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Working Paper
Optimal Dynamic Capital Requirements and Implementable Capital Buffer Rules
Canzoneri, Matthew B.; Diba, Behzad T.; Guerrieri, Luca; Mishin, Arsenii
(2020-08-06)
We build a quantitatively relevant macroeconomic model with endogenous risk-taking. In our model, deposit insurance and limited liability can lead banks to make risky loans that are socially inefficient. This excessive risk-taking can be triggered by aggregate or sectoral shocks that reduce the return on safer loans. Excessive risk-taking can be avoided by raising bank capital requirements, but unnecessarily tight requirements lower welfare by limiting liquidity producing bank deposits. Consequently, optimal capital requirements are dynamic (or state contingent). We provide examples in which ...
Finance and Economics Discussion Series
, Paper 2020-056
Working Paper
Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model
Guerrón-Quintana, Pablo; Khazanov, Alexey; Zhong, Molin
(2023-05-05)
Through the lens of a nonlinear dynamic factor model, we study the role of exogenous shocks and internal propagation forces in driving the fluctuations of macroeconomic and financial data. The proposed model 1) allows for nonlinear dynamics in the state and measurement equations; 2) can generate asymmetric, state-dependent, and size-dependent responses of observables to shocks; and 3) can produce time-varying volatility and asymmetric tail risks in predictive distributions. We find evidence in favor of nonlinear dynamics in two important U.S. applications. The first uses interest rate data to ...
Finance and Economics Discussion Series
, Paper 2023-027
Working Paper
Are Fiscal Transfers Inflationary?
Arias, Jonas E.; Rubio-Ramirez, Juan F.; Shin, Minchul
(2026-05-05)
We assess the inflationary effects of fiscal transfers by leveraging advances in the identification of fiscal policy shocks within the recently proposed rotation-invariant time-varying structural vector autoregression. Our analysis suggests that fiscal transfer shocks account for a sizable share of the early post-pandemic increase in the price level through mid-2021. Thereafter, the rise in the price level is dominated by adverse supply shocks (especially supply-chain disruptions), while demand shocks mainly matter later for the lift-off in short-term interest rates. In addition, we find that ...
Working Papers
, Paper 26-23
Working Paper
The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure
Rubio-Ramirez, Juan F.; Caldara, Dario; Arias, Jonas E.
(2015-03-12)
Following Leeper, Sims, and Zha (1996), we identify monetary policy shocks in SVARs by restricting the systematic component of monetary policy. In particular, we impose sign and zero restrictions only on the monetary policy equation. Since we do not restrict the response of output to a monetary policy shock, we are agnostic in Uhlig's (2005) sense. But, in contrast to Uhlig (2005), our results support the conventional view that a monetary policy shock leads to a decline in output. Hence, our results show that the contractionary effects of monetary policy shocks do not hinge on questionable ...
International Finance Discussion Papers
, Paper 1131
Working Paper
The Role of News about TFP in U.S. Recessions and Booms
Faccini, Renato; Melosi, Leonardo
(2018-04-15)
We develop a general equilibrium model to study the historical contribution of TFP news to the U.S. business cycle. Hiring frictions provide incentives for firms to start hiring ahead of an anticipated improvement in technology. For plausibly calibrated hiring costs, employment gradually rises in response to positive TFP news shocks even under standard preferences. TFP news shocks are identified mainly by current and expected unemployment rates since periods in which average unemployment is relatively high (low) are also periods in which average TFP growth is slow (fast). We work out the ...
Working Paper Series
, Paper WP-2018-6
Working Paper
Do Monetary Policy Shocks Affect the Neutral Rate of Interest?
Leiva-León, Danilo; Sekkel, Rodrigo; Uzeda, Luis
(2026-02-01)
We develop a trend–cycle Bayesian vector autoregression that jointly estimates the real neutral rate of interest, 𝑟𝑡∗, and identifies monetary policy shocks. As a key innovation, the framework allows cyclical shocks, most notably monetary policy shocks, to affect the trend component of macroeconomic variables, providing a new way to assess whether transitory disturbances have persistent effects. Using external instruments, we find that contractionary monetary policy shocks reduce 𝑟𝑡∗ and lower trend GDP growth, while the model’s estimates of 𝑟𝑡∗ remain consistent ...
Working Papers
, Paper 26-3
Working Paper
The Slope of the Phillips Curve
Furlanetto, Francesco; Lepetit, Antoine
(2024-06-14)
We review recent developments in the estimation and identification of the Phillips curve and its slope. We have three main objectives. First, we describe the econometric challenges faced by traditional approaches of estimating the Phillips curve, explain how new approaches address those challenges, and assess which limitations still remain. Second, we review the findings of those new approaches and examine the evidence regarding a potential flattening of the Phillipscurve in the pre-pandemic period. Third, we provide an account of inflation dynamics in the post-pandemic period with a ...
Finance and Economics Discussion Series
, Paper 2024-043
Working Paper
When Do State-Dependent Local Projections Work?
Kilian, Lutz; Pesavento, Elena; Herrera, Ana María; Goncalves, Silvia
(2022-05-06)
Many empirical studies estimate impulse response functions that depend on the state of the economy. Most of these studies rely on a variant of the local projection (LP) approach to estimate the state-dependent impulse response functions. Despite its widespread application, the asymptotic validity of the LP approach to estimating state-dependent impulse responses has not been established to date. We formally derive this result for a structural state-dependent vector autoregressive process. The model only requires the structural shock of interest to be identified. A sufficient condition for the ...
Working Papers
, Paper 2205
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