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Uncovering Retail Trading in Bitcoin 揭露比特币的零售交易
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2021-07-16 DOI: 10.26509/FRBC-WP-202113
Anantha Divakaruni, Peter Zimmerman
{"title":"Uncovering Retail Trading in Bitcoin","authors":"Anantha Divakaruni, Peter Zimmerman","doi":"10.26509/FRBC-WP-202113","DOIUrl":"https://doi.org/10.26509/FRBC-WP-202113","url":null,"abstract":"In April 2020, the US government sent economic impact payments (EIPs) directly to households, as part of its measures to address the COVID-19 pandemic. We characterize these stimulus checks as a wealth shock for households and examine their effect on retail trading in Bitcoin. We find a significant increase in Bitcoin buy trades for the modal EIP amount of $1,200. The rise in Bitcoin trading is highest among individuals without families and at exchanges catering to nonprofessional investors. We estimate that the EIP program has a significant but modest effect on the US dollar–Bitcoin trading pair, increasing trade volume by about 3.8 percent. Trades associated with the EIPs result in a slight rise in the price of Bitcoin of 7 basis points. Nonetheless, the increase in trading is small compared to the size of the stimulus check program, representing only 0.02 percent of all EIP dollars. We repeat our analysis for other countries with similar stimulus programs and find an increase in Bitcoin buy trades in these currencies. Our findings highlight how wealth shocks affect retail trading.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134436290","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: 4
Is It Time to Reassess the Focal Role of Core PCE Inflation? 是时候重新评估核心个人消费支出通胀的核心作用了吗?
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2021-05-18 DOI: 10.26509/FRBC-WP-202110
Randal J. Verbrugge
{"title":"Is It Time to Reassess the Focal Role of Core PCE Inflation?","authors":"Randal J. Verbrugge","doi":"10.26509/FRBC-WP-202110","DOIUrl":"https://doi.org/10.26509/FRBC-WP-202110","url":null,"abstract":"In this paper, I review the history of “core” PCE inflation and its rationale: remove volatile items with transitory shocks to better highlight the trend in inflation. Structural changes in the inflation process imply that, on a “reducing volatility” basis, the list of items excluded from the “core” inflation basket (aside from gasoline) is far from optimal. This is true whether one assesses volatility on the basis of a weighted component monthly, or an index monthly, or a 12-month index, or a 5-year index. In addition, I demonstrate other deficiencies of exclusion indexes. Excluded items do not just experience transitory shocks, but also have persistent trends; thus excluding them imparts a significant time-varying bias to core inflation. Meanwhile, items that are not excluded can experience volatility and moreover can cause core inflation to depart notably from trend inflation, sometimes at crucial moments. Two other prominent trend inflation measures, trimmed mean PCE inflation and median PCE inflation, gracefully address these issues, but themselves have notable time-varying bias. I discuss the source of the bias in these other measures and how to correct for bias in real time. I then summarize and extend a wide variety of evidence comparing these three trend measures. I conclude that, for a variety of considerations that are relevant for monetary policy deliberations and communication, either trimmed mean PCE inflation or median PCE inflation are superior measures.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134411585","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: 9
Forecasting with Shadow-Rate VARs 用阴影率var预测
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2021-03-29 DOI: 10.26509/FRBC-WP-202109
Andrea Carriero, Todd E. Clark, Massimiliano Marcellino, Elmar Mertens
{"title":"Forecasting with Shadow-Rate VARs","authors":"Andrea Carriero, Todd E. Clark, Massimiliano Marcellino, Elmar Mertens","doi":"10.26509/FRBC-WP-202109","DOIUrl":"https://doi.org/10.26509/FRBC-WP-202109","url":null,"abstract":"Interest rate data are an important element of macroeconomic forecasting. Projections of future interest rates are not only an important product themselves, but also typically matter for forecasting other macroeconomic and financial variables. A popular class of forecasting models is linear vector autoregressions (VARs) that include shorter- and longer-term interest rates. However, in a number of economies, at least shorter-term interest rates have now been stuck for years at or near their effective lower bound (ELB), with longer-term rates drifting toward the constraint as well. In such an environment, linear forecasting models that ignore the ELB constraint on nominal interest rates appear inept. To handle the ELB on interest rates, we model observed rates as censored observations of a latent shadow-rate process in an otherwise standard VAR setup. The shadow rates are assumed to be equal to observed rates when above the ELB. Point and density forecasts for interest rates (short term and long term) constructed from a shadow-rate VAR for the US since 2009 are superior to predictions from a standard VAR that ignores the ELB. For other indicators of financial conditions and measures of economic activity and inflation, the accuracy of forecasts from our shadow-rate specification is on par with a standard VAR that ignores the ELB.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116767545","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
