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Discussion Paper
Mapping Heat in the U.S. Financial System: A Summary
Aikman, David; Kiley, Michael T.; Lee, Seung Jung; Palumbo, Michael G.; Warusawitharana, Missaka (2015-08-05)
This note reports a selection of results from research intended to quantitatively measure the buildup and reduction of vulnerabilities in the U.S. financial system over time.
FEDS Notes , Paper 2015-08-05

Working Paper
The response of equity prices to movements in long-term interest rates associated with monetary policy statements: before and after the zero lower bound
Kiley, Michael T. (2013)
Monetary policy actions since 2008 have influenced long-term interest rates through forward guidance and quantitative easing. We propose a strategy to identify the comovement between interest rate and equity price movements induced by monetary policy when an observable representing policy changes, such as changes in the interbank rate, is not available. A decline in long-term interest rates induced by monetary policy statements prior to 2009 is accompanied by a 6- to 9-percent increase in equity prices. This association is substantially attenuated in the period since the zero-lower bound has ...
Finance and Economics Discussion Series , Paper 2013-15

Working Paper
The Global Equilibrium Real Interest Rate: Concepts, Estimates, and Challenges
Kiley, Michael T. (2019-11)
Real interest rates have been persistently below historical norms over the past decade, leading economists and policymakers to view the equilibrium real interest rate as likely to be low for some time. Various definitions and approaches to estimating the equilibrium real interest rate are examined, including approaches based on the term-structure of interest rates and small macroeconomic models. The individual-country approaches common in the literature are extended to allow for global trend and cyclical factors. The analysis finds that global factors dominate the downward trend in the ...
Finance and Economics Discussion Series , Paper 2019-076

Working Paper
Policy Paradoxes in the New Keynesian Model
Kiley, Michael T. (2014-02-11)
The most common New-Keynesian model--with sticky-prices--has potentially implausible implications in a zero-lower bound environment. Fiscal and forward guidance multipliers can be implausibly large. Moreover, the sticky-price model implies that positive supply shocks, such as an increase in productivity, will lower production, and that increased price flexibility can exacerbate such a decline in output (as well as amplifying the effects of other shocks). These results are fragile and disappear under a plausible alternative to sticky prices--sticky information: Fiscal and monetary multipliers ...
Finance and Economics Discussion Series , Paper 2014-29

Working Paper
Unemployment Risk
Kiley, Michael T. (2018-09-28)
Fluctuations in upside risks to unemployment over the medium term are examined using quantile regressions. U.S. experience reveals an elevated risk of large increases in unemployment when inflation or credit growth is high and when the unemployment rate is low. Inflation was a significant contributor to unemployment risk in the 1970s and early 1980s, and fluctuations in credit have contributed importantly to unemployment risk since the 1980s. Fluctuations in upside risk to unemployment are larger than fluctuations in the median outlook or downside risk to unemployment. Accounting for ...
Finance and Economics Discussion Series , Paper 2018-067

Working Paper
Macroeconomic Effects of Banking Sector Losses across Structural Models
Covas, Francisco; Kiley, Michael T.; Driscoll, John C.; Jahan-Parvar, Mohammad; Iacoviello, Matteo; Sim, Jae W.; Guerrieri, Luca; Queraltó, Albert (2015-06-03)
The macro spillover effects of capital shortfalls in the financial intermediation sector are compared across five dynamic equilibrium models for policy analysis. Although all the models considered share antecedents and a methodological core, each model emphasizes different transmission channels. This approach delivers "model-based confidence intervals" for the real and financial effects of shocks originating in the financial sector. The range of outcomes predicted by the five models is only slightly narrower than confidence intervals produced by simple vector autoregressions.
Finance and Economics Discussion Series , Paper 2015-44

Working Paper
Efficiency wages, nominal rigidities, and the cyclical behavior of real wages and marginal cost
Kiley, Michael T. (1997)
This paper presents a model in which efficiency wages generate acyclical real wages but do not lower the sensitivity of marginal cost to output or increase price stickiness. Consideration of previous models suggests that efficiency wages are a poor source of real rigidity.
Finance and Economics Discussion Series , Paper 1997-24

Working Paper
What Macroeconomic Conditions Lead Financial Crises?
Kiley, Michael T. (2018-06-15)
Research has suggested that a rapid pace of nonfinancial borrowing reliably precedes financial crises, placing the pace of debt growth at the center of frameworks for the deployment of macroprudential policies. I reconsider the role of asset-prices and current account deficits as leading indicators of financial crises. Run-ups in equity and house prices and a widening of the current account deficit have substantially larger (and more statistically-significant) effects than debt growth on the probability of a financial crisis in standard crisis-prediction models. The analysis highlights the ...
Finance and Economics Discussion Series , Paper 2018-038

Conference Paper
Inflation expectations, uncertainty, the Phillips curve, and monetary policy - comments
Kiley, Michael T. (2008)
Historical experience suggests an important role for some deviation from the most restricted form of rational expectations in inflation dynamics, but also shows that other aspects of sluggish price adjustment, such as nominal rigidities, are important; and the available indicators of inflation expectations show that imperfect information regarding central bank intentions has been one source of inertia in inflation expectations.
Conference Series ; [Proceedings]

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