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Oil Price Fluctuations and US Banks 油价波动与美国银行
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2024-05-21 DOI: 10.26509/frbc-wp-202411
P. Gelain, Marco Lorusso, Saeed Zaman
{"title":"Oil Price Fluctuations and US Banks","authors":"P. Gelain, Marco Lorusso, Saeed Zaman","doi":"10.26509/frbc-wp-202411","DOIUrl":"https://doi.org/10.26509/frbc-wp-202411","url":null,"abstract":"We document a sizable effect of oil price fluctuations on US banking variables by estimating an SVAR with sign restrictions as in Baumeister and Hamilton (2019). We find that oil market shocks that lead to a contraction in world economic activity unambiguously lower the amount of bank credit to the US economy, tend to decrease US banks' net worth, and tend to increase the US credit spread. The effects can be strong and long-lasting, or more modest and short-lived, depending on the source of the oil price fluctuations. The effects are stronger for smaller and lower leveraged banks.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"59 9","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141116969","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Sixty Years of Global Inflation: A Post-GFC Update 全球通货膨胀六十年：全球金融危机后的最新情况
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2024-05-20 DOI: 10.26509/frbc-wp-202410
Raphael Auer, Mathieu O. Pedemonte, Raphael S. Schoenle
{"title":"Sixty Years of Global Inflation: A Post-GFC Update","authors":"Raphael Auer, Mathieu O. Pedemonte, Raphael S. Schoenle","doi":"10.26509/frbc-wp-202410","DOIUrl":"https://doi.org/10.26509/frbc-wp-202410","url":null,"abstract":"Is inflation (still) a global phenomenon? We study the international co-movement of inflation based on a dynamic factor model and in a sample spanning up to 56 countries during the 1960-2023 period. Over the entire period, a first global factor explains approximately 58% of the variation in headline inflation across all countries and over 72% in OECD economies. The explanatory power of global inflation is equally high in a shorter sample spanning the time since 2000. Core inflation is also remarkably global, with 53% of its variation attributable to a first global factor. The explanatory power of a second global factor is lower, except for select emerging economies. Variables such as a broad dollar index, the US federal funds rate, and a measure of commodity prices positively correlate with the first global factor. This global factor is also correlated with US inflation during the 70s, 80s, the GFC, and COVID. However, it lags these variables during the post-COVID period. Country-level integration in global value chains accounts for a significant proportion of the share of both local headline and core inflation dynamics explained by global factors.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"50 5","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140961517","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Consumer Bankruptcy and Unemployment Insurance 消费者破产和失业保险
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2024-05-07 DOI: 10.26509/frbc-wp-202409
Diego Legal, Eric R. Young
{"title":"Consumer Bankruptcy and Unemployment Insurance","authors":"Diego Legal, Eric R. Young","doi":"10.26509/frbc-wp-202409","DOIUrl":"https://doi.org/10.26509/frbc-wp-202409","url":null,"abstract":"We quantitatively evaluate the effects of UI on bankruptcy in an equilibrium model of labor market search and defaultable debt. First, we ask whether a standard unsecured credit model extended with labor market search and matching frictions can account for the negative correlation between UI caps and bankruptcy rates observed in the data. The model can account for this fact only if estimated with the employment rate among bankruptcy filers as a target. Not matching this employment rate underestimates the consumption smoothing benefits of UI cap increases, as the model assigns too much importance to unemployment shocks for driving default, and implies large welfare losses from increasing the cap rather than negligible gains. Second, with bankruptcy available, there are significant welfare gains from increasing the replacement rate above the calibrated value, but not in the absence of default.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"32 S114","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141003639","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Predictable Forecast Errors in Full-Information Rational Expectations Models with Regime Shifts 具有时变的全信息理性预期模型中的可预测预测误差
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2024-04-11 DOI: 10.26509/frbc-wp-202408
Ina Hajdini, André Kurmann
{"title":"Predictable Forecast Errors in Full-Information Rational Expectations Models with Regime Shifts","authors":"Ina Hajdini, André Kurmann","doi":"10.26509/frbc-wp-202408","DOIUrl":"https://doi.org/10.26509/frbc-wp-202408","url":null,"abstract":"This paper shows that regime shifts in Full-Information Rational Expectations (FIRE) models generate predictable regime-dependent forecast errors in macro aggregates. Hence, forecast error predictability alone is neither sufficient to reject FIRE nor informative about alternative expectations theories. We instead propose a regime-robust test of FIRE and apply it to a medium-scale New Keynesian model with monetary policy regime shifts that is estimated on US data. While the test fails to decisively reject FIRE, the model conditional on macro data implies expectations that are generally different from observed survey forecasts, thus providing a new empirical motivation for alternative expectations theories.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"14 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140715604","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
