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Dynamic Beveridge Curve Accounting 动态贝弗里奇曲线会计
Board of Governors of the Federal Reserve System Research Series Pub Date : 2020-02-28 DOI: 10.17016/feds.2020.027
Hie Joo Ahn, Leland D. Crane
{"title":"Dynamic Beveridge Curve Accounting","authors":"Hie Joo Ahn, Leland D. Crane","doi":"10.17016/feds.2020.027","DOIUrl":"https://doi.org/10.17016/feds.2020.027","url":null,"abstract":"We develop a dynamic decomposition of the empirical Beveridge curve, i.e., the level of vacancies conditional on unemployment. Using a standard model, we show that three factors can shift the Beveridge curve: reduced-form matching efficiency, changes in the job separation rate, and out-of-steady-state dynamics. We find that the shift in the Beveridge curve during and after the Great Recession was due to all three factors, and each factor taken separately had a large effect. Comparing the pre-2010 period to the post-2010 period, a fall in matching efficiency and out-of-steady-state dynamics both pushed the curve upward, while the changes in the separation rate pushed the curve downward. The net effect was the observed upward shift in vacancies given unemployment. In previous recessions changes in matching efficiency were relatively unimportant, while dynamics and the separation rate had more impact. Thus, the unusual feature of the Great Recession was the deterioration in matching efficiency, while separations and dynamics have played significant, partially offsetting roles in most downturns. The importance of these latter two margins contrasts with much of the literature, which abstracts from one or both of them. We show that these factors affect the slope of the empirical Beveridge curve, an important quantity in recent welfare analyses estimating the natural rate of unemployment.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127233837","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
Treasury Safety, Liquidity, and Money Premium Dynamics: Evidence from Recent Debt Limit Impasses 国库安全、流动性和货币溢价动态:来自最近债务上限僵局的证据
Board of Governors of the Federal Reserve System Research Series Pub Date : 2020-01-31 DOI: 10.17016/feds.2020.008
David B. Cashin, Erin Syron Ferris, Elizabeth C. Klee
{"title":"Treasury Safety, Liquidity, and Money Premium Dynamics: Evidence from Recent Debt Limit Impasses","authors":"David B. Cashin, Erin Syron Ferris, Elizabeth C. Klee","doi":"10.17016/feds.2020.008","DOIUrl":"https://doi.org/10.17016/feds.2020.008","url":null,"abstract":"Treasury securities normally possess unparalleled safety and liquidity and, consequently, carry a money premium. We use recent debt limit impasses, which temporarily increased the riskiness of Treasuries, to investigate the relationship between the money premium, safety, and liquidity. Our results shed light on Treasury market dynamics specifically, and debt more generally. We first establish that a decline in the perceived safety of Treasuries erodes the money premium at all times. Meanwhile, changes in liquidity only affected the money premium during the impasses. Next, we show that Treasury safety and liquidity dynamics are generally consistent with the theory of the information sensitivity of debt.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133054559","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
When is the Fiscal Multiplier High? A Comparison of Four Business Cycle Phases 财政乘数何时高?四个经济周期阶段的比较
Board of Governors of the Federal Reserve System Research Series Pub Date : 2019-12-23 DOI: 10.2139/ssrn.3508790
Travis J. Berge, M. De Ridder, D. Pfajfar
{"title":"When is the Fiscal Multiplier High? A Comparison of Four Business Cycle Phases","authors":"Travis J. Berge, M. De Ridder, D. Pfajfar","doi":"10.2139/ssrn.3508790","DOIUrl":"https://doi.org/10.2139/ssrn.3508790","url":null,"abstract":"Abstract This paper compares the effect of fiscal spending on economic activity across various phases of the business cycle. We show that the fiscal multiplier is higher when unemployment is increasing than when it is decreasing. Conversely, fiscal multipliers do not depend on whether the unemployment rate is above or below its long-term trend. This result emerges both in the analysis of long time-series at the U.S. national level as well as for a post-Vietnam War panel of U.S. states. Our findings synthesize previous, at times conflicting, evidence on the state-dependence of fiscal multipliers and imply that fiscal intervention early on in economic downturns is most effective at stabilizing output.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125347349","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: 7
Monetary Policy and Birth Rates: The Effect of Mortgage Rate Pass-Through on Fertility 货币政策与出生率:抵押贷款利率传递对生育率的影响
Board of Governors of the Federal Reserve System Research Series Pub Date : 2019-12-20 DOI: 10.17016/feds.2020.002
Fergus Cumming, Lisa J. Dettling
{"title":"Monetary Policy and Birth Rates: The Effect of Mortgage Rate Pass-Through on Fertility","authors":"Fergus Cumming, Lisa J. Dettling","doi":"10.17016/feds.2020.002","DOIUrl":"https://doi.org/10.17016/feds.2020.002","url":null,"abstract":"\u0000 This paper examines whether monetary policy pass-through to mortgage interest rates affects household fertility decisions. Our empirical strategy exploits variation in households’ eligibility for a rate adjustment, coupled with the large reductions in the monetary policy rate that occurred during the Great Recession in the UK and US. We estimate that each one percentage point drop in the policy rate increased birth rates amongst households eligible for a rate adjustment by three percent. Our results provide new evidence on the nature of monetary policy transmission to households and suggest a new mechanism via which mortgage contract structures can affect both aggregate demand and supply.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130170946","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: 8
How Well Does Economic Uncertainty Forecast Economic Activity? 经济不确定性对经济活动的预测有多准确?
