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Working Paper
Measuring the Natural Rate of Interest : International Trends and Determinants
Holston, Kathryn; Williams, John C.; Laubach, Thomas
(2016-08-19)
U.S. estimates of the natural rate of interest ? the real short-term interest rate that would prevail absent transitory disturbances ? have declined dramatically since the start of the global financial crisis. For example, estimates using the Laubach-Williams (2003) model indicate the natural rate in the United States fell to close to zero during the crisis and has remained there through the end of 2015. Explanations for this decline include shifts in demographics, a slowdown in trend productivity growth, and global factors affecting real interest rates. This paper applies the ...
Finance and Economics Discussion Series
, Paper 2016-073
Working Paper
The Effect of Monetary Policy on Housing Tenure Choice as an Explanation for the Price Puzzle
Dias, Daniel A.; Duarte, Joao B.
(2016-06)
In this paper we provide an alternative explanation for the price puzzle (Sims 1992) based on the effect of monetary policy on housing tenure choice and the weight of the shelter component in overall CPI. In the presence of nominal or financial frictions, when interest rates increase, the real cost of owning a house increases, and this increase may make some people prefer to rent instead of buying. This change in consumption behavior increases the price of rents relative to other goods. Starting in 1983, homeownership costs are based on a measure of implied owner equivalent rent, which is ...
International Finance Discussion Papers
, Paper 1171
Journal Article
Bond Premiums and the Natural Real Rate of Interest
Smith, Andrew Lee; Hakkio, Craig S.
(2017-01)
Economic Review
, Issue Q I
, Pages 5-39
Report
Corporate Debt Maturity and Monetary Policy
Fillat, Jose; Wang, J. Christina; Bräuning, Falk
(2020-10-22)
Do firms lengthen the maturity of their borrowing following a flattening of the Treasury yield curve that results from monetary policy operations? We explore this question separately for the years before and during the zero lower bound (ZLB) period, recognizing that the same change in the yield curve slope signifies different states of the economy and monetary policy over the two regimes. We find that the answer is robustly yes for the pre-ZLB period: Firms extended the maturity of their bond issuance by nearly three years in response to a policy-induced reduction of 1 percentage point in the ...
Current Policy Perspectives
Working Paper
The pricing of FX forward contracts: micro evidence from banks’ dollar hedging
Bräuning, Falk; Abbassi, Puriya
(2018-03-01)
We use transaction-level data on foreign exchange (FX) forward contracts for the period 2014 through 2016 in conjunction with supervisory balance sheet information to study the drivers of banks? dollar hedging costs. Comparing contracts of the same maturity that are initiated during the same hour of the same day, we find large heterogeneity in banks? hedging costs. We show that these costs (i) are higher for banks with a larger FX funding gap, (ii) depend on banks? FX funding composition in terms of the source (interbank versus retail) and rollover structure (long-term versus short-term), ...
Working Papers
, Paper 18-6
Working Paper
Banks, Maturity Transformation, and Monetary Policy
Paul, Pascal
(2020-02-28)
Banks engage in maturity transformation and the term premium compensates them for bearing the associated duration risk. Consistent with this view, I show that banks’ net interest margins and term premia have comoved in the United States over the last decades. On monetary policy announcement days, banks’ stock prices fall in response to an increase in expected future short-term interest rates but rise if term premia increase. These effects are reflected in the response of banks’ net interest margins and amplified for institutions with a larger maturity mismatch. The results reveal that ...
Working Paper Series
, Paper 2020-07
Working Paper
Excess Reserves and Monetary Policy Implementation
Lester, Benjamin; Armenter, Roc
(2016-11-29)
In response to the Great Recession, the Federal Reserve resorted to several unconventional policies that drastically altered the landscape of the federal funds market. The current environment, in which depository institutions are flush with excess reserves, has forced policymakers to design a new operational framework for monetary policy implementation. We provide a parsimonious model that captures the key features of the current federal funds market along with the instruments introduced by the Federal Reserve to implement its target for the federal funds rate. We use this model to analyze ...
Working Papers
, Paper 16-33
Working Paper
How Persistent Are Unconventional Monetary Policy Effects?
Neely, Christopher J.
(2020-11-08)
This paper argues that one cannot precisely estimate the persistence of unconventional monetary policy (UMP) effects, especially with short samples and few observations. To make this point, we illustrate that the most influential model on the topic exhibits structural instability, and sensitivity to specification and outliers that render the conclusions unreliable. Restricted models that respect more plausible asset return predictability are more stable and imply that UMP shocks were persistent. Estimates of the dynamic effects of shocks should respect the limited predictability in asset ...
Working Papers
, Paper 2014-04
Working Paper
The Heterogeneous Impact of Referrals on Labor Market Outcomes
Lester, Benjamin; Rivers, David A.; Topa, Giorgio
(2021-10-26)
We document a new set of facts regarding the impact of referrals on labor market outcomes. Our results highlight the importance of distinguishing between different types of referrals—those from family and friends and those from business contacts—and different occupations. Then we develop an on-the-job search model that incorporates referrals and calibrate the model to key moments in the data. The calibrated model yields new insights into the roles played by different types of referrals in the match formation process and provides quantitative estimates of the effects of referrals on ...
