Search Results
Working Paper
Monetary Policy Effectiveness in China: Evidence from a FAVAR Model
Fernald, John G.; Spiegel, Mark M.; Swanson, Eric T.
(2014-02-24)
We use a broad set of Chinese economic indicators and a dynamic factor model framework to estimate Chinese economic activity and inflation as latent variables. We incorporate these latent variables into a factor-augmented vector autoregression (FAVAR) to estimate the effects of Chinese monetary policy on the Chinese economy. A FAVAR approach is particularly well-suited to this analysis due to concerns about Chinese data quality, a lack of a long history for many series, and the rapid institutional and structural changes that China has undergone. We find that increases in bank reserve ...
Working Paper Series
, Paper 2014-7
Working Paper
The St. Louis Fed DSGE Model
Faria-e-Castro, Miguel
(2024-06)
This document contains a technical description of the dynamic stochastic general equilibrium (DSGE) model developed and maintained by the Research Division of the St. Louis Fed as one of its tools for forecasting and policy analysis. The St. Louis Fed model departs from an otherwise standard medium-scale New Keynesian DSGE model along two main dimensions: first, it allows for household heterogeneity, in the form of workers and capitalists, who have different marginal propensities to consume (MPC). Second, it explicitly models a fiscal sector endowed with multiple spending and revenue ...
Working Papers
, Paper 2024-014
Discussion Paper
Exploring the TIPS‑Treasury Valuation Puzzle
Roussellet, Guillaume
(2024-07-01)
Since the late 1990s, the U.S. Treasury has issued debt in two main forms: nominal bonds, which provide fixed-cash scheduled payments, and Treasury Inflation Protected Securities—or TIPS—which provide the holder with inflation-protected payments that rise with U.S. inflation. At the heart of their relative valuation lie market participants’ expectations of future inflation, an object of interest for academics, policymakers, and investors alike. After briefly reviewing the theoretical and empirical links between TIPS and Treasury yields, this post, based on a recent research paper, ...
Liberty Street Economics
, Paper 20240701
Working Paper
Fiscal Multipliers and Financial Crises
Faria-e-Castro, Miguel
(2022-01)
I study the effects of the US fiscal policy response to the Great Recession, accounting both for standard tools and financial sector interventions. A nonlinear model calibrated to the US allows me to study the state-dependent effects of different fiscal policies. I combine the model with data on the fiscal policy response to find that the fall in consumption would have been one-third larger in the absence of that response, for a cumulative loss of 7.18%. Transfers and bank recapitalizations yielded the largest fiscal multipliers through new transmission channels that arise from linkages ...
Working Papers
, Paper 2018-023
Working Paper
Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints
Schorfheide, Frank; Aruoba, S. Boragan; Cuba-Borda, Pablo A.; Villalvazo, Sergio; Higa-Flores, Kenji
(2020-04-06)
We develop an algorithm to construct approximate decision rules that are piecewise-linear and continuous for DSGE models with an occasionally binding constraint. The functional form of the decision rules allows us to derive a conditionally optimal particle filter (COPF) for the evaluation of the likelihood function that exploits the structure of the solution. We document the accuracy of the likelihood approximation and embed it into a particle Markov chain Monte Carlo algorithm to conduct Bayesian estimation. Compared with a standard bootstrap particle filter, the COPF significantly ...
Working Papers
, Paper 20-13
Journal Article
A Model of U.S. Monetary Policy Before and After the Great Recession
Andolfatto, David
(2015)
The author studies a simple dynamic general equilibrium monetary model to interpret key macroeconomic developments in the U.S. economy both before and after the Great Recession. In normal times, when the Federal Reserve?s policy rate is above the interest paid on reserves, countercyclical monetary policy works in a textbook manner. When a shock drives the policy rate to the zero lower bound, the economy enters a liquidity-trap scenario in which open market purchases of government securities have no real or nominal effects, apart from expanding the supply of excess reserves in the banking ...
Review
, Volume 97
, Issue 3
, Pages 233-56
Working Paper
A Quantitative Analysis of Countercyclical Capital Buffers
Faria-e-Castro, Miguel
(2019-03-19)
What are the quantitative effects of countercyclical capital buffers (CCyB)? I study this question in the context of a nonlinear DSGE model with a financial sector that is subject to occasional panics. A calibrated version of the model is combined with US data to estimate sequences of structural shocks, allowing me to study policy counterfactuals. First, I show that raising capital buffers during leverage expansions can reduce the frequency of crises by more than half. Second, I show that lowering capital buffers during a panic can moderate the intensity of the resulting crisis. A ...
