Search Results

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Working Paper
Age heterogeneity and the Tobin effect with infinite horizons
Whitesell, William C. (1988)
Finance and Economics Discussion Series , Paper 4

Working Paper
Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement
Ghamami, Samim; Zhang, Bo (2014-12-17)
Counterparty credit risk (CCR), a key driver of the 2007-08 credit crisis, has become one of the main focuses of the major global and U.S. regulatory standards. Financial institutions invest large amounts of resources employing Monte Carlo simulation to measure and price their counterparty credit risk. We develop efficient Monte Carlo CCR estimation frameworks by focusing on the most widely used and regulatory-driven CCR measures: expected positive exposure (EPE), credit value adjustment (CVA), and effective expected positive exposure (EEPE). Our numerical examples illustrate that our ...
Finance and Economics Discussion Series , Paper 2014-114

Working Paper
Changing Jobs to Fight Inflation: Labor Market Reactions to Inflationary Shocks
Bostanci, Gorkem; Koru, Omer; Villalvazo, Sergio (2025-06-04)
We argue that inflationary shocks affect allocative efficiency by changing the rate and the characteristics of workers’ job-to-job transitions. First, using monetary policy shocks and survey data on search effort, we empirically show that a one percentage point rise in inflation increases job-to-job transitions by up to 4.5%, and workers with higher inflation expectations are more likely to search and do so more effectively. Second, we build a general equilibrium model of directed on-the-job search to quantify the aggregate implications of labor market reactions. Higher-than-expected ...
Finance and Economics Discussion Series , Paper 2025-042

Working Paper
Declining Search Frictions, Unemployment, and Growth Revisited
Córdoba, Juan C.; Isojärvi, Anni T.; Li, Haoran (2025-10-31)
This paper revisits the conditions under which search models generate balanced growth paths (BGPs)—equilibria where unemployment, vacancies, and job flows remain steady as search frictions decline. Martellini and Menzio (2020) claim that such paths exist only when matches are “inspection goods” and match quality follows a Pareto distribution. We show that these conditions are sufficient but not necessary. Their implementation assumes a strong form of stationarity—requiring the endogenous distribution of match qualities to remain invariant under proportional scaling. This restriction ...
Finance and Economics Discussion Series , Paper 2025-098

Working Paper
Oil and the macroeconomy revisited
Hooker, Mark A. (1999)
The relationship between oil price shocks and U.S. macroeconomic fluctuations advocated by Hamilton (1983) broke down in the 1980s amidst a new regime of highly volatile oil price movements. Several authors have argued that asymmetric and nonlinear transformations of oil prices restore that relationship and thus that the economy responds asymmetrically and nonlinearly to oil price shocks. In this paper, I show that this is only part of the story: the two leading such transformations do not in fact Granger cause output or unemployment in the post-1980 period without further refinements, and ...
Finance and Economics Discussion Series , Paper 1999-43

Working Paper
Endogenous business cycles and the dynamics of output, hours, and consumption
Schmitt-Grohe, Stephanie (1998)
This paper studies the business-cycle fluctuations predicted by a two-sector endogenous-business-cycle model with sector-specific external increasing returns to scale. It focuses on aspects of actual fluctuations that have been identified both as defining features of the business cycle and as ones that standard real-business-cycle models cannot explain: the autocorrelation function of output growth, the impulse response function of output to demand shocks, and the forecastable movements of output, hours, and consumption. For empirically realistic calibrations of the degree of sector-specific ...
Finance and Economics Discussion Series , Paper 1998-19

Working Paper
Monetary Policy Options at the Effective Lower Bound : Assessing the Federal Reserve's Current Policy Toolkit
Gagnon, Etienne; Vilan, Diego; Trevino, James; Chung, Hess T.; Nakata, Taisuke; Paustian, Matthias; Zheng, Wei; Schlusche, Bernd (2019-02-01)
We simulate the FRB/US model and a number of statistical models to quantify some of the risks stemming from the effective lower bound (ELB) on the federal funds rate and to assess the efficacy of adjustments to the federal funds rate target, balance sheet policies, and forward guidance to provide monetary policy accommodation in the event of a recession. Over the next decade, our simulations imply a roughly 20 to 50 percent probability that the federal funds rate will be constrained by the ELB at some point. We also find that forward guidance and balance sheet polices of the kinds used in ...
Finance and Economics Discussion Series , Paper 2019-003

Working Paper
Measurement and efficiency issues in commercial banking
Berger, Allen N.; Humphrey, David B. (1990)
Finance and Economics Discussion Series , Paper 151

show more (446)

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