All Forecasters Are Not the Same: Time-Varying Predictive Ability across Forecast Environments 所有的预报员都不一样:在预测环境中随时间变化的预测能力
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2021-02-25 DOI: 10.26509/frbc-wp-202106
Richard A. Robert, Joseph Tracey
{"title":"All Forecasters Are Not the Same: Time-Varying Predictive Ability across Forecast Environments","authors":"Richard A. Robert, Joseph Tracey","doi":"10.26509/frbc-wp-202106","DOIUrl":"https://doi.org/10.26509/frbc-wp-202106","url":null,"abstract":"","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"283 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114436170","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
Will COVID-19-Induced Rental Nonpayment Drive Large Reductions in Shelter Inflation? Hints from the Great Recession covid -19引发的房租拖欠会导致住房通胀大幅下降吗?大衰退的暗示
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2020-07-08 DOI: 10.26509/frbc-wp-202022
Wesley Janson, Randal Verbrugge
{"title":"Will COVID-19-Induced Rental Nonpayment Drive Large Reductions in Shelter Inflation? Hints from the Great Recession","authors":"Wesley Janson, Randal Verbrugge","doi":"10.26509/frbc-wp-202022","DOIUrl":"https://doi.org/10.26509/frbc-wp-202022","url":null,"abstract":"Working paper 20-22 was reviewed by staff at the BLS prior to its posting. After its posting, subsequent discussions with staff at the BLS revealed that the BLS treatment of nonpayment is different from the treatment assumed in the working paper. As a result, the authors have removed the old version of the working paper in order to incorporate this new information.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"106 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123097761","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 Optimal Taxation of Business Owners 企业主的最优税收
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2019-11-19 DOI: 10.26509/frbc-wp-201926
Thomas M. Phelan
{"title":"The Optimal Taxation of Business Owners","authors":"Thomas M. Phelan","doi":"10.26509/frbc-wp-201926","DOIUrl":"https://doi.org/10.26509/frbc-wp-201926","url":null,"abstract":"Business owners in the United States are disproportionately represented among the very wealthy and are exposed to substantial idiosyncratic risk. Further, recent evidence indicates business income primarily reflects returns to the human (rather than financial) capital of the owner. Motivated by these facts, this paper characterizes the optimal taxation of income and wealth in an environment where business income depends jointly on innate ability, luck, and the accumulated past effort exerted by the owner. I show that in (constrained) efficient allocations, more productive entrepreneurs typically bear more risk and that the associated stationary distributions of income, wealth, and firm size exhibit the thick right (Pareto) tails observed in the data. Finally, when owners may save in a risk-free bond and trade shares of their business, I show that the optimal linear taxes in this environment call for double taxation of firm profits, at both the firm and the personal income level, and for a tax/subsidy on wealth that may assume either sign.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121918450","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: 1
Re-Creating Banking Networks under Decreasing Fixed Costs 降低固定成本下的银行网络再造
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2019-11-05 DOI: 10.26509/frbc-wp-201921
D. Maringer, Ben R. Craig, S. Paterlini
{"title":"Re-Creating Banking Networks under Decreasing Fixed Costs","authors":"D. Maringer, Ben R. Craig, S. Paterlini","doi":"10.26509/frbc-wp-201921","DOIUrl":"https://doi.org/10.26509/frbc-wp-201921","url":null,"abstract":"Theory emphasizes the central role of the structure of networks in the behavior of financial systems and their response to policy. Real-world networks, however, are rarely directly observable: Banks’ assets and liabilities are typically known, but not who is lending how much and to whom. We first show how to simulate realistic networks that are based on balance-sheet information by minimizing costs where there is a fixed cost to forming a link. Second, we also show how to do this for a model with fixed costs that are decreasing in the number of links. To approach the optimization problem, we develop a new algorithm based on the transportation planning literature. Computational experiments find that the resulting networks are not only consistent with the balance sheets, but also resemble real-world financial networks in their density (which is sparse but not minimally dense) and in their core-periphery and disassortative structure.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121667782","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
Thinking Outside the Box: Do SPF Respondents Have Anchored Inflation Expectations? 跳出框框思考:SPF受访者是否锚定了通胀预期?
