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The Dollar and Emerging Market Economies: Financial Vulnerabilities Meet the International Trade System 美元与新兴市场经济体:金融脆弱性与国际贸易体系的碰撞
Board of Governors of the Federal Reserve System Research Series Pub Date : 2019-10-04 DOI: 10.17016/IFDP.2019.1258
S. Shousha
{"title":"The Dollar and Emerging Market Economies: Financial Vulnerabilities Meet the International Trade System","authors":"S. Shousha","doi":"10.17016/IFDP.2019.1258","DOIUrl":"https://doi.org/10.17016/IFDP.2019.1258","url":null,"abstract":"This paper shows that dollar appreciations lead to declines in GDP, investment, and credit to the private sector in emerging market economies (EMEs). These results imply that the transmission of dollar movements to EMEs occurs mainly through financial conditions rather than net exports, contrary to what would be expected from the conventional Mundell-Fleming model. Moreover, the central role of the U.S. dollar in global trade invoicing and financing - the dominant currency paradigm - and the increased integration of EMEs into international supply chains weaken the traditional trade channel. Finally, as expected if financial vulnerabilities are prominent, EMEs with higher exposure to credit denominated in dollars and lower monetary policy credibility experience greater contractions during dollar appreciations.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131489585","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
Bottom-Up Leading Macroeconomic Indicators: An Application to Non-Financial Corporate Defaults Using Machine Learning 自下而上的领先宏观经济指标:使用机器学习在非金融企业违约中的应用
Board of Governors of the Federal Reserve System Research Series Pub Date : 2019-09-20 DOI: 10.17016/FEDS.2019.070
Tyler Pike, Horacio. Sapriza, Tom Zimmermann
{"title":"Bottom-Up Leading Macroeconomic Indicators: An Application to Non-Financial Corporate Defaults Using Machine Learning","authors":"Tyler Pike, Horacio. Sapriza, Tom Zimmermann","doi":"10.17016/FEDS.2019.070","DOIUrl":"https://doi.org/10.17016/FEDS.2019.070","url":null,"abstract":"This paper constructs a leading macroeconomic indicator from microeconomic data using recent machine learning techniques. Using tree-based methods, we estimate probabilities of default for publicly traded non-financial firms in the United States. We then use the cross-section of out-of-sample predicted default probabilities to construct a leading indicator of non-financial corporate health. The index predicts real economic outcomes such as GDP growth and employment up to eight quarters ahead. Impulse responses validate the interpretation of the index as a measure of financial stress.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115502651","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
CECL and the Credit Cycle CECL与信贷周期
Board of Governors of the Federal Reserve System Research Series Pub Date : 2019-08-01 DOI: 10.17016/FEDS.2019.061
Bert Loudis, Benjamin Ranish
{"title":"CECL and the Credit Cycle","authors":"Bert Loudis, Benjamin Ranish","doi":"10.17016/FEDS.2019.061","DOIUrl":"https://doi.org/10.17016/FEDS.2019.061","url":null,"abstract":"We find that that the Current Expected Credit Loss (CECL) standard would slightly dampen fluctuations in bank lending over the economic cycle. In particular, if the CECL standard had always been in place, we estimate that lending would have grown more slowly leading up to the financial crisis and more rapidly afterwards. We arrive at this conclusion by estimating historical allowances under CECL and modeling how the impact on accounting variables would have affected banks' lending and capital distributions. We consider a variety of approaches to address uncertainty regarding the management of bank capital and predictability of credit losses.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"34 1-4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132781352","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
Measuring Labor-Force Participation and the Incidence and Duration of Unemployment 测量劳动力参与和失业的发生率和持续时间
Board of Governors of the Federal Reserve System Research Series Pub Date : 2019-05-01 DOI: 10.17016/FEDS.2019.035
Hie Joo Ahn, James D. Hamilton
