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作者：Alexopoulos, Michelle; Han, Xinfen; Kryvtsov, Oleksiy; Zhang, Xu
作者单位：University of Toronto; Bank of Canada; Bank of Canada
摘要：We study soft information contained in congressional testimonies by the Federal Reserve Chairs and analyze its effects on financial markets. Using machine learning, we construct high -frequency measures of Fed Chair's and Congress members' emotions expressed via their words, voice and face. Increases in the Chair's text-, voice-, or face -emotion indices during the testimony generally raise the S&P500 index and lower the VIX. Stock prices are particularly sensitive to the Fed Chair's answers t...
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作者：Balduzzi, Pierluigi; Brancati, Emanuele; Brianti, Marco; Schiantarelli, Fabio
作者单位：Boston College; Sapienza University Rome; IZA Institute Labor Economics; University of Alberta; Boston College
摘要：Using novel survey data on Italian firms' expectations, collected just before and after the beginning of the COVID-19 outbreak, we investigate the role of credit constraints in the transmission of adverse economic shocks. Our results show that credit -constrained firms plan to charge higher prices than unconstrained ones while expecting a larger fall in quantities. When we consider realized outcomes, however, these differences are less pronounced. This evidence is consistent with the credit pr...
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作者：Barnichon, Regis; Shapiro, Adam Hale
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：The Phillips curve plays a central role in the macroeconomics literature. However, there is little consensus on the forcing variable that drives inflation in the model, i.e., on the appropriate measure of ''slack'' in the economy. In this work, we systematically assess the ability of variables commonly used in the literature to (i) predict and (ii) explain inflation fluctuations over time and across U.S. metropolitan areas. In particular, we exploit a newly constructed panel dataset with job o...
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作者：Fuster, Andreas; Schelling, Tan; Towbin, Pascal
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of Geneva; Centre for Economic Policy Research - UK; Swiss National Bank (SNB)
摘要：Negative interest rate regimes typically involve reserve tiering to exempt a portion of bank reserves from negative rates. We study the effects on bank behavior of a large and unanticipated change in reserve tiering by the Swiss National Bank that generated substantial variation across banks and was not related to other events. We find a sizable reallocation of liquidity and deposits within the banking system. Higher exemptions reduce the pass-through of negative rates to deposit rates, especi...
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作者：Enders, Zeno; Vespermann, David
作者单位：Ruprecht Karls University Heidelberg
摘要：A prerequisite for an optimum currency area are limited divergent developments. In this paper, we assess analytically whether an international transfer mechanism can enhance consumption risk sharing and efficiency of the international division of production in a monetary union. We also derive quantitative results for a potential European unemployment benefit scheme (EUBS). A EUBS can provide risk sharing by stabilizing relative consumption and unemployment differentials. Following supply and g...
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作者：Ho, Paul; Lubik, Thomas A.; Matthes, Christian
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond; Indiana University System; Indiana University Bloomington
摘要：Macroeconomists construct impulse responses using many competing time series models and different statistical paradigms (Bayesian or frequentist). We adapt optimal linear prediction pools to efficiently combine impulse response estimators for the effects of the same economic shock from this vast class of possible models. We thus alleviate the need to choose one specific model, obtaining weights that are typically positive for more than one model. Our Monte Carlo simulations and empirical appli...
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作者：Bonomo, Marco; Carvalho, Carlos; Eusepi, Stefano; Perrupato, Marina; Abib, Daniel; Ayres, Joao; Matos, Silvia
作者单位：Insper; Pontificia Universidade Catolica do Rio de Janeiro; University of Texas System; University of Texas Austin; Inter-American Development Bank; Western University (University of Western Ontario); Getulio Vargas Foundation
摘要：Inflation expectations can quickly become unanchored if the central bank undermines its commitment to the inflation target. This paper exploits an abrupt change in monetary policy by the Brazilian Central Bank in 2011 and microdata from a daily survey of professional forecasters to establish support for this claim. Reanchoring came only years later, after a regime shift that included a change of government. A simple model with a well-defined concept of (un)anchored inflation expectations provi...
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作者：Geiger, Martin; Guentner, Jochen
作者单位：Johannes Kepler University Linz
摘要：The outcome of the Brexit referendum in June 2016 was largely unanticipated. Even after the Leavevote, surprises regarding the withdrawal process affected the UK economy. We draw on an official list of political events published by the House of Commons Library and daily data on asset prices and economic policy uncertainty to construct a novel instrument for Brexit surprises. Including a monthly aggregate of this instrument into a vector-autoregressive model of the UK economy, an adverse Brexit...
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作者：Parro, Fernando
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
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作者：Mankiw, N. Gregory
作者单位：Harvard University
摘要：This essay discusses six of my beliefs about the inflation process that are not universally shared among economists.