Working Papers
, Paper 21-34
Working Paper
The Credit Line Channel
Krainer, John; Greenwald, Daniel L.; Paul, Pascal
(2020-07-31)
Aggregate bank lending to firms expands following adverse macroeconomic shocks, such as the outbreak of COVID-19 or a monetary policy tightening, at odds with canonical models. Using loan-level supervisory data, we show that these dynamics are driven by draws on credit lines by large firms. Banks that experience larger drawdowns restrict term lending more — an externality onto smaller firms. Using a structural model, we show that credit lines are necessary to reproduce the flow of credit toward less constrained firms after adverse shocks. While credit lines increase total credit ...
Working Paper Series
, Paper 2020-26
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Negative interest rate policy 1 items
Net interest margin 1 items
Networks 1 items
News 1 items
No-arbitrage term structure model 1 items
Non-linear DSGE model 1 items
Nonlinear regression 1 items
OTC market 1 items
OccBin 1 items
Open market operations 1 items
Optimal monetary policy 1 items
Optimal policy 1 items
Options 1 items
Over-the-Counter Markets 1 items
Overreaction 1 items
Pandemic 1 items
Pandemics 1 items
Particle Filter 1 items
Pdf 1 items
Phillips curve 1 items
Pileup 1 items
Policy Rule 1 items
Potential output 1 items
Pre-FOMC 1 items
Price dispersion 1 items
Price puzzle 1 items
Price stickiness 1 items
Principal components 1 items
Production Networks 1 items
Projection Methods 1 items
QE 1 items
Quadratic term structure models 1 items
Quadratic-Gaussian Term Structure Models 1 items
Real wage 1 items
Recursive Preference 1 items
Referrals 1 items
Regime switches 1 items
Regime-Switching 1 items
Repo market 1 items
Reserve Bank of New Zealand 1 items
Reserve targets 1 items
Reverse repo facility 1 items
Ricardian equivalence 1 items
Risk 1 items
Risk-taking channel of monetary policy 1 items
SLOOS 1 items
SVAR 1 items
Safe assets 1 items
Scarcity of safe assets 1 items
Scarring 1 items
Search 1 items
Search Theory 1 items
Search for yield 1 items
Secular Stagnation 1 items
Securities Markets Programme 1 items
Segmentation 1 items
Sequential regression approach 1 items
Shadow Banks 1 items
Shadow Rate Model 1 items
Shadow banking 1 items
Shadow rate models 1 items
Shadow rate term structure models 1 items
Shared National Credit Program 1 items
Shopping 1 items
Small Open Economy Model 1 items
Sovereign risk 1 items
State-Space Model 1 items
Structural instability 1 items
Sudden stops 1 items
Summary of Economic Projections (SEP) 1 items
Survey of Terms of Business Lending 1 items
Surveys 1 items
Syndicated loans 1 items
Term Premiums 1 items
Term structure model 1 items
Time-Varying Labor Wedge 1 items
Time-Varying Velocity of Money 1 items
Time-varying parameter vectorautoregression 1 items
Time-varying volatility 1 items
Treasury Inflation-Protected Securities (TIPS) 1 items
Treasury auctions 1 items
Treasury bond yield 1 items
Treasury bonds 1 items
Treasury market 1 items
Treasury repo rate 1 items
Treasury securities 1 items
Treasury yields 1 items
U.S. Dollar 1 items
U.S. monetary policy 1 items
Uncertainty shocks 1 items
Unconventional policies 1 items
Unemployment 1 items
VAR models 1 items
Velocity 1 items
Volatility 1 items
World Interest Rate 1 items
Yield Curves 1 items
Yield curve control 1 items
adjustable-rate mortgages 1 items
affine models 1 items
affine term structure 1 items
affine term-structure model 1 items
announcements 1 items
asset bubble 1 items
asset purchases 1 items
asset supply effects 1 items
bank-firm matching 1 items
benchmark 1 items
bond 1 items
bond prices 1 items
break-evens 1 items
business leverage 1 items
capital controls 1 items
carry trade 1 items
censored observations 1 items
central bank balance sheet 1 items
central bank credibility 1 items
checks 1 items
commodity 1 items
concentration 1 items
consumption 1 items
corporate bond yields 1 items
corporate finance 1 items
cost of carbon 1 items
country risk 1 items
credit rationing 1 items
credit supply shocks 1 items
currency pegs 1 items
debt management 1 items
deficit 1 items
deflation protection 1 items
deflation risk 1 items
delinquency 1 items
density forecasting 1 items
depressions 1 items
disagreement 1 items
dollar hedging 1 items
downward nominal wage rigidity 1 items
euro area 1 items
excess bond premium 1 items
expectation formation 1 items
factor models 1 items
financial frictions 1 items
firm financing 1 items
fiscal multiplier 1 items
fiscal policy 1 items
fiscal stimulus 1 items
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