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Journal Article
Asset Returns and Labor Force Participation During COVID-19
Faria-e-Castro, Miguel (2022-01-06)
Why did so many people retire during the pandemic?
Economic Synopses

Journal Article
Fiscal Policy and COVID-19: Insights from a Quantitative Model
Faria-e-Castro, Miguel (2020-03-27)
Unemployment insurance may be the most effective way to help households right now.
Economic Synopses , Issue 8

Journal Article
Do Banks Lend to Distressed Firms?
Sanchez, Juan M.; Paul, Pascal; Faria-e-Castro, Miguel (2023-11-27)
Concerns emerged during the COVID-19 pandemic over banks continuing to lend to unproductive businesses that were close to default. Recent research shows that lenders have incentives to offer relatively better terms to less-productive and more-indebted firms to recover their prior investments. U.S. loan-level data confirm the empirical relevance of such lending behavior. A rich model of firms and banks further emphasizes that this type of lending can also depress overall productivity by sustaining firms that should otherwise exit the economy.
FRBSF Economic Letter , Volume 2023 , Issue 31 , Pages 5

Journal Article
Artificial Intelligence and Inflation Forecasts
Faria-e-Castro, Miguel; Leibovici, Fernando (2024-11-29)
We explore the ability of large language models (LLMs) to produce in-sample conditional inflation forecasts during the 2019–23 period. We use a leading LLM (Google AI’s PaLM) to produce distributions of conditional forecasts at different horizons and compare these forecasts to those of a leading source, the Survey of Professional Forecasters (SPF). We find that LLM forecasts generate lower mean-squared errors overall in most years and at almost all horizons. LLM forecasts exhibit slower reversion to the 2 percent inflation anchor.
Review , Volume 106 , Issue 12 , Pages 14 pages

Corporate Bond Spreads and the Pandemic II: Heterogeneity across Sectors
Ebsim, Mahdi; Kozlowski, Julian; Faria-e-Castro, Miguel (2020-04-14)
The COVID-19 pandemic’s effects on firm borrowing costs have been heterogeneous, with some sectors being more affected than others.
On the Economy

Working Paper
The (Unintended?) Consequences of the Largest Liquidity Injection Ever
Crosignani, Matteo; Fonseca, Luis; Faria-e-Castro, Miguel (2017-01)
We study the design of lender of last resort interventions and show that the provision of long-term liquidity incentivizes purchases of high-yield short-term securities by banks. Using a unique security-level data set, we find that the European Central Bank?s three-year Long-Term Refinancing Operation incentivized Portuguese banks to purchase short-term domestic government bonds that could be pledged to obtain central bank liquidity. This "collateral trade" effect is large, as banks purchased short-term bonds equivalent to 8.4% of amount outstanding. The resumption of public debt issuance ...
Finance and Economics Discussion Series , Paper 2017-011

The Comovement between Credit Spreads, Corporate Debt and Liquid Assets in Recent Crises
Kozlowski, Julian; Faria-e-Castro, Miguel; Jordan-Wood, Samuel (2021-11-09)
Credit spreads rose sharply during the 2008 financial crisis and the COVID-19 crisis. But their movement with corporate debt and liquid assets differed during those two periods.
On the Economy

Excess Retirements Continue despite Ebbing COVID-19 Pandemic
Faria-e-Castro, Miguel; Jordan-Wood, Samuel (2023-06-22)
COVID-19 spurred a wave of retirements. Though the effects of the pandemic have subsided, the number of retirees remains well above what would have been expected from socioeconomic trends.
On the Economy

Journal Article
Commercial Real Estate: Where Are the Financial Risks?
Faria-e-Castro, Miguel; Jordan-Wood, Samuel (2023-11-17)
Large banks, with assets over $100 billion, tend to have significantly lower exposure to commercial real estate market risks than the average commercial bank in the US.
Economic Synopses , Issue 22 , Pages 2 pages

Journal Article
Can Countercyclical Capital Buffers Help Prevent a Financial Crisis?
Faria-e-Castro, Miguel (2019-06-21)
Higher bank capital requirements may buffer the effects of crises.
Economic Synopses , Issue 15

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