Search Results

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Discussion Paper
Is Monetary Policy Still Seasonal?
Crump, Richard K.; Dogra, Keshav; Kongoli, Dennis (2025-11-19)
A 2012 Liberty Street Economics post noted that U.S. monetary policy exhibits a surprising degree of seasonal behavior: over the 1987-2008 period, the Federal Reserve was much more likely to lower interest rates (or abstain from raising rates) in the first month of each quarter than in the two subsequent months. Thirteen years later, we revisit that analysis to investigate whether the seasonal pattern in monetary policy still holds today, in the wake of a rate hiking cycle, a pandemic, a surge in inflation, and a second round of rate hikes. We find that the pattern has indeed continued; ...
Liberty Street Economics , Paper 20251119

Discussion Paper
Measuring the Forest through the Trees: The Corporate Bond Market Distress Index
Boyarchenko, Nina; Kovner, Anna; Shachar, Or; Crump, Richard K. (2021-02-22)
With more than $10.4 trillion outstanding as of Q3:2020, the U.S. corporate bond market is a significant source of funding for most large U.S. corporations. While prior literature offers a variety of measures to capture different aspects of corporate bond market functioning, there is little consensus on how to use those measures to identify periods of distress in the market as a whole. In this post, we describe the U.S. Corporate Bond Market Distress Index (CMDI), which offers a single measure to quantify joint dislocations in the primary and secondary corporate bond markets. As detailed in a ...
Liberty Street Economics , Paper 20210222

Report
COVID Response: The Commercial Paper Funding Facility
Boyarchenko, Nina; Crump, Richard K.; Kovner, Anna; Leonard, Deborah (2021-09-01)
The Federal Reserve reestablished the Commercial Paper Funding Facility (CPFF 2020) in response to the disruptions in the commercial paper market triggered by the COVID-19 pandemic and subsequent economic shutdowns. The CPFF 2020 was designed to support market functioning and provide a liquidity backstop for the commercial paper market. This paper provides an overview of the CPFF 2020, including detailing the facility’s design, documenting its usage, and describing its impact on commercial paper markets. In addition, we compare the market conditions and facility design in CPFF 2020 to that ...
Staff Reports , Paper 982

Report
Nonlinear Binscatter Methods
Cattaneo, Matias D.; Crump, Richard K.; Feng, Yingjie; Farrell, Max H. (2024-08-01)
Binscatters are a powerful tool for empirical work in the social, behavioral, and biomedical sciences. Available tools rely on least squares estimation of the conditional mean. We introduce novel binscatter methods based on nonlinear, possibly nonsmooth M-estimation, covering generalized linear, robust, and quantile regression models. We provide theoretical results and practical tools, including optimal bin selection, confidence bands, and statistical tests regarding functional form or shape restrictions. We demonstrate our methods by studying the relationship of income and (lack of) health ...
Staff Reports , Paper 1110

Discussion Paper
Preparing for Takeoff? Professional Forecasters and the June 2013 FOMC Meeting
Moench, Emanuel; Eusepi, Stefano; Crump, Richard K. (2013-09-09)
Following the June 18-19 Federal Open Market Committee (FOMC) meeting different measures of short-term interest rates increased notably. In the chart below, we plot two such measures: the two-year Treasury yield and the one-year overnight indexed swap (OIS) forward rate, one year in the future. The vertical line indicates the final day of the June FOMC meeting. To what extent did this rise in rates following the June FOMC meeting reflect a shift in the expected future path of the federal funds rate (FFR)? Market participants and policy makers often directly read the expected path from ...
Liberty Street Economics , Paper 20130909

Discussion Paper
Forecasting Interest Rates over the Long Run
Diamond, Peter A.; Yu, Rui; Adrian, Tobias; Crump, Richard K. (2016-07-18)
In a previous post, we showed how market rates on U.S. Treasuries violate the expectations hypothesis because of time-varying risk premia. In this post, we provide evidence that term structure models have outperformed direct market-based measures in forecasting interest rates. This suggests that term structure models can play a role in long-run planning for public policy objectives such as assessing the viability of Social Security.
Liberty Street Economics , Paper 20160718

Discussion Paper
The Persistent Compression of the Breakeven Inflation Curve
Crump, Richard K.; Volker, Desi; Gospodinov, Nikolay (2021-03-22)
Breakeven inflation, defined as the difference in the yield of a nominal Treasury security and a Treasury Inflation-Protected Security (TIPS) of the same maturity, is closely watched by market participants and policymakers alike. Breakeven inflation rates provide a signal about the expected path of inflation as perceived by market participants although they are also affected by risk and liquidity premia. In this post, we scrutinize the dynamics of breakeven inflation, highlighting some intriguing behavior which has persisted for a number of years and even through the pandemic. In particular, ...
Liberty Street Economics , Paper 20210333

Discussion Paper
Do Treasury Term Premia Rise around Monetary Tightenings?
Moench, Emanuel; Crump, Richard K.; Adrian, Tobias (2013-04-15)
Some commentators have expressed concern that Treasury yields might rise sharply once the Federal Open Market Committee (FOMC) begins to raise the federal funds rate (FFR), worrying, in particular, about a sudden increase in Treasury term premia. In this post, we analyze the dynamics of Treasury term premia over the last fifty years and discuss their evolution around recent tightening cycles, paying special attention to the 1994 episode when bond prices dropped sharply around the world. We find that term premia don’t typically rise when monetary policy tightens. We also conclude, based on ...
Liberty Street Economics , Paper 20130415

Discussion Paper
What Is “Outlook-at-Risk?”
Lopez Gaffney, Ignacio; Boyarchenko, Nina; Crump, Richard K.; Elias, Leonardo (2023-02-15)
The Federal Open Market Committee (FOMC) has increased the target range for the federal funds rate by 4.50 percentage points since March 16, 2022. In tightening the stance of monetary policy, the FOMC balances the risk of inflation remaining persistently high if the economy continues to run “hot” against the risk of unemployment rising as the economy cools. In this post, we review a quantitative approach to measuring the evolution of risks to real GDP growth, the unemployment rate, and inflation that is inspired by our previous work on “Vulnerable Growth.” We find that, in February, ...
Liberty Street Economics , Paper 20230215

Report
Characteristic-Sorted Portfolios: Estimation and Inference
Schaumburg, Ernst; Cattaneo, Matias D.; Farrell, Max H.; Crump, Richard K. (2016-08-01)
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite its popularity, little attention has been paid to the statistical properties of the procedure. We develop a general framework for portfolio sorting by casting it as a nonparametric estimator. We present valid asymptotic inference methods, and a valid mean square error expansion of the estimator leading to an optimal choice for the number of portfolios. In practical settings, the optimal choice may be much larger than standard choices of five or ten. To ...
Staff Reports , Paper 788

show more (45)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords