-
作者：Chowdhury, Ibrahim; Schabert, Andreas
作者单位：Swiss National Bank (SNB); Dortmund University of Technology; Tinbergen Institute
摘要：Federal Reserve nonborrowed reserve supply systematically responded to changes in inflation and in the output gap over the period 1969-2000. While the feedback from output gap is always negative, the response of money supply to changes in inflation varies considerably across time. Nonborrowed reserves decreased with inflation in the post1979 period and increased in the pre-1979 period. Applying a standard macro-model, the estimated reaction functions are shown to ensure equilibrium determinacy...
-
作者：Giannone, Domenico; Reichlin, Lucrezia; Small, David
作者单位：European Central Bank
摘要：A tormal method is developed for evaluating the marginal impact that intra-monthly data releases have on current-quarter forecasts (nowcasts) of real gross domestic product (GDP) growth. The method can track the real-time flow of the type of information monitored by central banks because it can handle large data sets with staggered data-release dates. Each time new data are released, the nowcasts are updated on the basis of progressively larger data sets that, reflecting the unsynchronized dat...
-
作者：Fuhrer, Jeff; Tootell, Geoff
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：Since the stock market boom of the 1990s, many have suggested the Federal Open Market Committee (FOMC) has adopted an unannounced policy goal of supporting equity values. This paper offers a new approach to disentangle the relationship between changes in equity values and monetary policy. Specifically, the paper distinguishes the FOMC's reaction to forecasts of traditional goal variables, which may depend on equity prices, from the FOMC's independent reaction to changes in equity prices. By us...
-
作者：Piazzesi, Monika; Swanson, Eric T.
作者单位：National Bureau of Economic Research; University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Many researchers have used federal funds futures rates as measures of financial markets' expectations of future monetary policy. However, to the extent that federal funds futures reflect risk premia, these measures require some adjustment. In this paper, we document that excess returns on federal funds futures have been positive on average and strongly countercyclical. In parti cular, excess returns are surprisingly well predicted by macroeconomic indicators such as employment growth and finan...
-
作者：Thapar, Aditi
作者单位：New York University
摘要：I develop a methodology that uses the forecasts of market participants and of policy makers to estimate the effects of monetary policy on output and inflation. My approach has advantages over the standard practice of fitting a vector autoregression to the data. I apply my methodology to data on output, interest rates and prices. I find that, even using the Federal Reserve Board's Greenbook forecasts to control for the policy maker's information set, prices rise initially in response to a monet...
-
作者：Athreya, Kartik B.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：The widespread use of debt and default suggests that unsecured credit markets play an important role in consumption smoothing. In this paper, I address two previously unanswered questions. First, how does policy towards debt default affect the evolution of consumption and net worth over the life-cycle? Second, how does debt default policy interact with social insurance over the life-cycle? The findings are as follows. First, US default policy appears lax, in the sense that it creates severe cr...
-
作者：Nelson, Edward; Schwartz, Anna J.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; National Bureau of Economic Research
摘要：We provide a brief rejoinder to Krugman [2008, Response to Nelson and Schwartz journal. of Monetary Economics 55, this issue] on three issues that are central to his original New York Review ofBooks article and his reply to our setting the record straight: (i) criticisms of Friedman; (ii) criticisms of monetarism; and (iii) interpretations of histor y. (c) 2008 Elsevier BY. All rights reserved.
-
作者：Nelson, Edward; Schwartz, Anna J.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; National Bureau of Economic Research
摘要：Paul Krugman's essay Who Was Milton Friedman? seriously mischaracterizes Friedman's economics and his legacy. In this paper, we provide a rejoinder to Krugman on these issues. In the course of setting the record straight, we provide a self-contained guide to Milton Friedman's impact on modern monetary economics and on today's central banks. We also refute the conclusions that Krugman draws about monetary policy from the experiences of the United States in the 1930s and of Japan in the 1990s. (...
-
作者：Burstein, Ariel; Kurz, Christopher; Tesar, Linda
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：Countries that are more engaged in production sharing exhibit higher bilateral manufacturing output correlations. We use data on trade flows between US multinationals and their affiliates as well as trade between the United States and Mexican maquiladoras to measure production-sharing trade and its link with the business cycle. We then develop a quantitative model of international business cycles that generates a positive link between the extent of vertically integrated production-sharing trad...
-
作者：Chen, Haipeng (Allan); Levy, Daniel; Ray, Sourav; Bergen, Mark
作者单位：Bar Ilan University; Texas A&M University System; Texas A&M University College Station; Mays Business School; McMaster University; University of Minnesota System; University of Minnesota Twin Cities; University of Bologna
摘要：Analyses of a large retail scanner price data set reveal a new and surprising regularity small price increases occur more frequently than small price decreases for price changes of up to 10 0. That is, we find asymmetric price adjustment in the small. Furthermore, it turns out that inflation offers only a partial explanation for the finding. Indeed, substantial proportion of the asymmetry remains unexplained, even after accounting for the inflation. For example, the asymmetry holds also after ...