Board of Governors of the Federal Reserve System Research Series Pub Date : 2019-12-01 DOI: 10.17016/feds.2019.085
J. Rogers, Jiawen Xu
{"title":"How Well Does Economic Uncertainty Forecast Economic Activity?","authors":"J. Rogers, Jiawen Xu","doi":"10.17016/feds.2019.085","DOIUrl":"https://doi.org/10.17016/feds.2019.085","url":null,"abstract":"Despite the enormous reach and influence of the literature on economic and economic policy uncertainty, one surprisingly under-researched topic has been the forecasting performance of economic uncertainty measures. We evaluate the ability of seven popular measures of uncertainty to forecast in-sample and out-of-sample over real and financial outcome variables. We also evaluate predictive content over different quantiles of the GDP growth distribution. Real-time data and estimation considerations are highly consequential, and we devote considerable attention to them. Four main findings emerge. First, there is some explanatory power in all uncertainty measures, with relatively good performance by macroeconomic uncertainty (Jurado, Ludvigson, and Ng, 2015). Second, macro uncertainty has additional predictive content over the widely-used excess bond premium of (Gilchrist and Zakrajsek, 2012) and the National Financial Conditions Index. Third, quantile regressions for GDP growth indicate strong predictive power, especially at the lower ends of the distribution, for all uncertainty measures except the VIX. Finally, we construct new real-time versions of both macroeconomic and financial uncertainty and compare them to their ex-post counterparts used in the literature. Real-time uncertainty measures have comparatively poor forecasting performance, even to the point of overturning some of the conclusions that emerge from using ex-post uncertainty measures.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122182425","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
Disentangling the Effects of the 2018-2019 Tariffs on a Globally Connected U.S. Manufacturing Sector 分析2018-2019年关税对全球相连的美国制造业的影响
Board of Governors of the Federal Reserve System Research Series Pub Date : 2019-12-01 DOI: 10.17016/feds.2019.086
Aaron B. Flaaen, Justin Pierce
{"title":"Disentangling the Effects of the 2018-2019 Tariffs on a Globally Connected U.S. Manufacturing Sector","authors":"Aaron B. Flaaen, Justin Pierce","doi":"10.17016/feds.2019.086","DOIUrl":"https://doi.org/10.17016/feds.2019.086","url":null,"abstract":"Since the beginning of 2018, the United States has undertaken unprecedented tariff increases, with one goal of these actions being to boost the manufacturing sector. In this paper, we estimate the effect of the tariffs---including retaliatory tariffs by U.S. trading partners---on manufacturing employment, output, and producer prices. A key feature of our analysis is accounting for the multiple ways that tariffs might affect the manufacturing sector, including providing protection for domestic industries, raising costs for imported inputs, and harming competitiveness in overseas markets due to retaliatory tariffs. We find that U.S. manufacturing industries more exposed to tariff increases experience relative reductions in employment as a positive effect from import protection is offset by larger negative effects from rising input costs and retaliatory tariffs. Higher tariffs are also associated with relative increases in producer prices via rising input costs.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"46 10","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132803970","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: 73
Value Added and Productivity Linkages Across Countries 各国间的增加值和生产率联系
Board of Governors of the Federal Reserve System Research Series Pub Date : 2019-11-22 DOI: 10.17016/IFDP.2019.1266
François de Soyres, Alexandre Gaillard
{"title":"Value Added and Productivity Linkages Across Countries","authors":"François de Soyres, Alexandre Gaillard","doi":"10.17016/IFDP.2019.1266","DOIUrl":"https://doi.org/10.17016/IFDP.2019.1266","url":null,"abstract":"What is the relationship between international trade and business cycle synchronization? Using data from OECD countries, I find that trade in intermediate inputs plays a significant role in synchronizing GDP fluctuations across countries while trade in final goods is found insignificant. Motivated by this new fact, I build a model of international trade in intermediates that is able to replicate more than 70% of the empirical trade-comovement slope, making a significant step toward solving the “Trade Comovement Puzzle”. The model relies on two key assumptions: (i) price distortions due to monopolistic competition and (ii) fluctuations in the mass of firms serving each country. The combination of those ingredients creates a link between domestic productivity and foreign shocks through trade linkages. Finally, I provide evidence for the importance of those elements in the link between foreign shocks and domestic GDP and test other predictions of the model.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132064286","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: 23