Working Papers
, Paper 2019-8
Journal Article
Policymakers Have Options for Additional Accommodation: Forward Guidance and Yield Curve Control
Bundick, Brent; Smith, Andrew Lee
(2020-07-15)
With the federal funds rate near zero, policymakers are evaluating options for providing additional monetary policy accommodation, including a tool known as yield curve control. We find that despite low nominal Treasury yields, some scope for additional accommodation remains should policymakers deem it appropriate. However, we argue that forward guidance about future interest rates could deliver much, though not all, of the accommodation of yield curve control.
Economic Bulletin
Working Paper
A Unified Framework to Estimate Macroeconomic Stars
Zaman, Saeed
(2022-08-15)
We develop a flexible semi-structural time-series model to estimate jointly several macroeconomic "stars" -- i.e., unobserved long-run equilibrium levels of output (and growth rate of output), the unemployment rate, the real rate of interest, productivity growth, price inflation, and wage inflation. The ingredients of the model are in part motivated by economic theory and in part by the empirical features necessitated by the changing economic environment. Following the recent literature on inflation and interest rate modeling, we explicitly model the links between long-run survey expectations ...
Working Papers
, Paper 21-23R
Working Paper
Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs
Li, Canlin; Wei, Min
(2014-03-24)
This paper estimates an arbitrage-free term structure model with both observable yield factors and Treasury and Agency MBS supply factors, and uses it to evaluate the term premium effects of the Federal Reserve's large-scale asset purchase programs. Our estimates show that the first and the second large-scale asset purchase programs and the maturity extension program jointly reduced the 10-year Treasury yield by about 100 basis points.
Finance and Economics Discussion Series
, Paper 2014-07
FILTER BY year
FILTER BY Bank
Federal Reserve Bank of St. Louis 43 items
Federal Reserve Bank of New York 17 items
Federal Reserve Bank of Kansas City 10 items
Board of Governors of the Federal Reserve System (U.S.) 9 items
Federal Reserve Bank of Boston 9 items
Federal Reserve Bank of Cleveland 8 items
Federal Reserve Bank of Dallas 7 items
Federal Reserve Bank of San Francisco 5 items
Federal Reserve Bank of Chicago 4 items
Federal Reserve Bank of Atlanta 3 items
Federal Reserve Bank of Richmond 3 items
Federal Reserve Bank of Minneapolis 2 items
Federal Reserve Bank of Philadelphia 1 items
show more (8)
show less
FILTER BY Series
Working Papers 47 items
Working Paper Series 9 items
Finance and Economics Discussion Series 7 items
Globalization Institute Working Papers 7 items
Liberty Street Economics 7 items
Research Data Report 7 items
Staff Reports 7 items
Economic Bulletin 5 items
Review 5 items
Research Working Paper 4 items
Economic Policy Review 3 items
Working Paper 3 items
Working Papers (Old Series) 3 items
International Finance Discussion Papers 2 items
Consumer Payments Research Data Reports 1 items
Economic Review 1 items
FRB Atlanta CQER Working Paper 1 items
FRB Atlanta Working Paper 1 items
Staff Report 1 items
show more (14)
show less
FILTER BY Content Type
FILTER BY Author
Andolfatto, David 11 items
Faria-e-Castro, Miguel 9 items
Angrisani, Marco 8 items
Foster, Kevin 8 items
Hitczenko, Marcin 8 items
Williamson, Stephen D. 8 items
Bullard, James B. 6 items
Smith, Andrew Lee 5 items
Coibion, Olivier 4 items
Del Negro, Marco 4 items
Gorodnichenko, Yuriy 4 items
McInish, Thomas H. 4 items
Neely, Christopher J. 4 items
Planchon, Jade 4 items
Bognanni, Mark 3 items
DiCecio, Riccardo 3 items
Kliesen, Kevin L. 3 items
Martin, Antoine 3 items
Martin, Fernando M. 3 items
McAndrews, James J. 3 items
Zaman, Saeed 3 items