The Causal Effects of Expected Depreciations 预期贬值的因果效应
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2024-03-25 DOI: 10.26509/frbc-wp-202407
Martha Elena Delgado, Juan Herreño, Marc Hofstetter, Mathieu O. Pedemonte
{"title":"The Causal Effects of Expected Depreciations","authors":"Martha Elena Delgado, Juan Herreño, Marc Hofstetter, Mathieu O. Pedemonte","doi":"10.26509/frbc-wp-202407","DOIUrl":"https://doi.org/10.26509/frbc-wp-202407","url":null,"abstract":"We estimate the causal effects of a shift in the expected future exchange rate of a local currency against the US dollar on a representative sample of firms in an open economy. We survey a nationally representative sample of firms and provide the one-year-ahead nominal exchange rate forecast published by the local central bank to a random sub-sample of firm managers. The treatment is effective in shifting exchange rate and inflation expectations and perceptions. These effects are persistent and larger for non-exporting firms. Linking survey responses with administrative census data, we find that the treatment affects the dynamics of export and import quantities and prices at the firm level, with differential effects for exports to destination countries that use the US dollar as their currency. We instrument exchange rate expectations with the variation induced by the treatment and estimate a positive elasticity of a future expected depreciation in import expenditures.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":" 11","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140209969","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Interest Rate Risk at US Credit Unions 美国信用社的利率风险
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2024-02-05 DOI: 10.26509/frbc-wp-202403
Grant E. Rosenberger, Peter Zimmerman
{"title":"Interest Rate Risk at US Credit Unions","authors":"Grant E. Rosenberger, Peter Zimmerman","doi":"10.26509/frbc-wp-202403","DOIUrl":"https://doi.org/10.26509/frbc-wp-202403","url":null,"abstract":"Rising interest rates have prompted concerns about losses on bank assets, especially following the failure of Silicon Valley Bank (SVB) in March 2023. In this working paper, we examine whether US credit unions could be subject to similar losses as banks and analyze how their regulatory capital would be affected. We estimate that after realizing losses from assets that have decreased in value and not yet been sold the overall net worth of the credit union industry would have fallen by 40 percent in 2023:Q1. Unrealized losses were most severe at the largest credit unions. Nonetheless, the bulk of deposits at credit unions were insured, suggesting limited risk of an SVB-style run. In addition, credit union deposit rates are relatively insensitive to market interest rates, providing credit unions with a hedge against a rising rate environment. Overall, credit unions’ balance sheet positions seemed to be more resilient to unrealized interest rate risk than banks’.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"11 12","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139864823","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Interest Rate Risk at US Credit Unions 美国信用社的利率风险
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2024-02-05 DOI: 10.26509/frbc-wp-202403
Grant E. Rosenberger, Peter Zimmerman
{"title":"Interest Rate Risk at US Credit Unions","authors":"Grant E. Rosenberger, Peter Zimmerman","doi":"10.26509/frbc-wp-202403","DOIUrl":"https://doi.org/10.26509/frbc-wp-202403","url":null,"abstract":"Rising interest rates have prompted concerns about losses on bank assets, especially following the failure of Silicon Valley Bank (SVB) in March 2023. In this working paper, we examine whether US credit unions could be subject to similar losses as banks and analyze how their regulatory capital would be affected. We estimate that after realizing losses from assets that have decreased in value and not yet been sold the overall net worth of the credit union industry would have fallen by 40 percent in 2023:Q1. Unrealized losses were most severe at the largest credit unions. Nonetheless, the bulk of deposits at credit unions were insured, suggesting limited risk of an SVB-style run. In addition, credit union deposit rates are relatively insensitive to market interest rates, providing credit unions with a hedge against a rising rate environment. Overall, credit unions’ balance sheet positions seemed to be more resilient to unrealized interest rate risk than banks’.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"25 5part1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139804710","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Effect of Component Disaggregation on Measures of the Median and Trimmed-Mean CPI 成分分解对衡量消费物价指数中位数和缩减中位数的影响
