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The Comovement between Credit Spreads, Corporate Debt and Liquid Assets in Recent Crises
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.
Excess Retirements Continue despite Ebbing COVID-19 Pandemic
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.
Journal Article
Commercial Real Estate: Where Are the Financial Risks?
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.
Journal Article
Pandemic Labor Force Participation and Net Worth Fluctuations
The US labor force participation rate (LFPR) experienced a record drop during the early pandemic. While it has since recovered to 62.2 percent as of December 2022, it was still 1.41 percentage points below its pre-pandemic peak. This gap is explained mostly by a permanent decline in the LFPR for workers older than 55. This article argues that wealth effects driven by the historically high returns in major asset classes such as stocks and housing may have influenced these trends. Combining an estimated model of wealth effects on labor supply with micro data on balance sheet composition, we ...
Russia’s Invasion of Ukraine and Its Impact on Stock Prices
Since the two countries are global suppliers of raw materials, Russia’s invasion of Ukraine triggered a commodity price shock. Which stocks were most sensitive to it?
Retirements, Net Worth, and the Fall and Rise of Labor Force Participation
New research suggests that declining asset values in 2022 may have prompted older workers to return to the labor force.
Journal Article
“Stress Testing” Banks on Commercial Real Estate
Recent research tests the effects of a large (hypothetical) drop in commercial real estate prices: Banks most affected would be small and the resulting noncompliance would apply to a small fraction of assets in the US banking system.
Journal Article
Where Do You Keep Your Liquid Wealth—Bank Deposits or T-bills?
The beginning of 2022 saw bank deposits, such as CDs, paying similar interest rates to Treasury bills, but they now pay almost 4% less.
The Many Interest Rates in 2022
The one-year Treasury rate and the five-year, five-year forward rate on Treasuries told different stories in 2022, depending on whether one looked at nominal rates or real rates.
Commercial Real Estate Exposure and Bank Stock Returns
An analysis suggests that commercial real estate exposures may have been a relevant driver of bank holding company stock returns in 2023.