Akinci, Ozge 2 items
Aruoba, S. Boragan 2 items
Baker, Katie 2 items
Bech, Morten L. 2 items
Benigno, Gianluca 2 items
Bundick, Brent 2 items
Casey, Logan 2 items
Cuba-Borda, Pablo A. 2 items
Dempsey, Kyle 2 items
Fisher, Jonas D. M. 2 items
Gleich, Aidan 2 items
Knotek, Edward S. 2 items
Luck, Stephan 2 items
Matschke, Johannes 2 items
McGowan, John 2 items
Nallamotu, Ramya 2 items
Nosal, Ed 2 items
Queraltó, Albert 2 items
Sattiraju, Sai 2 items
Schorfheide, Frank 2 items
Singh, Aarti 2 items
Valcarcel, Victor J. 2 items
Wang, Zhu 2 items
Wynne, Mark A. 2 items
Zhang, Ren 2 items
Abbassi, Puriya 1 items
Acharya, Sushant 1 items
Andrade, Philippe 1 items
Azariadis, Costas 1 items
Bassetto, Marco 1 items
Bianchi, Javier 1 items
Bräuning, Falk 1 items
Bu, Chunya 1 items
Campbell, Jeffrey R. 1 items
Candia, Bernardo 1 items
Carapella, Francesca 1 items
Christensen, Jens H. E. 1 items
Cipriani, Marco 1 items
Clarida, Richard H. 1 items
Curdia, Vasco 1 items
Davig, Troy A. 1 items
Dogra, Keshav 1 items
Dong, Feng 1 items
Duffie, Darrell 1 items
Duncan, Roberto 1 items
Eichengreen, Barry 1 items
Eisenbach, Thomas M. 1 items
Fernald, John G. 1 items
Ferroni, Filippo 1 items
Foerster, Andrew T. 1 items
Frache, Serafin 1 items
Fricke, Daniel 1 items
Gautier, Erwan 1 items
Georgarakos, Dmitris 1 items
Gilchrist, Simon 1 items
Gillan, James M. 1 items
Gomis-Porqueras, Pedro 1 items
Greppmair, Stefan 1 items
Han, Pengfei 1 items
Harry, Cooperman 1 items
Hassan, Tarek A. 1 items
Herbst, Edward 1 items
Herbst, Edward P. 1 items
Hetzel, Robert L. 1 items
Higa-Flores, Kenji 1 items
Ho, Steven Wei 1 items
Humpage, Owen F. 1 items
Infante, Sebastian 1 items
Ingber, Jeffrey F. 1 items
Jaimovich, Nir 1 items
Janet Hua, Jiang, 1 items
Kam, Timothy 1 items
Keating, John W. 1 items
Kelly, Logan J. 1 items
Kenny, Geoff 1 items
Klee, Elizabeth C. 1 items
Kollmann, Robert 1 items
Kroeger, Alexander 1 items
Kumar, Saten 1 items
La Spada, Gabriele 1 items
Li, Bin Grace 1 items
Li, Canlin 1 items
Lluberas, Rodrigo 1 items
Lucca, David O. 1 items
Mattesini, Fabrizio 1 items
Melosi, Leonardo 1 items
Mertens, Thomas M. 1 items
Meyer, Brent 1 items
Mondragon, Jorge 1 items
Nechio, Fernanda 1 items
Norman, Peter 1 items
Nourbash, Ethan 1 items
Palida, Ali 1 items
Paludkiewicz, Karol 1 items
Paul, Pascal 1 items
Phelan, Gregory 1 items
Prescott, Edward C. 1 items
Puzzello, Daniela 1 items
Rebelo, Sergio 1 items
Rogers, John 1 items
Roussellet, Guillaume 1 items
Sarkar, Asani 1 items
Schulze, Niels 1 items
Sengupta, Rajdeep 1 items
Shin, Minchul 1 items
Skeie, David R. 1 items
Spiegel, Mark M. 1 items
Suda, Jacek 1 items
Sultanum, Bruno 1 items
Swanson, Eric T. 1 items
Tiziano, Robele 1 items
Toh, Ying Lei 1 items
Tran, Thao 1 items
Truman, Edwin M. 1 items
Ulate, Mauricio 1 items
Villalvazo, Sergio 1 items
Waller, Christopher J. 1 items
Wang, Pengfei 1 items
Wang, Zachry 1 items
Weber, Michael 1 items
Wei, Min 1 items
Wen, Yi 1 items
Wessel, Ryan 1 items
Wong, Arlene 1 items
Wright, Jonathan H. 1 items
Wright, Randall 1 items
Wu, Jing Cynthia 1 items
Wu, Wenbin 1 items
Yang, Yilin 1 items
Yue, Vivian Z. 1 items
Zakrajšek, Egon 1 items
Zhang, Ji 1 items
Zhang, Shengxing 1 items
Zhang, Tony 1 items
Zhong, Molin 1 items
Zhou, Hao 1 items
Zimmermann, Thomas 1 items
show more (153)
show less
FILTER BY Jel Classification
E5 71 items
E3 23 items
E6 13 items
G2 13 items
E52 9 items
C5 8 items
D12 8 items
D14 8 items
G01 8 items
G1 8 items
E2 6 items
F3 6 items
G21 6 items
N1 6 items
C32 5 items
E31 5 items
E44 5 items
G12 5 items
G28 5 items
E1 4 items
E58 4 items
F4 4 items
G18 4 items
C11 3 items
C52 3 items
E24 3 items
E43 3 items
O4 3 items
C15 2 items
C3 2 items
E00 2 items
E32 2 items
E42 2 items
E51 2 items
F31 2 items
F33 2 items
F34 2 items
G15 2 items
G23 2 items
O3 2 items
B1 1 items
B2 1 items
B22 1 items
C18 1 items
