Category Archives: FEDS Paper

FEDS 2018-014: US Monetary Policy and International Bond Markets

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Simon Gilchrist, Vivian Yue, and Egon Zakrajsek | This paper uses high-frequency data to analyze the effects of US monetary policy–during the conventional and unconventional policy regimes–on foreign government bonds markets in advanced and emerging …

FEDS 2018-013: Seven Fallacies Concerning Milton Friedman’s “The Role of Monetary Policy”

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Edward Nelson | This paper analyzes Milton Friedman’s (1968) article “The Role of Monetary Policy,” via a discussion of seven fallacies concerning the article. These fallacies are: (1) “The Role of Monetary Policy” was Friedman’s first public statement…

FEDS 2018-012: Household’s Balance Sheets and the Effect of Fiscal Policy

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Javier Andrés, José E. Boscá, Javier Ferri, and Cristina Fuentes-Albero | Using the Panel Survey of Income Dynamics, we identify six household types as a function of their balance sheet composition. Since 1999, there has been a dec…

FEDS 2018-011: Claim Dilution in the Municipal Debt Market

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Ivan T. Ivanov and Tom Zimmermann | Using loan-level municipal bank lending data, we examine the debt structure of municipalities and its response to exogenous income shocks. We show that small, more indebted, low-income, and medium credit quality coun…

FEDS 2018-010: Top Income Concentration and Volatility

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Jeffrey Thompson, Michael Parisi, and Jesse Bricker | Measures of income concentration–such as the share of income received by the highest income families–may be biased by pro-cyclical volatility in annual income. Permanent income, though, can smooth…

FEDS 2018-009: Financing Affordable and Sustainable Homeownership with Fixed-COFI Mortgages

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Wayne Passmore and Alexander H. von Hafften | The 30-year fixed-rate fully amortizing mortgage (or “traditional fixed-rate mortgage”) was a substantial innovation when first developed during the Great Depression. However, it has three major flaws. Firs…

FEDS 2018-008: A Global Lending Channel Unplugged? Does U.S. Monetary Policy Affect Cross-border and Affiliate Lending by Global U.S. Banks?

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Judit Temesvary, Steven Ongena, and Ann L. Owen | We examine how U.S. monetary policy affects the international activities of U.S. Banks. We access a rarely studied U.S. bank-level regulatory dataset to assess at a quarterly frequency how changes in th…

FEDS 2018-007: Changing Business Dynamism and Productivity: Shocks vs. Responsiveness

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Ryan A. Decker, John Haltiwanger, Ron S. Jarmin, and Javier Miranda | The pace of job reallocation has declined in all U.S. sectors since 2000. In standard models, aggregate job reallocation depends on (a) the dispersion of idiosyncratic productivity s…

FEDS 2018-006: Bank Market Power and the Risk Channel of Monetary Policy

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Elena Afanasyeva and Jochen Güntner | This paper investigates the risk channel of monetary policy through banks’ lending standards. We modify the classic costly state verification (CSV) problem by introducing a risk-neutral monopolistic bank, whic…

FEDS 2018-005: Using Payroll Processor Microdata to Measure Aggregate Labor Market Activity

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Tomaz Cajner, Leland Crane, Ryan Decker, Adrian Hamins-Puertolas, Christopher Kurz, and Tyler Radler | We show that high-frequency private payroll microdata can help forecast labor market conditions. Payroll employment is perhaps the most reliable real-time indicator of the business cycle and is therefore closely followed by policymakers, academia, and financial markets. Government statistical agencies have long served as the primary suppliers of information on the labor market and will continue to do so for the foreseeable future. That said, sources of “big data” are becoming increasingly available through collaborations with private businesses engaged in commercial activities that record economic activity on a granular, frequent, and timely basis. One such data source is generated by the firm ADP, which processes payrolls for about one fifth of the U.S. private sector workforce. We evaluate the efficacy of these data to create new statistics that complement existing measures. In particular, we develop a set of weekly aggregate employment indexes from 2000 to 2017 , which allows us to measure employment at a higher frequency than is currently possible. The extensive coverage of the ADP data—similar in terms of private employment to the BLS CES sample—implies potentially high information value of these data, and our results confirm this conjecture. Indeed, the timeliness and frequency of the ADP payroll microdata substantially improves forecast accuracy for both current-month employment and revisions to the BLS CES data.