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Journal Article
The evolution of Federal Reserve policy and the impact of monetary policy surprises on asset prices
This article describes the joint evolution of Federal Reserve policy and the study of the impact of monetary policy surprises on high-frequency asset prices. Since the 1970s, the Federal Open Market Committee has clarified its objectives and modified its procedures to become more transparent and predictable. Researchers have had to account for these changes to procedures and perceived objectives in developing methods to study the effects of monetary surprises. Unexpected changes to the Committee?s federal funds target and postmeeting statements strongly and consistently affect asset prices, ...
Journal Article
Why \\"fixing\\" China's currency is no quick fix
Even if China does revalue its currency, jobs aren?t likely to come flooding back to the United States. Much of what China exports to the U.S. originates in other Asian countries.
Journal Article
Low inflation in a world of securitization
Weak lending may still be the culprit behind low inflation, but monetary aggregates may no longer closely track credit conditions.
Journal Article
When oil prices jump, is speculation to blame?
Whenever the price at the pump climbs week after week, people start pointing fingers at investment banks, hedge funds and other speculators. This article quantifies the role that speculation played in the rise of oil prices during the past decade.
Journal Article
Coming to America: covered bonds?
Ultimately, covered bonds and ABS are complements, not substitutes.
Journal Article
Capital controls by any other name
The embrace of ad hoc capital controls to address temporary market inefficiencies on a case-by-case basis, while pragmatic, perpetuates the view that each capital crisis is an isolated example of failed financial institutions.
Journal Article
Monetary policy and asset prices
The housing market crisis is the latest reminder that asset prices can and do run wild at rates capable of negative effects on real economic activity. Not surprisingly, this has reinvigorated debate over whether central banks should respond to asset price bubbles.
Journal Article
Japan reenters the foreign exchange market
From 1999 to 2004 Japan unilaterally sold a combined, and unprecedented, 500 billion dollars of yen.
Journal Article
Quantitative easing: lessons we've learned
Working Paper
Capital flows and Japanese asset volatility
Characterizing asset price volatility is an important goal for financial economists. The literature has shown that variables that proxy for the information arrival process can help explain and/or forecast volatility. Unfortunately, however, obtaining good measures of volume and/or order flow is expensive or difficult in decentralized markets such as foreign exchange. We investigate the extent that Japanese capital flows?which are released weekly?reflect information arrival that improves foreign exchange and equity volatility forecasts. We find that capital flows can help explain transitory ...