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Working Paper
Employment in the Great Recession : How Important Were Household Credit Supply Shocks?
Garcia, Daniel I. (2018-11-13)
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
Endogenous Labor Supply in an Estimated New-Keynesian Model: Nominal versus Real Rigidities
Cairó, Isabel; Chung, Hess T.; Ferrante, Francesco; Fuentes-Albero, Cristina; Morales-Jimenez, Camilo; Pfajfar, Damjan (2023-11-03)
The deep deterioration in the labor market during the Great Recession, the subsequent slow recovery, and the missing disinflation are hard to reconcile for standard macroeconomic models. We develop and estimate a New-Keynesian model with financial frictions, search and matching frictions in the labor market, and endogenous intensive and extensive labor supply decisions. We conclude that the estimated combination of the low degree of nominal wage rigidities and high degree of real wage rigidities, together with the small role of pre-match costs relative to post-match costs, are key in ...
Finance and Economics Discussion Series , Paper 2023-069

Working Paper
Consumption in the Great Recession: The Financial Distress Channel
Athreya, Kartik B.; Sanchez, Juan M.; Mather, Ryan; Mustre-del-Rio, Jose (2019-08-29)
During the Great Recession, the collapse of consumption across the US varied greatly but systematically with house-price declines. Our message is that household financial health matters for understanding this relationship. Two facts are essential for our finding: (1) the decline in house prices led to an increase in household financial distress (FD) prior to the decline in income during the recession, and (2) at the zip-code level, the prevalence of FD prior to the recession was positively correlated with house-price declines at the onset of the recession. We measure the power of the ...
Working Paper , Paper 19-13

Journal Article
Collateral Damage: House Prices and Consumption During the Great Recession
Elul, Ronel (2019-07)
Did a decline in house prices cause the Great Recession? And if so, how? Credit constraints may be the key to answering those questions
Economic Insights , Volume 4 , Issue 3 , Pages 7-12

Report
Health spending slowed down in spite of the crisis
DiMaggio, Marco; Kermani, Amir; Haughwout, Andrew F.; Mazewski, Matthew; Pinkovskiy, Maxim L. (2016-06-01)
We exploit plausibly exogenous regulatory changes in the mortgage lending market to estimate causal effects of the financial boom and bust on personal income in the health sector. We find that counties that were exogenously more exposed to the crisis because of the regulatory reforms experienced a greater rise in the size of the health sector over the course of the boom and the bust relative to control counties, with the differential persisting through the recovery. We provide suggestive evidence that increased mortality during the bust and greater capital investment during the boom ...
Staff Reports , Paper 781

Working Paper
Unconventional monetary policy and the behavior of shorts
McInish, Thomas H.; Neely, Christopher J.; Planchon, Jade (2021-09-30)
We investigate the behavior of shorts, considered sophisticated investors, before and after a set of Federal Reserve unconventional monetary policy announcements that spot bond markets did not fully anticipate. Short interest in agency securities systematically predicts bond price changes and other asset returns on the days of monetary announcements, particularly when growth or monetary news is released, indicating shorts correctly anticipated these surprises. Shorts also systematically rebalanced after announcements in the direction of the announcement surprise when the announcement released ...
Working Papers , Paper 2017-031

Discussion Paper
What About Spending on Consumer Goods?
McCarthy, Jonathan (2018-01-16)
In a recent Liberty Street Economics post, I showed that one major category of consumer spending?spending on discretionary services such as recreation, transportation, and household utilities?behaved very differently in the 2007-09 recession and subsequent recovery than in previous business cycles: specifically, it fell more steeply and has recovered much more slowly. This finding prompted one of the editors of this blog to inquire whether consumer goods spending has also departed markedly from its behavior in past cycles. To answer that question, I examined the decline of expenditures on ...
Liberty Street Economics , Paper 20180116

Working Paper
Shrinkage estimation of high-dimensional factor models with structural instabilities
Schorfheide, Frank; Cheng, Xu; Liao, Zhipeng (2013-12-01)
In high-dimensional factor models, both the factor loadings and the number of factors may change over time. This paper proposes a shrinkage estimator that detects and disentangles these instabilities. The new method simultaneously and consistently estimates the number of pre- and post-break factors, which liberates researchers from sequential testing and achieves uniform control of the family-wise model selection errors over an increasing number of variables. The shrinkage estimator only requires the calculation of principal components and the solution of a convex optimization problem, which ...
Working Papers , Paper 14-4

Working Paper
Does Disappointing European Productivity Growth Reflect a Slowing Trend? Weighing the Evidence and Assessing the Future
Inklaar, Robert; Fernald, John G. (2020-06-12)
In the years since the Great Recession, many observers have highlighted the slow pace of labor and total factor productivity (TFP) growth in advanced economies. This paper focuses on the European experience, where we highlight that trend TFP growth was already low in the runup to the Global Financial Crisis (GFC). This suggests that it is important to consider factors other than just the deep crisis itself or policy changes since the crisis. After the mid-1990s, European economies stopped converging, or even began diverging, from the U.S. level of TFP. That said, in contrast to the United ...
Working Paper Series , Paper 2020-22

Working Paper
How Did Young Firms Fare During the Great Recession? Evidence from the Kauffman Firm Survey
Zarutskie, Rebecca; Yang, Tiantian (2015-09-23)
We examine the evolution of several key firm economic and financial variables in the years surrounding and during the Great Recession using the Kauffman Firm Survey, a large panel of young firms founded in 2004 and surveyed for eight consecutive years. We find that these young firms experienced slower growth in revenues, employment, and assets and faced tighter financing conditions during the recessionary years. While we find some evidence that firm growth picked up following the recession, it is not clear that it returned to the levels it would have been absent the recessionary shock. We ...
Finance and Economics Discussion Series , Paper 2015-85

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