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A Volatility-Based Theory of Fiscal Union Desirability 基于波动性的财政联盟可取性理论
Board of Governors of the Federal Reserve System Research Series Pub Date : 2012-10-01 DOI: 10.2139/ssrn.2169970
Jaime Luque, M. Morelli, José Tavares
{"title":"A Volatility-Based Theory of Fiscal Union Desirability","authors":"Jaime Luque, M. Morelli, José Tavares","doi":"10.2139/ssrn.2169970","DOIUrl":"https://doi.org/10.2139/ssrn.2169970","url":null,"abstract":"Heterogeneous countries may rationally choose to form a currency union first, and a fiscal union later. We find, and illustrate empirically for the EMU countries, reasonable volatility conditions under which this sequencing in the deepening process is indeed rationalizable. Changes in the distribution of expected income shocks require a reassignment of political weights to restore unanimous support for an added fiscal dimension. The bargaining space depends on countries' relative income, size, and cross correlation of shocks.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122578282","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: 14
On the Distribution of a Discrete Sample Path of a Square-Root Diffusion 关于平方根扩散离散样本路径的分布
Board of Governors of the Federal Reserve System Research Series Pub Date : 2012-03-01 DOI: 10.2139/ssrn.2051017
Michael B. Gordy
{"title":"On the Distribution of a Discrete Sample Path of a Square-Root Diffusion","authors":"Michael B. Gordy","doi":"10.2139/ssrn.2051017","DOIUrl":"https://doi.org/10.2139/ssrn.2051017","url":null,"abstract":"We derive the multivariate moment generating function (mgf) for the stationary distribution of a discrete sample path of n observations of a square-root diffusion (CIR) process, X(t). The form of the mgf establishes that the stationary joint distribution of (X(t(1)),...,X(t(n))) for any fixed vector of observation times (t(1),...,t(n)) is a Krishnamoorthy-Parthasarathy multivariate gamma distribution. As a corollary, we obtain the mgf for the increment X(t+dt)-X(t), and show that the increment is equivalent in distribution to a scaled difference of two independent draws from a gamma distribution. Simple closed-form solutions for the moments of the increments are given.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128150583","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: 2
A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy 作为经济预测指标的收益率曲线的动态因子模型
Board of Governors of the Federal Reserve System Research Series Pub Date : 2012-03-01 DOI: 10.2139/ssrn.2093357
Marcelle Chauvet, Zeynep Senyuz
{"title":"A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy","authors":"Marcelle Chauvet, Zeynep Senyuz","doi":"10.2139/ssrn.2093357","DOIUrl":"https://doi.org/10.2139/ssrn.2093357","url":null,"abstract":"In this paper, we propose an econometric model of the joint dynamic relationship between the yield curve and the economy to predict business cycles. We examine the predictive value of the yield curve to forecast future economic growth as well as the beginning and end of economic recessions at the monthly frequency. The proposed nonlinear multivariate dynamic factor model takes into account not only the popular term spread but also information extracted from the level and curvature of the yield curve and from macroeconomic variables. The nonlinear model is used to investigate the interrelationship between the phases of the bond market and of the business cycle. The results indicate a strong interrelation between these two sectors. The proposed factor model of the yield curve exhibits substantial incremental predictive value compared to several alternative specifications. This result holds in-sample and out-of-sample, using revised or real time unrevised data.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130665562","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: 16
Legal Entity Identifier: What Else Do You Need to Know? 法人实体标识符:你还需要知道什么?
