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Discussion Paper
Enhanced Financial Accounts
The Federal Reserve Board has begun an ambitious and long-term effort to upgrade the Financial Accounts of the United States to provide a significantly more detailed and timely picture of financial intermediation in the United States.
Working Paper
Measuring Aggregate Housing Wealth : New Insights from an Automated Valuation Model
We construct a new measure of aggregate U.S. housing wealth based on Zillow's Automated Valuation Model (AVM). AVMs offer advantages over other methods because they are based on recent market transaction prices, utilize large datasets which include property characteristics and local geographic variables, and are updated frequently with little lag. However, using Zillow's AVM to measure aggregate housing wealth requires overcoming several challenges related to the representativeness of the Zillow sample. We propose methods that address these challenges and generate a new estimate of aggregate ...
Working Paper
Net migration and state labor market dynamics
I present a simple model of migration in which the net migration rate into a state depends on the expected present value of labor market conditions and amenities. I show that though this is a common model, existing empirical estimates do not separately identify the underlying parameters. The identification problem can be thought of as an omitted variable bias because no explicit measure of expected future labor market conditions is included. I use state-level data to estimate empirical models in which the underlying parameters are identified. I find that high wages and low unemployment ...
Discussion Paper
Risk Transfer Across Economic Sectors using Credit Default Swaps
Credit default swaps (CDS) play an important role in distributing risk in the global financial system.
Working Paper
A trend and variance decomposition of the rent-price ratio in housing markets
We use the dynamic Gordon-growth model to decompose the rent-price ratio for owner-occupied housing in the U.S., four Census regions, and twenty-three metropolitan areas into three components: The expected present value of real rental growth, real interest rates, and future housing premia. We use these components to decompose the trend and variance in rent-price ratios for 1975-2005, for an early sub-sample (1975-1996), and for the recent housing boom (1997-2005). We have three main findings. First, variation in expected future real rents accounts for a small share of variation in our sample ...
Working Paper
Shadow banking and the funding of the nonfinancial sector
I show how to use data from the Flow of Funds Accounts of the United States to estimate how much funding of nonfinancial businesses, households, and governments is provided by the domestic shadow banking system. I define the shadow banking system as the set of entities and activities that provide short-term funding outside of the traditional commercial banking system, but I do not equate all nonbank funding with shadow banking. My results suggest that at the end of 2008, domestic shadow-bank funding of the nonfinancial sector was an important, but fairly modest source of funding relative to ...
Working Paper
The long-run relationship between house prices and income: evidence from local housing markets
The proposition that "housing prices can't continue to outpace growth in household income" (Wall Street Journal; July 25, 2002) is the received wisdom among many housing-market observers. More formally, many in the housing literature argue that house prices and income are cointegrated. In this paper, I show that the data do not support this view. Standard tests using 27 years of national-level data do not find evidence of cointegration. However, it is known that tests for cointegration have low power, especially in small samples. I use panel-data tests for cointegration that have been shown ...
Working Paper
A Theory of Sticky Rents: Search and Bargaining with Incomplete Information
The housing rental market offers a unique laboratory for studying price stickiness. This paper is motivated by two facts: 1. Tenants? rents are remarkably sticky even though regular and expected recontracting would, by itself, suggest substantial rent flexibility. 2. Rent stickiness varies significantly across structure type; for example, detached unit rents are far stickier than large apartment unit rents. We offer the first theoretical explanation of rent stickiness that is consistent with these facts. In this theory, search and bargaining with incomplete information generates stickiness in ...
Working Paper
Employment persistence
The recent U.S. expansion has provided employment experience to individuals at tail of the skill distribution. Will these opportunities bestow persistent benefits in the form of greater future employability? Using synthetic cohorts constructed from the CPS, this paper estimates the degree of persistence in cohort-level employment rates in excess of persistence in aggregate macroeconomic conditions. This approach is in some ways superior to testing for hysteresis in the aggregate unemployment rate because it abstracts away from compositional changes in the labor force by focusing on particular ...
Working Paper
Panel Data Estimates of Age-Rent Profiles for Rental Housing
This paper provides estimates of the net depreciation rate for rental housing using a unique confidential data set from the Bureau of Labor Statistics that covers over 30,000 rental units from 1998 to 2009. Our data and econometric approach allow us to add to the literature in three main ways. First, we can control for unobserved quality (including cohort effects) by allowing for unit-specific fixed effects. Our results suggest that estimates of the depreciation rate for rental housing that ignore unobserved heterogeneity suffer from omitted-variable bias and potentially from selection bias, ...