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Working Paper
Small sample properties of estimators of non-linear models of covariance structure
Clark, Todd E. (1995)
This study examines the small sample properties of GMM and ML estimators of non-linear models of covariance structure. The study focuses on the properties of parameter estimates and the Hansen (1982) and Newey (1985) model specification test. It use Monte Carlo simulations to consider the properties of estimates for some simple factor models, the Hall and Mishkin (1982) model of consumption and income changes, and a simple Bernanke (1986) decomposition model. This analysis establishes and seeks to explain a number of results. Most importantly, optimally weighted GMM estimation yields some ...
Research Working Paper , Paper 95-01

Working Paper
Learning about monetary policy rules when labor market search and matching frictions matter
Van Zandweghe, Willem; Kurozumi, Takushi (2010)
This paper examines implications of incorporating labor market search and matching frictions into a sticky price model for determinacy and E-stability of rational expectations equilibrium (REE) under interest rate policy. When labor adjustment takes place solely at the extensive margin, forecast-based policy that meets the Taylor principle is likely to induce indeterminacy and E-instability, regardless of whether it is strictly or flexibly inflation targeting. When labor adjustment takes place at both the extensive and intensive margins, the strictly inflation-forecast targeting policy ...
Research Working Paper , Paper RWP 10-14

Working Paper
Capital Controls and the Global Financial Cycle
Matschke, Johannes; Lovchikova, Marina (2021-09-08)
Capital flows into emerging markets are volatile and associated with risks. A common prescription is to impose counter-cyclical capital controls that tighten during economic booms to mitigate future sudden-stop dynamics, but it has been challenging to document such patterns in the data. Instead, we show that emerging markets tighten their capital controls in response to volatility in international financial markets and elevated risk aversion. We develop a model in which this behavior arises from a desire to manipulate the risk premium. When investors are more risk-averse or markets are ...
Research Working Paper , Paper RWP 21-08

Working Paper
Faster Payments: Market Structure and Policy Considerations
Stavins, Joanna; Baughman, Garth; Stewart, Kylie; Rosenbaum, Aaron; Hayashi, Fumiko; Manuszak, Mark D. (2017-11-01)
This paper reports on a research effort by Federal Reserve staff to examine market structure implications in the still?emerging faster payments market. The analysis and conclusions in this paper are those of the authors and do not indicate official positions of the Board of Governors or Federal Reserve System. Although this paper offers several considerations regarding the U.S. faster payments market, it does not make specific policy recommendations or provide a view on the potential roles, including service provider or other roles, that the Federal Reserve may play in this market.2 Given the ...
Research Working Paper , Paper RWP 17-14

Working Paper
Unconventional Monetary Policy and Local Fiscal Policy
Bi, Huixin; Traum, Nora (2022-11-07)
Following the onset of the pandemic, the Federal Reserve employed an unconventional monetary policy that directly intervened in municipal bond markets. We characterize the fiscal and macroeconomic implications of such central bank actions in a New Keynesian model of a monetary union. We assume that state and local governments are subject to a loan-in-advance constraint, reflecting that with lumpy cash flows, they often finance a fraction of expenditures by issuing short-term bonds. The municipal debt is held by financial intermediaries, who alsosupply credit to the private sector. Direct ...
Research Working Paper , Paper RWP 22-15

Working Paper
Unconventional Monetary Policy Spillovers and the (In)convenience of Treasuries
Dilts Stedman, Karlye; Hanson, Andrew (2025-09-04)
Using high frequency data, we find that spillovers to the U.S. yield curve from the European Central Bank increased following the Global Financial Crisis, and strengthened when the U.S. normalized policy out of sync with other advanced economies. These spillovers were amplified by a contemporaneous waning in the ”convenience” of Treasuries. This provides evidence for a portfolio balance channel of transmission that is time-varying based on thenon-pecuniary characteristics of Treasuries. We rationalize these facts using a two-country model of preferred habitat investors, where time-varying ...
Research Working Paper , Paper RWP 25-10

Working Paper
Effects of credit scores on consumer payment choice
Stavins, Joanna; Hayashi, Fumiko (2012)
Anecdotally, a negative relationship between the use of debit cards and credit scores has been reported: Consumers with lower credit scores use debit cards more intensively than those with higher credit scores. However, it is not clear whether credit scores have real effects on consumer payment choice or whether the negative relationship is caused by other factors, such as education or income. ; If credit scores have real effects, a negative relationship between debit card use and credit scores could imply supply-side effects, demand-side effects, or a combination of both. If credit scores ...
Research Working Paper , Paper RWP 12-03

Working Paper
A model of monetary policy shocks for financial crises and normal conditions
Smith, Andrew Lee; Valcarcel, Victor J.; Keating, John W.; Kelly, Logan J. (2014-10-01)
In late 2008, deteriorating economic conditions led the Federal Reserve to lower the federal funds rate to near zero and inject massive liquidity into the financial system through novel facilities. The combination of conventional and unconventional measures complicates the challenging task of characterizing the effects of monetary policy. We develop a novel method of identifying these effects that maintains the classic assumptions that a central bank reacts to output and the price level contemporaneously and may only affect these variables with a lag. A New-Keynesian DSGE model augmented with ...
Research Working Paper , Paper RWP 14-11

Working Paper
Borrowed reserves targeting and nominal income smoothing
VanHoose, David D. (1989)
Research Working Paper , Paper 89-15

Working Paper
Economic fluctuations, market power, and returns to scale: evidence from firm-level data
Fazzari, Steven; Chirinko, Robert S. (1993)
Research Working Paper , Paper 93-06

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