Board of Governors of the Federal Reserve System Research Series Pub Date : 2011-06-01 DOI: 10.2139/SSRN.1866447
Linda Powell, M. Montoya, E. Shuvalov
{"title":"Legal Entity Identifier: What Else Do You Need to Know?","authors":"Linda Powell, M. Montoya, E. Shuvalov","doi":"10.2139/SSRN.1866447","DOIUrl":"https://doi.org/10.2139/SSRN.1866447","url":null,"abstract":"The passage of the Dodd-Frank Wall Street Reform and Consumer Protection Act sparked discussion of creating a systematic code that uniquely identifies an entity. This code is commonly referred to as a legal entity identifier (LEI). The information that is collected to accompany and describe the LEI will play an important role in enhancing the usefulness of the LEI. This paper explores the information (referred to as reference data) commonly used in datasets that describe entities and evaluates the usefulness of reference data elements for uniquely identifying an entity and for monitoring systemic risk in the financial industry.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115219705","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: 3
Friedman's Monetary Economics in Practice 弗里德曼的《实践中的货币经济学》
Board of Governors of the Federal Reserve System Research Series Pub Date : 2011-04-13 DOI: 10.2139/ssrn.1845619
Edward Nelson, Michelle T. Hutton
{"title":"Friedman's Monetary Economics in Practice","authors":"Edward Nelson, Michelle T. Hutton","doi":"10.2139/ssrn.1845619","DOIUrl":"https://doi.org/10.2139/ssrn.1845619","url":null,"abstract":"This paper views the policy response to the recent financial crisis from the perspective of Milton Friedman's monetary economics. Five major aspects of the policy response were: 1) discount window lending was provided broadly to the financial system, at rates that were low in relation to the market rates prevailing before the crisis; 2) the Federal Reserve's holdings of government securities were adjusted with the aim of putting downward pressure on the path of several important interest rates for a given path of short-term rates; 3) deposit insurance was extended, helping to insulate the money stock from credit market disruption; 4) the commercial banking system received assistance via a recapitalization program, while existing equity holders bore losses; and 5) an interest-on-reserves system was introduced. These five elements of the policy response were in keeping with those that would arise from Friedman's framework, while a number of the five departed appreciably from other prominent benchmarks (such as the Bagehot prescription for discount rate policy, and New Keynesian approaches to stabilization policy). One notable part of the policy response, the TALF initiative, drew largely on frameworks other than Friedman's. But, in important respects, the overall monetary and financial policy response to the crisis can be viewed as Friedman's monetary economics in practice.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114375773","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: 44
Household Income Uncertainties Over Three Decades 三十年来家庭收入的不确定性
Board of Governors of the Federal Reserve System Research Series Pub Date : 2011-03-01 DOI: 10.2139/ssrn.1845774
J. Feigenbaum, Geng Li
{"title":"Household Income Uncertainties Over Three Decades","authors":"J. Feigenbaum, Geng Li","doi":"10.2139/ssrn.1845774","DOIUrl":"https://doi.org/10.2139/ssrn.1845774","url":null,"abstract":"We study the trend in household income uncertainty using a novel approach that measures income uncertainty at each future horizon as the variance of forecast errors without imposing specific parametric restrictions on the underlying income shocks. We document a widespread increase in household income uncertainty since the early 1970s that is both statistically and economically significant. For example, our measure of near-future uncertainty in total family non-capital income rose about 40% between 1971 and 2002. This rising uncertainty is likely due to the increase in variances of both persistent and transitory income shocks. A parsimoniously calibrated Aiyagari model is solved to illustrate how rising income uncertainty should have affected aggregate saving.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"108 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116538459","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: 11
A Semiparametric Characterization of Income Uncertainty Over the Life Cycle 生命周期内收入不确定性的半参数表征
Board of Governors of the Federal Reserve System Research Series Pub Date : 2010-07-14 DOI: 10.2139/ssrn.1895511
Geng Li, J. Feigenbaum
{"title":"A Semiparametric Characterization of Income Uncertainty Over the Life Cycle","authors":"Geng Li, J. Feigenbaum","doi":"10.2139/ssrn.1895511","DOIUrl":"https://doi.org/10.2139/ssrn.1895511","url":null,"abstract":"We propose a novel approach to estimate household income uncertainty at various future horizons and characterize how the estimated uncertainty evolves over the life cycle. We measure income uncertainty as the variance of linear forecast errors conditional on information available to households prior to observing the realized income. This approach is semiparametric because we impose essentially no restrictions on the statistical properties of the forecast errors. Relative to previous studies, we find lower and less persistent income uncertainties that call for a life cycle consumption profile with a less pronounced hump.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"115 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133124457","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: 2