C62 1 items
C7 1 items
D82 1 items
D83 1 items
E0 1 items
E61 1 items
F2 1 items
F32 1 items
F41 1 items
F45 1 items
F5 1 items
F52 1 items
F53 1 items
G0 1 items
G00 1 items
G11 1 items
G14 1 items
G20 1 items
G51 1 items
H6 1 items
N22 1 items
O31 1 items
O35 1 items
show more (63)
show less
FILTER BY Keywords
monetary policy 22 items
inflation 8 items
financial crises 7 items
Money 7 items
COVID-19 6 items
Quantitative Easing 6 items
interest rates 6 items
liquidity 6 items
Dynamic Stochastic General Equilibrium (DSGE) models 5 items
Treasury securities 5 items
heterogeneous households 5 items
life cycle economies 5 items
nominal GDP targeting 5 items
Bayesian analysis 5 items
Agency securities 4 items
Large-Scale Asset Purchases (LSAP) 4 items
Treasury bond short interest 4 items
bailouts 4 items
credit market participation 4 items
fiscal multipliers 4 items
nonlinear methods 4 items
poststratification estimates 4 items
raking 4 items
sample selection 4 items
survey cleaning 4 items
survey design 4 items
time-varying parameters 4 items
Optimal monetary policy 4 items
non-state contingent nominal contracting 4 items
financial crisis 4 items
Federal Open Market Committee 3 items
Federal Open Market Committee (FOMC) 3 items
Federal Reserve 3 items
Gini coefficients 3 items
Great Recession 3 items
Pandemic 3 items
banks 3 items
inequality 3 items
macroeconomy 3 items
monetary unions 3 items
natural rates 3 items
recession 3 items
state-space models 3 items
survey expectations 3 items
yield curves 3 items
Central Banks 3 items
DSGE models 3 items
safe assets 3 items
Banking 2 items
Digital Currency 2 items
Inflation targeting 2 items
Markups 2 items
Monopoly 2 items
New Keynesian model 2 items
Nonlinear Filtering 2 items
Nonlinear Solution Methods 2 items
Regime-Switching Models 2 items
Sequential Monte Carlo 2 items
Treasury 2 items
Vector Autoregressions 2 items
communications 2 items
countercyclical capital buffers 2 items
federal funds 2 items
financial stability 2 items
inflation expectations 2 items
liquidity traps 2 items
macroprudential policy 2 items
payment systems 2 items
post-pandemic 2 items
r* 2 items
r-star 2 items
randomized controlled trials 2 items
relationship lending 2 items
risk premiums 2 items
stochastic volatility 2 items
surveys 2 items
term premium 2 items
zero lower bound (ZLB) 2 items
Bayesian Estimation 2 items
Business cycles 2 items
Customer Capital 2 items
Employment 2 items
Federal Reserve Board And Federal Reserve System 2 items
Federal funds rate 2 items
Forecasting 2 items
Forward guidance 2 items
Policy analysis 2 items
Technology adoption 2 items
Yield curve control 2 items
Zero lower bound 2 items
100 percent reserve banking 1 items
Agency mortgage-backed securities (MBS) 1 items
Alternative Financial Services (AFS) 1 items
Asset pricing 1 items
Asset purchase programs 1 items
Bagehot 1 items
Balance Sheet 1 items
Bank Lending 1 items
Bayesian inference 1 items
CARES Act 1 items
COVID-19 pandemic 1 items
Central Banking 1 items
Conventional and unconventional US monetary policy 1 items
Cost channel 1 items
Counterfeiting Threat 1 items
Credit 1 items
Credit Rationing 1 items
Credit Utilization 1 items
DSGE 1 items
Deflation 1 items
Determinacy 1 items
Divisia 1 items
Dynamic factor model 1 items
EFFR 1 items
Euro Area 1 items
Even Keel 1 items
Exchange Rates 1 items
Exchange rate 1 items
FBO 1 items
FHLB 1 items
Factor models 1 items
Fed 1 items
Fed Funds 1 items
Federal Home Loan Banks 1 items
Financial Conditions 1 items
Financial spillovers 1 items
Financial stress 1 items
Friedman monetary satiation 1 items
Friedman rule 1 items
Gibbs sampling 1 items
Government Securities Clearing Corporation 1 items
Heterodox view 1 items
Identification assumptions 1 items
Inflation rate targeting 1 items
Information Effect 1 items
Interest rate targeting 1 items
