of monetary policy expectations
Sack, Brian P.; Swanson, Eric T.; Gürkaynak, Refet S. (2006)
A number of recent papers have used different financial market instruments to measure near-term expectations of the federal funds rate and the high-frequency changes in these instruments around FOMC announcements to measure monetary policy shocks. This paper evaluates the empirical success of a variety of financial market instruments in predicting the future path of monetary policy. All of the instruments we consider provide forecasts that are clearly superior to those of standard time series models at all of the horizons considered. Among financial market instruments, we find that federal ...
Working Paper Series , Paper 2006-04

Working Paper
Job-Finding and Job-Losing: A Comprehensive Model of Heterogeneous Individual Labor-Market Dynamics
Hall, Robert E.; Kudlyak, Marianna (2020-01-14)
We study the paths over time that individuals follow in the labor market, as revealed in the monthly Current Population Survey. Some people face much higher flow values from work than in a non-market activity; if they lose a job, they find another soon. Others have close to equal flow values and tend to circle through jobs, search, and non-market activities. And yet others have flow values for non-market activities that are higher than those in the market, and do not work. We develop a model that identifies and quantifies heterogeneity in dynamic individual behavior. Our model provides a ...
Working Paper Series , Paper 2019-5

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