Velocity of Money, Productivity Growth and the 2 Percent Inflation Target 货币流通速度、生产率增长和2%的通胀目标
Board of Governors of the Federal Reserve System Research Series Pub Date : 2010-06-21 DOI: 10.2139/ssrn.1628334
C. Faugère
{"title":"Velocity of Money, Productivity Growth and the 2 Percent Inflation Target","authors":"C. Faugère","doi":"10.2139/ssrn.1628334","DOIUrl":"https://doi.org/10.2139/ssrn.1628334","url":null,"abstract":"In line with the transaction motive literature (Baumol, 1952 and Tobin, 1956), I postulate that financial innovations generate transactional cost savings by comparison to barter. Hence, the optimal velocity of narrow money is a function of labor productivity growth and of the differential between long-term and short term rates. A key parameter in that relation is the mean leverage ratio for depository institutions. I use a VECM for the U.S. (using M1, M1RS and M1S) from 1959-2007 and find good support for the model. The velocity of money tracks productivity growth at about 2% over the period. Setting the inflation target rate equal to the growth rate of velocity leads to an inflation rate near 2% and is akin to pursing a Friedman (1960) k% rule that takes into account a trending money velocity. While this rule is not shown to be optimal here, it provides flexibility to prevent deflations. A long-term Taylor (1993) type rule is also derived.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128656434","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
Does the LIBOR Reflect Banks' Borrowing Costs? LIBOR是否反映了银行的借贷成本?
Board of Governors of the Federal Reserve System Research Series Pub Date : 2010-04-02 DOI: 10.2139/ssrn.1569603
C. Snider, Thomas Youle
{"title":"Does the LIBOR Reflect Banks' Borrowing Costs?","authors":"C. Snider, Thomas Youle","doi":"10.2139/ssrn.1569603","DOIUrl":"https://doi.org/10.2139/ssrn.1569603","url":null,"abstract":"The London Interbank Offered Rate (LIBOR) is a vital benchmark interest rate to which hundreds of trillions of dollars of financial contracts are tied. Recently observers have raised concerns that the Libor may not accurately reflect average bank borrowing costs, it's ostensible target. In this paper we provide two types of evidence that this is the case. We first show that bank quotes in the Libor survey are difficult to rationalize by observable cost measures, including a given bank's quotes in other currency panels. Our second type of evidence is based on a simple model of bank quote choices in the Libor survey. The model predicts that if banks have incentives to affect the rate (as opposed to simply reporting costs), we should see bunching of quotes around particular points and no such bunching in the absence of these incentives. We show that there is strong evidence of the predicted bunching behavior in the data. Finally, we present suggestive evidence that several banks have large portfolio exposures to the Libor and have recently profited from the rapid descent of the Libor. We conjecture that these exposures may be the source of misreporting incentives.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122320519","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: 64
Technology Shocks: Novel Implications for International Business Cycles 技术冲击:对国际经济周期的新影响
Board of Governors of the Federal Reserve System Research Series Pub Date : 2010-03-08 DOI: 10.2139/ssrn.1568889
Andrea Raffo
{"title":"Technology Shocks: Novel Implications for International Business Cycles","authors":"Andrea Raffo","doi":"10.2139/ssrn.1568889","DOIUrl":"https://doi.org/10.2139/ssrn.1568889","url":null,"abstract":"Understanding the joint dynamics of international prices and quantities remains a central issue in international business cycles. International relative prices appreciate when domestic consumption and output increase more than their foreign counterparts. In addition, both trade flows and trade prices display sizable volatility. This paper incorporates Hicks-neutral and investment-specific technology shocks into a standard two-country general equilibrium model with variable capacity utilization and weak wealth effects on labor supply. Investment-specific technology shocks introduce a source of fluctuations in absorption similar to taste shocks, thus reconciling theory and data. The paper also presents implications for the transmission mechanism of technology shocks across countries and for the Barro and King (1984) critique of investment shocks.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124006433","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: 17
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