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2019-08-20 DOI: 10.26509/FRBC-WP-201915
C. Binder, Wesley Janson, Randal J. Verbrugge
{"title":"Thinking Outside the Box: Do SPF Respondents Have Anchored Inflation Expectations?","authors":"C. Binder, Wesley Janson, Randal J. Verbrugge","doi":"10.26509/FRBC-WP-201915","DOIUrl":"https://doi.org/10.26509/FRBC-WP-201915","url":null,"abstract":"Despite the stability of the median 10-year inflation expectations in the Survey of Professional Forecasters (SPF) near 2 percent, we show that not a single SPF respondent’s expectations have been anchored at the target since the Federal Open Market Committee’s (FOMC) enactment of an inflation target in January 2012, or even since 2015. However, we find significant evidence for “delayed anchoring,” or a move toward being anchored, particularly after the federal funds rate lifted off in December 2015.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130086206","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: 6
The Impact of Stricter Merger Control on Bank Mergers and Acquisitions. Too-Big-To-Fail and Competition 并购管制趋严对银行并购的影响。“大而不倒”和竞争
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2019-07-05 DOI: 10.26509/frbc-wp-201614r2
E. Carletti, S. Ongena, Jan-Peter Siedlarek, G. Spagnolo
{"title":"The Impact of Stricter Merger Control on Bank Mergers and Acquisitions. Too-Big-To-Fail and Competition","authors":"E. Carletti, S. Ongena, Jan-Peter Siedlarek, G. Spagnolo","doi":"10.26509/frbc-wp-201614r2","DOIUrl":"https://doi.org/10.26509/frbc-wp-201614r2","url":null,"abstract":"The effect of regulations on the banking sector is a key question for financial intermediation. This paper provides evidence that merger control regulation, although not directly targeted at the banking sector, has substantial economic effects on bank mergers. Based on an extensive sample of European countries, we show that target announcement premia increased by up to 16 percentage points for mergers involving control shifts after changes in merger legislation, consistent with a market expectation of increased profitability. These effects go hand-in-hand with a reduction in the propensity for mergers to create banks that are too-big-to-fail in their country.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128198976","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: 1
Internal Migration in the United States: A Comparative Assessment of the Consumer Credit Panel 美国内部移民:消费信贷小组的比较评估
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2019-06-21 DOI: 10.26509/frbc-wp-201804r
Jack DeWaard, Janna E. Johnson, S. Whitaker
{"title":"Internal Migration in the United States: A Comparative Assessment of the Consumer Credit Panel","authors":"Jack DeWaard, Janna E. Johnson, S. Whitaker","doi":"10.26509/frbc-wp-201804r","DOIUrl":"https://doi.org/10.26509/frbc-wp-201804r","url":null,"abstract":"","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"10 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116776265","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: 1
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