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Report
Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico
Christensen, Jens H. E.; Zhu, Simon; Beauregard, Remy; Fischer, Eric (2021-03-01)
To study inflation expectations and associated risk premia in emerging bond markets, this paper provides estimates for Mexico based on an arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for their liquidity risk. In addition to documenting the existence of large and time-varying liquidity premia in nominal and real bond prices that are only weakly correlated, the results indicate that long-term inflation expectations in Mexico are well anchored close to the inflation target of the Bank of Mexico. Furthermore, Mexican inflation risk premia are larger ...
Staff Reports , Paper 961

Report
The overnight interbank market: evidence from the G-7 and the Euro zone
Bartolini, Leonardo; Prati, Alessandro; Bertola, Giuseppe (2001-09-01)
This study of the major industrial countries' interbank markets for overnight loans links the behavior of very short-term interest rates to the operating procedures of the countries' central banks. Previous studies have focused on key features of the U.S. federal funds rate's behavior. We find that many of these features are not robust to changes in institutional details and in the style of central bank intervention, along both cross-sectional and time-series dimensions of our data. Our results suggest that the empirical features of the day-to-day behavior of short-term interest rates are ...
Staff Reports , Paper 135

Journal Article
Introduction [to A Primer on the GCF Repo® Service]
Copeland, Adam (2015)
Repurchase agreements, or repos, are commonly used by financial entities to access money markets. GCF Repo, a financial service provided by the Fixed Income Clearing Corporation (FICC), is a particular type of repo in which trades are executed anonymously, with FICC acting as a central counterparty and guaranteeing settlement. In this primer, which consists of an introduction and two articles, the authors explore the effects on GCF Repo of ongoing reforms to the settlement procedures for another type of repo, tri-party repo. Key areas of focus are the impact of the reforms on the use of ...
Economic Policy Review , Issue 2 , Pages 1-6

Working Paper
Sixty Years of Global Inflation: A Post-GFC Update
Auer, Raphael; Pedemonte, Mathieu; Schoenle, Raphael (2024-05-20)
Is inflation (still) a global phenomenon? We study the international co-movement of inflation based on a dynamic factor model and in a sample spanning up to 56 countries during the 1960-2023 period. Over the entire period, a first global factor explains approximately 58% of the variation in headline inflation across all countries and over 72% in OECD economies. The explanatory power of global inflation is equally high in a shorter sample spanning the time since 2000. Core inflation is also remarkably global, with 53% of its variation attributable to a first global factor. The explanatory ...
Working Papers , Paper 24-10

Working Paper
Federal Reserve Structure, Economic Ideas, and Banking Policy During the "Quiet Period" in Banking
Bordo, Michael D.; Prescott, Edward Simpson (2025-01-06)
We evaluate the decentralized structure of the Federal Reserve System as a mechanism for generating and processing new ideas on banking policy in the 1950s and 1960s. We document that demand for research and analysis was driven by banking industry developments and legal changes that required the Federal Reserve and other banking regulatory agencies to develop guidelines for bank mergers. In response to these developments, the Board and the Reserve Banks hired industrial organization economists and young economists out of graduate school who brought in the leading theory of industrial ...
Working Papers , Paper 25-01

Working Paper
Central Bank Digital Currency: Central Banking for All?
Uhlig, Harald F.; Sanches, Daniel R.; http://fedora:8080/fcrepo/rest/objects/authors/; Fernández-Villaverde, Jesús (2020-06-01)
The introduction of a central bank digital currency (CBDC) allows the central bank to engage in large-scale intermediation by competing with private ﬁnancial interme-diaries for deposits. Yet, since a central bank is not an investment expert, it cannot invest in long-term projects itself, but relies on investment banks to do so. We derive an equivalence result that shows that absent a banking panic, the set of allocations achieved with private ﬁnancial intermediation will also be achieved with a CBDC. Dur-ing a panic, however, we show that the rigidity of the central bank’s contract ...
Working Papers , Paper 20-19

Report
Tracing Bank Runs in Real Time
Eisenbach, Thomas M.; Kovner, Anna; Cipriani, Marco (2024-05-01)
We use high-frequency interbank payments data to trace deposit flows in March 2023 and identify twenty-two banks that suffered a run, significantly more than the two that failed but fewer than the number that experienced large negative stock returns. The runs were driven by a small number of large depositors and were related to weak fundamentals. However, we find evidence for the importance of coordination because run banks were disproportionately publicly traded and many banks with similarly bad fundamentals did not suffer a run. Banks survived the run by borrowing new funds and raising ...
Staff Reports , Paper 1104

Journal Article
QE: is there a portfolio balance effect?
Thornton, Daniel L. (2014)
The Federal Open Market Committee has recently attempted to stimulate economic growth using unconventional methods. Prominent among these is quantitative easing (QE)?the purchase of a large quantity of longer-term debt on the assumption that it will reduce long-term yields through the portfolio balance channel. Former Federal Reserve Chairman Ben Bernanke and others suggest that QE works through the portfolio balance channel, which implies a strong, statistically significant positive relationship between the public?s holding of long-term Treasury debt and long-term Treasury yields. The author ...
Review , Volume 96 , Issue 1 , Pages 55-72

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

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