Learning and Misperception: Implications for Price-Level Targeting 学习与误解:价格水平目标的含义
Board of Governors of the Federal Reserve System Research Series Pub Date : 2019-11-13 DOI: 10.17016/FEDS.2019.078
Martin Bodenstein, J. Hebden, Fabian Winkler
{"title":"Learning and Misperception: Implications for Price-Level Targeting","authors":"Martin Bodenstein, J. Hebden, Fabian Winkler","doi":"10.17016/FEDS.2019.078","DOIUrl":"https://doi.org/10.17016/FEDS.2019.078","url":null,"abstract":"Monetary policy strategies that target the price level have been advocated as a more effective way to provide economic stimulus in a deep recession when conventional monetary policy is limited by the zero lower bound on nominal interest rates. Yet, the effectiveness of these strategies depends on a central bank's ability to steer agents' expectations about the future path of the policy rate. We develop a flexible method of learning about the central bank's policy rule from observed interest rates that takes into account the limited informational content at the zero lower bound. When agents learn, switching from an inflation targeting to a price-level targeting strategy at the onset of a recession does not yield the desired stabilization benefits. These benefits only materialize after the policy rule has been in place for a sufficiently long time. Temporary price-level targeting strategies are likely to be much less effective than their permanent counterparts.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"195 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114224333","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 Propagation of Demand Shocks Through Housing Markets 需求冲击在房地产市场的传播
Board of Governors of the Federal Reserve System Research Series Pub Date : 2019-11-08 DOI: 10.17016/FEDS.2019.084
Elliot Anenberg, Daniel R. Ringo
{"title":"The Propagation of Demand Shocks Through Housing Markets","authors":"Elliot Anenberg, Daniel R. Ringo","doi":"10.17016/FEDS.2019.084","DOIUrl":"https://doi.org/10.17016/FEDS.2019.084","url":null,"abstract":"Housing demand stimulus produces a multiplier effect by freeing up owners attempting to sell their current home, allowing them to reenter the market as buyers. Exploiting a shock to first-time home buyer demand caused by a cut in mortgage insurance premiums, we find that homeowners buy their next home sooner when the probability of their current home selling increases. We build and calibrate a search model that explains these findings as a result of homeowners avoiding the cost of owning two homes simultaneously. Simulations demonstrate that stimulus to home buying generates a substantial multiplier effect, particularly in cold markets. (JEL R21, R31, R38)","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132618323","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
Approximately Right?: Global v. Local Methods for Open-Economy Models with Incomplete Markets 大约是吧?:不完全市场开放经济模型的全局与局部方法
Board of Governors of the Federal Reserve System Research Series Pub Date : 2019-11-01 DOI: 10.17016/feds.2020.006
Oliver de Groot, C. B. Durdu, E. Mendoza
{"title":"Approximately Right?: Global v. Local Methods for Open-Economy Models with Incomplete Markets","authors":"Oliver de Groot, C. B. Durdu, E. Mendoza","doi":"10.17016/feds.2020.006","DOIUrl":"https://doi.org/10.17016/feds.2020.006","url":null,"abstract":"Global and local methods are widely used in international macroeconomics to analyze incomplete-markets models. We study solutions for an endowment economy, an RBC model and a Sudden Stops model with an occasionally binding credit constraint. First-order, second-order, risky steady state and DynareOBC solutions are compared v. fixed-point-iteration global solutions in the time and frequency domains. The solutions differ in key respects, including measures of precautionary savings, cyclical moments, impulse response functions, financial premia and macro responses to credit constraints, and periodograms of consumption, foreign assets and net exports. The global method is easy to implement and faster than local methods for the endowment model. Local methods are faster for the RBC model and the global and DynareOBC solutions are of comparable speed. These findings favor global methods except when prevented by the curse of dimensionality and urge caution when using local methods. Of the latter, first-order solutions are preferable because results are very similar to second-order methods.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128281153","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
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