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Journal Article
Global banks, local crises: bad news from Argentina
Kay, Stephen J.; Del Negro, Marco (2002-07)
Banking crises have been a recurrent phenomenon in Latin America over the past few decades. Some have argued that the internationalization of the banking sector has ushered in a new era: what used to be systemic risk from the perspective of local banks with undiversified portfolios might no longer be systemic from the standpoint of large international banks. ; Argentina's experience shows that the presence of international banks was not enough to prevent local banking crises and sizable losses to depositors. The "bad news" from Argentina, this article argues, is that depositors in emerging ...
Economic Review , Volume 87 , Issue Q3 , Pages 89-106

Report
Fiscal implications of the Federal Reserve's balance sheet normalization
Grasing, Jamie; Rosa, Carlo; Frame, W. Scott; Malin, Benjamin A.; Cavallo, Michele; Del Negro, Marco (2018-01-01)
The paper surveys the recent literature on the fiscal implications of central bank balance sheets, with a special focus on political economy issues. It then presents the results of simulations that describe the effects of different scenarios for the Federal Reserve's longer-run balance sheet on its earnings remittances to the U.S. Treasury and, more broadly, on the government's overall fiscal position. We find that reducing longer-run reserve balances from $2.3 trillion (roughly the current amount) to $1 trillion reduces the likelihood of posting a quarterly net loss in the future from 30 ...
Staff Reports , Paper 833

Report
Online Estimation of DSGE Models
Herbst, Edward; Schorfheide, Frank; Cai, Michael; Matlin, Ethan; Del Negro, Marco; Sarfati, Reca (2019-08-01)
This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, explore the benefits of an SMC variant we call generalized tempering for ?online? estimation, and provide examples of multimodal posteriors that are well captured by SMC methods. We then use the online estimation of the DSGE model to compute pseudo-out-of-sample density forecasts of DSGE models with and without financial frictions and document the benefits of conditioning DSGE model forecasts on nowcasts ...
Staff Reports , Paper 893

Discussion Paper
The Post‑Pandemic Global R*
Del Negro, Marco; Elbarmi, Elena; Pham, Michael (2026-02-25)
In this post we provide a measure of “global” r* using data on short- and long-term yields and inflation for several countries with the approach developed in “Global Trends in Interest Rates” (Del Negro, Giannone, Giannoni, and Tambalotti). After declining significantly from the 1990s to before the COVID-19 pandemic, global r* has risen but remains well below its pre-1990s level. These conclusions are based on an econometric model called “trendy VAR” that extracts common trends across a multitude of variables. Specifically, the common trend in real rates across all the countries ...
Liberty Street Economics , Paper 20260225

Report
Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)
Del Negro, Marco; Schorfheide, Frank (2008-03-01)
This paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models and provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the endogenous variables. The empirical application studies the role of price and wage rigidities in a New Keynesian DSGE model and finds that standard macro time series cannot discriminate among theories that differ in the quantitative importance of nominal frictions.
Staff Reports , Paper 320

Discussion Paper
Measuring the Financial Stability Real Interest Rate, r**
Akinci, Ozge; Benigno, Gianluca; Del Negro, Marco; Nourbash, Ethan; Queraltó, Albert (2023-05-24)
Comparing our financial stability real interest rate, r** (“r-double-star”) with the prevailing real interest rate gives a measure of how vulnerable the economy is to financial instability. In this post, we first explain how r** can be measured, and then discuss its evolution over the last fifty years and how to interpret the recent banking turmoil within this framework.
Liberty Street Economics , Paper 20230524

Conference Paper
Has monetary policy been so bad that it is better to get rid of it? The case of Mexico
Del Negro, Marco; Obiols-Homs, Francesc (2001)
Proceedings

Discussion Paper
Global Trends in Interest Rates
Bok, Brandyn; Del Negro, Marco; Qian, Eric; Giannone, Domenico; Giannoni, Marc; Tambalotti, Andrea (2019-02-27)
Long-term government bond yields are at their lowest levels of the past 150 years in advanced economies. In this blog post, we argue that this low-interest-rate environment reflects secular global forces that have lowered real interest rates by about two percentage points over the past forty years. The magnitude of this decline has been nearly the same in all advanced economies, since their real interest rates have converged over this period. The key factors behind this development are an increase in demand for safety and liquidity among investors and a slowdown in global economic growth.
Liberty Street Economics , Paper 20190227

Working Paper
Monetary policy and the house price boom across U.S. states
Otrok, Christopher; Del Negro, Marco (2005)
The authors use a dynamic factor model estimated via Bayesian methods to disentangle the relative importance of the common component in the Office of Federal Housing Enterprise Oversight?s house price movements from state- or region-specific shocks, estimated on quarterly state-level data from 1986 to 2004. The authors find that movements in house prices historically have mainly been driven by the local (state- or region-specific) component. The recent period (2001?04) has been different, however: ?Local bubbles? have been important in some states, but overall the increase in house prices is ...
FRB Atlanta Working Paper , Paper 2005-24

Discussion Paper
Fiscal Implications of the Federal Reserve’s Balance Sheet Normalization
Grasing, Jamie; Rosa, Carlo; Frame, W. Scott; Malin, Benjamin A.; Cavallo, Michele; Del Negro, Marco (2018-01-09)
This Note summarizes analysis conducted in our recent FEDS working paper that seeks to understand the fiscal implications of the Federal Reserve's balance sheet normalization program.
FEDS Notes , Paper 2017-01-09

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