Japan 1 items
Large balance sheet 1 items
Large-scale asset purchases (LSAPs) 1 items
Liquidity Effect 1 items
Liquidity puzzle 1 items
London Interbank Offered Rate (LIBOR) 1 items
Maturity structure 1 items
Measuring China’s economy 1 items
Monetary 1 items
Monetary policy accommodation 1 items
Monetary policy rules 1 items
Money in production function 1 items
Multiple Currencies 1 items
Multiple Equilibria 1 items
New Keynesian models 1 items
No-arbitrage term structure models 1 items
Output puzzle 1 items
Pass-through 1 items
Pawnshops 1 items
Payday 1 items
Payment system 1 items
Policy coordination 1 items
Preferred habitat 1 items
Price puzzle 1 items
Private money 1 items
RCTs 1 items
Real Effects 1 items
Regime switching 1 items
Repo 1 items
Rollover risk 1 items
Search Frictions 1 items
Second World War 1 items
Secured Overnight Financing Rate (SOFR) 1 items
Self-fulfilling Prophecy. Business Cycles. 1 items
Shadow Banks 1 items
Smets-Wouters model 1 items
Sovereign debt crises 1 items
Sovereign yields and credit spreads 1 items
Structural VAR 1 items
Structural Vector Autoregressions (SVARs) 1 items
Sunk cost 1 items
Sunspots 1 items
Supply effects 1 items
Survey of Professional Forecasters 1 items
T Cost Channel 1 items
TANK models 1 items
Taylor principle 1 items
Title Lenders 1 items
Treasury Inflation-Protected Securities (TIPS) 1 items
U.S. 1 items
U.S. Treasury-Federal Reserve Accord 1 items
US dollar 1 items
Unconventional Monetary Policy 1 items
Yield curve 1 items
abundant excess reserves 1 items
bank funding risk 1 items
bargaining power 1 items
breakeven inflation 1 items
bubbles 1 items
budget deficits 1 items
central bank 1 items
collateral 1 items
commodity money 1 items
corridor system 1 items
credit frictions 1 items
credit lines 1 items
credit relationships 1 items
credit supply 1 items
crowding out 1 items
currency returns 1 items
default risk 1 items
depression 1 items
digital currencies 1 items
dynamic Nelson-Siegel model 1 items
dynamic factor models 1 items
economic history 1 items
effective fed funds rate 1 items
euro-denominated money market funds 1 items
exchange rate stabilization 1 items
exit strategy 1 items
expectations 1 items
experimental economics 1 items
factor-augmented VARs 1 items
fed funds market 1 items
financial markets 1 items
fire sale 1 items
fiscal policy 1 items
fixed exchange rates 1 items
flight-to-quality 1 items
foreign banking organizations 1 items
global games 1 items
hoarding 1 items
inattention 1 items
incomplete credit markets 1 items
inflation expectation 1 items
inflation target 1 items
interest on reserves 1 items
international fiscal spillovers 1 items
labor mobility 1 items
labor supply 1 items
large-scale asset purchases 1 items
lenders of last resort 1 items
liquidity preference 1 items
liquidity provision 1 items
liquidity shocks 1 items
loss given default 1 items
loss-given default (LGD) 1 items
managed float 1 items
mechanism design 1 items
monetary policy framework 1 items
monetary policy framework: pre-crisis 1 items
money demand 1 items
money market segmentation 1 items
negative natural rate 1 items
net settlement 1 items
non-state contingent nominal contracts 1 items
nonlinear responses 1 items
occasionally binding constraints 1 items
over-the-counter 1 items
over-the-counter markets 1 items
particle MCMC 1 items
policy 1 items
quality choice 1 items
r** 1 items
rates 1 items
rational inattention 1 items
recessions 1 items
reference rates 1 items
rehypothecation 1 items
safe and liquid assets 1 items
segmentation 1 items
shock 1 items
shocks 1 items
structural vector autoregressions 1 items
sunspot equilibria 1 items
term structure of interest rates 1 items
terms of trade 1 items
trade clearing 1 items
trade settlement 1 items
two-sided markets 1 items
uncovered interest parity 1 items
show more (300)
show less