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2024-01-04 DOI: 10.26509/frbc-wp-202402
Christian L. Garciga, Randal J. Verbrugge, Saeed Zaman
{"title":"The Effect of Component Disaggregation on Measures of the Median and Trimmed-Mean CPI","authors":"Christian L. Garciga, Randal J. Verbrugge, Saeed Zaman","doi":"10.26509/frbc-wp-202402","DOIUrl":"https://doi.org/10.26509/frbc-wp-202402","url":null,"abstract":"For decades, the Federal Reserve Bank of Cleveland (FRBC) has produced median and trimmed-mean consumer price index (CPI) measures. These have proven useful in various contexts, such as forecasting and understanding post-COVID inflation dynamics. Revisions to the FRBC methodology have historically involved increasing the level of disaggregation in the CPI components, which has improved accuracy. Thus, it may seem logical that further disaggregation would continue to enhance its accuracy. However, we theoretically demonstrate that this may not necessarily be the case. We then explore the empirical impact of further disaggregation along two dimensions: shelter and non-shelter components. We find that significantly increasing the disaggregation in the shelter indexes, when combined with only a slight increase in non-shelter disaggregation, improves the ability of the median and trimmed-mean CPI to track the medium-term trend in CPI inflation and marginally increases predictive power over future movements in CPI inflation. Finally, we examine the practical implications of our preferred degree of disaggregation. Our preferred measure of the median CPI suggests that trend inflation was lower pre-pandemic, while both our preferred median and trimmed-mean measures suggest a faster acceleration in trend inflation in 2021. We also find that higher disaggregation marginally weakens the Phillips curve relationship between median CPI inflation and the unemployment gap, though it remains statistically significant.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"37 6","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139450763","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Effects of Interest Rate Increases on Consumers' Inflation Expectations: The Roles of Informedness and Compliance 利率上调对消费者通胀预期的影响：知情和遵从的作用
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2024-01-03 DOI: 10.26509/frbc-wp-202401
Edward S. Knotek, James Mitchell, Mathieu O. Pedemonte, Taylor Shiroff
{"title":"The Effects of Interest Rate Increases on Consumers' Inflation Expectations: The Roles of Informedness and Compliance","authors":"Edward S. Knotek, James Mitchell, Mathieu O. Pedemonte, Taylor Shiroff","doi":"10.26509/frbc-wp-202401","DOIUrl":"https://doi.org/10.26509/frbc-wp-202401","url":null,"abstract":"We study how monetary policy communications associated with increasing the federal funds rate causally affect consumers' inflation expectations. In a large-scale, multi-wave randomized controlled trial (RCT), we find weak evidence on average that communicating policy changes lowers consumers' medium-term inflation expectations. However, information differs systematically across demographic groups, in terms of ex ante informedness about monetary policy and ex post compliance with the information treatment. Monetary policy communications have a much stronger effect on people who had not previously heard news about monetary policy and who take sufficient time to read the treatment, implying scope to increase the impact of communications by targeting specific groups of the general public. Our findings show that, in an inflationary environment, consumers expect that raising interest rates will lower inflation. More generally, our results emphasize the importance of measuring both respondents' information sets and their compliance with treatment when using RCTs in empirical macroeconomics, to better understand the well-documented evidence of heterogeneous treatment effects.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"38 24","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139389048","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A DSGE Model Including Trend Information and Regime Switching at the ZLB 包含趋势信息和零边际制度转换的 DSGE 模型
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2023-12-27 DOI: 10.26509/frbc-wp-202335
P. Gelain, Pierlauro Lopez
{"title":"A DSGE Model Including Trend Information and Regime Switching at the ZLB","authors":"P. Gelain, Pierlauro Lopez","doi":"10.26509/frbc-wp-202335","DOIUrl":"https://doi.org/10.26509/frbc-wp-202335","url":null,"abstract":"This paper outlines the dynamic stochastic general equilibrium (DSGE) model developed at the Federal Reserve Bank of Cleveland as part of the suite of models used for forecasting and policy analysis by Cleveland Fed researchers, which we have nicknamed CLEMENTINE (CLeveland Equilibrium ModEl iNcluding Trend INformation and the Effective lower bound). This document adopts a practitioner's guide approach, detailing the construction of the model and offering practical guidance on its use as a policy tool designed to support decision-making through forecasting exercises and policy counterfactuals.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"49 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139153691","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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