{"title":"Measuring Labor-Force Participation and the Incidence and Duration of Unemployment","authors":"Hie Joo Ahn, James D. Hamilton","doi":"10.17016/FEDS.2019.035","DOIUrl":"https://doi.org/10.17016/FEDS.2019.035","url":null,"abstract":"The underlying data from which the U.S. unemployment rate, labor-force participation rate, and duration of unemployment are calculated contain numerous internal contradictions. This paper catalogs these inconsistencies and proposes a unified reconciliation. We find that the usual statistics understate the unemployment rate and the labor-force participation rate by about two percentage points on average and that the bias in the latter has increased over time. The BLS estimate of the average duration of unemployment substantially overstates the true duration of uninterrupted spells of unemployment and misrepresents what happened to average durations during the Great Recession and its recovery.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121297515","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: 28
Evaluating the Conditionality of Judgmental Forecasts 评价判断预测的条件性
Board of Governors of the Federal Reserve System Research Series Pub Date : 2019-01-01 DOI: 10.17016/FEDS.2019.002
Travis J. Berge, Andrew C. Chang, N. Sinha
{"title":"Evaluating the Conditionality of Judgmental Forecasts","authors":"Travis J. Berge, Andrew C. Chang, N. Sinha","doi":"10.17016/FEDS.2019.002","DOIUrl":"https://doi.org/10.17016/FEDS.2019.002","url":null,"abstract":"We propose a framework to evaluate the conditionality of forecasts. The crux of our framework is the observation that a forecast is conditional if revisions to the conditioning factor are faithfully incorporated into the remainder of the forecast. We consider whether the Greenbook, Blue Chip, and the Survey of Professional Forecasters exhibit systematic biases in the manner in which they incorporate interest rate projections into the forecasts of other macroeconomic variables. We do not find strong evidence of systematic biases in the three economic forecasts that we consider, as the interest rate projections in these forecasts appear to be efficiently incorporated into forecasts of other economic variables.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115596135","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
A Promised Value Approach to Optimal Monetary Policy 最优货币政策的承诺价值方法
Board of Governors of the Federal Reserve System Research Series Pub Date : 2018-12-01 DOI: 10.17016/FEDS.2018.083
Timothy S. Hills, Taisuke Nakata, Takeki Sunakawa
{"title":"A Promised Value Approach to Optimal Monetary Policy","authors":"Timothy S. Hills, Taisuke Nakata, Takeki Sunakawa","doi":"10.17016/FEDS.2018.083","DOIUrl":"https://doi.org/10.17016/FEDS.2018.083","url":null,"abstract":"This paper characterizes optimal commitment policy in the New Keynesian model using a recursive formulation of the central bank's in finite horizon optimization problem in which promised inflation and output gap - as opposed to lagged Lagrange multipliers - act as pseudo-state variables. Our recursive formulation is motivated by Kydland and Prescott (1980). Using three well known variants of the model - one featuring inflation bias, one featuring stabilization bias, and one featuring a lower bound constraint on nominal interest rates - we show that the proposed formulation sheds new light on the nature of the intertemporal trade-off facing the central bank.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114611417","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
News and Uncertainty Shocks 新闻和不确定性冲击
Board of Governors of the Federal Reserve System Research Series Pub Date : 2018-11-01 DOI: 10.17016/IFDP.2018.1240
Danilo Cascaldi-Garcia, A. Galvão
{"title":"News and Uncertainty Shocks","authors":"Danilo Cascaldi-Garcia, A. Galvão","doi":"10.17016/IFDP.2018.1240","DOIUrl":"https://doi.org/10.17016/IFDP.2018.1240","url":null,"abstract":"We provide novel empirical evidence linking the effects of technology news shocks with uncertainty shocks. The correlation between news and financial uncertainty shocks implies that when financial uncertainty shocks hit the economy, utilization-adjusted total factor productivity increases over the medium term. This leads to an attenuation of the negative impact of increasing uncertainty on economic activity. The correlation also implies that the positive effects of technology news shocks on output, consumption, investment and hours are attenuated over the short term. Supported by these empirical results, we propose an identification strategy to obtain the impact of `good uncertainty' shocks and disentangle the importance of technological news, good and bad uncertainties, and ambiguity shocks in explaining business cycle variation.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124976410","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: 38
Forward Guidance with Bayesian Learning and Estimation 基于贝叶斯学习和估计的前瞻指导
Board of Governors of the Federal Reserve System Research Series Pub Date : 2018-10-25 DOI: 10.17016/FEDS.2018.072
Christopher Gust, Edward P. Herbst, D. López-Salido
