Category Archives: FEDS Paper

FEDS 2018-027: The Regulatory and Monetary Policy Nexus in the Repo Market

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Zeynep Senyuz | We examine the interaction of regulatory reforms and changes in monetary policy in the U.S. repo market. Using a proprietary data set of repo transactions, we find that differences in regional implementation of Basel III capital reforms…

FEDS 2018-026: The Fed’s Asymmetric Forecast Errors

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Andrew C. Chang | I show that the probability that the Board of Governors of the Federal Reserve System staff’s forecasts (the “Greenbooks”) overpredicted quarterly real gross domestic product (GDP) growth depends on both the forecast horizon and also …

FEDS 2018-026: The Fed’s Asymmetric Forecast Errors

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Andrew C. Chang | I show that the probability that the Board of Governors of the Federal Reserve System staff’s forecasts (the “Greenbooks”) overpredicted quarterly real gross domestic product (GDP) growth depends on both the forecast horizon and also …

FEDS 2018-025: A Day Late and a Dollar Short: Liquidity and Household Formation among Student Borrowers

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Sarena Goodman, Adam Isen, and Constantine Yannelis | The federal government encourages human capital investment through lending and grant programs, but resources from these programs may also finance non-education activities for students whose liquidity is otherwise restricted. This paper explores this possibility, using administrative data for the universe of federal student loan borrowers linked to tax records. We examine the effects of a sharp discontinuity in program limits—generated by the timing of a student borrower’s 24th birthday—on household formation early in the lifecycle. After demonstrating that this discontinuity induces a jump in federal support, we estimate an immediate and persistent increase in homeownership, with larger effects among those most financially constrained. In the first year, borrowers with higher limits also earn less but are more likely to save; however, there are no differences in subsequent years. Finally, effects on marriage and fertility lag homeownership. Altogether, the results appea r to be driven by liquidity rather than human capital or wealth effects.

FEDS 2018-025: A Day Late and a Dollar Short: Liquidity and Household Formation among Student Borrowers

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Sarena Goodman, Adam Isen, and Constantine Yannelis | The federal government encourages human capital investment through lending and grant programs, but resources from these programs may also finance non-education activities for students whose liquidity is otherwise restricted. This paper explores this possibility, using administrative data for the universe of federal student loan borrowers linked to tax records. We examine the effects of a sharp discontinuity in program limits—generated by the timing of a student borrower’s 24th birthday—on household formation early in the lifecycle. After demonstrating that this discontinuity induces a jump in federal support, we estimate an immediate and persistent increase in homeownership, with larger effects among those most financially constrained. In the first year, borrowers with higher limits also earn less but are more likely to save; however, there are no differences in subsequent years. Finally, effects on marriage and fertility lag homeownership. Altogether, the results appea r to be driven by liquidity rather than human capital or wealth effects.

FEDS 2018-024: How much has wealth concentration grown in the United States? A re-examination of data from 2001-2013

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Jesse Bricker, Alice Henriques, and Peter Hansen | Well known research based on capitalized income tax data shows robust growth in wealth concentration in the late 2000s. We show that these robust growth estimates rely on an assumption—homogeneous ra…

FEDS 2018-023: New Perspectives on the Decline of U.S. Manufacturing Employment

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Teresa C. Fort, Justin R. Pierce, and Peter K. Schott | We use relatively unexplored dimensions of US microdata to examine how US manufacturing employment has evolved across industries, firms, establishments, and regions from 1977 to 2012. We show that…

FEDS 2018-022: Collateral Runs

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Sebastian Infante and Alexandros P. Vardoulakis | This paper models an unexplored source of liquidity risk faced by large broker-dealers: collateral runs. By setting different contracting terms on repurchase agreements with cash borrowers and lenders, …

FEDS 2018-022: Collateral Runs

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Sebastian Infante and Alexandros P. Vardoulakis | This paper models an unexplored source of liquidity risk faced by large broker-dealers: collateral runs. By setting different contracting terms on repurchase agreements with cash borrowers and lenders, …

FEDS 2018-021: Spectral backtests of forecast distributions with application to risk management

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Michael B. Gordy and Alexander J. McNeil | We study a class of backtests for forecast distributions in which the test statistic is a spectral transformation that weights exceedance events by a function of the modeled probability level. The choice of th…