{"title":"Forward Guidance with Bayesian Learning and Estimation","authors":"Christopher Gust, Edward P. Herbst, D. López-Salido","doi":"10.17016/FEDS.2018.072","DOIUrl":"https://doi.org/10.17016/FEDS.2018.072","url":null,"abstract":"Considerable attention has been devoted to evaluating the macroeconomic effectiveness of the Federal Reserve's communications about future policy rates (forward guidance) in light of the U.S. economy's long spell at the zero lower bound (ZLB). In this paper, we study whether forward guidance represented a shift in the systematic description of monetary policy by estimating a New Keynesian model using Bayesian techniques. In doing so, we take into account the uncertainty that agents have about policy regimes using an incomplete information setup in which they update their beliefs using Bayes rule (Bayesian learning). We document a systematic change in U.S. policymakers' reaction function during the ZLB episode (2009-2016) that called for a persistently lower policy rate than in other regimes (we call this the forward guidance regime). Our estimates suggest that private sector agents were slow to learn about this change in real time, which limited the effectiveness of t he forward guidance regime in stimulating economic activity and curbing disinflationary pressure. We also show that the incomplete information specification of the model fits economic outcomes over the economy's long spell at the ZLB better than the full information specification.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"321 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115836874","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
Information and Liquidity of OTC Securities: Evidence from Public Registration of Rule 144a Bonds 场外交易证券的信息与流动性:来自144a规则债券公开登记的证据
Board of Governors of the Federal Reserve System Research Series Pub Date : 2018-08-01 DOI: 10.17016/FEDS.2018.061
Song Han, A. Huang, Madhu Kalimipalli, Ke Wang
{"title":"Information and Liquidity of OTC Securities: Evidence from Public Registration of Rule 144a Bonds","authors":"Song Han, A. Huang, Madhu Kalimipalli, Ke Wang","doi":"10.17016/FEDS.2018.061","DOIUrl":"https://doi.org/10.17016/FEDS.2018.061","url":null,"abstract":"The Rule 144A private debt represents a significant and growing segment of the U.S. bond market. This paper examines the market liquidity effects of enhanced information disclosure induced by the public registration of 144A bonds. Using the regulatory version of TRACE data for the period 2002-2013, we find that following public registration of 144A bonds, dealer-specific effective bid-ask spreads narrow, especially for issues with higher ex-ante information asymmetry. Our results are consistent with existing theories that disclosure reduces information risk and thus improves market liquidity.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129498120","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
The Role of Expectations in Changed Inflation Dynamics 预期在通胀动态变化中的作用
Board of Governors of the Federal Reserve System Research Series Pub Date : 2018-08-01 DOI: 10.17016/FEDS.2018.062
D. Pfajfar, John M. Roberts
{"title":"The Role of Expectations in Changed Inflation Dynamics","authors":"D. Pfajfar, John M. Roberts","doi":"10.17016/FEDS.2018.062","DOIUrl":"https://doi.org/10.17016/FEDS.2018.062","url":null,"abstract":"The Phillips curve has been much flatter in the past twenty years than in the preceding decades. We consider two hypotheses. One is that prices at the microeconomic level are stickier than they used to be---in the context of the canonical Calvo model, firms are adjusting prices less often. The other is that the expectations of firms and households about future inflation are now less well informed by macroeconomic conditions; because expectations are important in the setting of current-period prices, inflation is therefore less sensitive to macroeconomic conditions. To distinguish between our two hypotheses, we bring to bear information on inflation expectations from surveys, which allow us to distinguish changes in the sensitivity of inflation to economic conditions conditioning on expectations from changes in the sensitivity of expectations themselves to economic conditions. We find that, with some measures, expectations are less tied to economic conditions than in the past, and thus that this reduced attentiveness can account for a significant portion of the reduction in the sensitivity of inflation to economic conditions in recent decades.","PeriodicalId":153113,"journal":{"name":"Board of Governors of the Federal Reserve System Research Series","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114530669","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: 21
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