Federal Reserve Bank of Cleveland Research Paper Series最新文献

{"title":"Tracking Trend Inflation: Nonseasonally Adjusted Variants of the Median and Trimmed-Mean CPI","authors":"A. Higgins, Randal J. Verbrugge","doi":"10.26509/WP-201527","DOIUrl":"https://doi.org/10.26509/WP-201527","url":null,"abstract":"We make five contributions. We demonstrate that extant trimmed-mean and median CPI construction procedures depart from Bureau of Labor Statistics index construction procedures, and that the departures don’t make much of a difference. We produce nonseasonally adjusted variants of the trimmed-mean CPI and median CPI, and demonstrate that these are useful real-time estimates of trend inflation; the NSA median CPI outperforms the median CPI, but both SA and NSA variants of the median and the trimmed-mean CPI easily dominate the so-called “core” CPI. We introduce superior ex post measures of trend inflation. We demonstrate that a small amount of time-series averaging reaps large rewards. Finally, we discuss using model-averaging as a new direction for simple and robust trend inflation indicators.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124617188","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}

{"title":"Job Ladders and Earnings of Displaced Workers","authors":"Pawel M. Krolikowski","doi":"10.2139/ssrn.2169033","DOIUrl":"https://doi.org/10.2139/ssrn.2169033","url":null,"abstract":"Workers who suffer job displacement experience surprisingly large and persistent earnings losses. This paper proposes an explanation for this robust empirical puzzle in a model of search over match-quality with a significant job ladder. In addition to capturing the depth and persistence of displaced-worker-earnings losses, the model is able to match a) separation rates by tenure; b) the empirical decomposition of earnings losses into reduced wages and employment; c) observed wage dispersion; d) the pattern of employer-to-employer transitions after layoff, and e) the degree of serial correlation in separations.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"114 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123384085","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}

{"title":"Unemployment Flows, Participation, and the Natural Rate for Turkey","authors":"G. Sengul, Murat Tasci","doi":"10.2139/ssrn.2512453","DOIUrl":"https://doi.org/10.2139/ssrn.2512453","url":null,"abstract":"This paper measures flow rates into and out of unemployment for Turkey and uses these rates to estimate the unemployment rate trend, that is the level of the unemployment rate the economy converges to in the long-run. In doing so, the paper explores the role of the labor force participation in determining the trend unemployment. We find an inverse V-shaped pattern for the unemployment rate trend over time in Turkey, currently standing between 8.5 and 9 percent, with an increasing labor market turnover. We also find that allowing for an explicit role for participation changes the results substantially, reducing the “natural” rate at first, but then getting closer to the baseline over time. Finally, we show that this parsimonious model can be used for forecasting unemployment in Turkey with relative ease and accuracy.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121729484","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}

{"title":"Conditional Coverage and Its Role in Determining and Assessing Long-Term Capital Requirements","authors":"Alex Ferrer, J. Casals, S. Sotoca","doi":"10.2139/ssrn.2447673","DOIUrl":"https://doi.org/10.2139/ssrn.2447673","url":null,"abstract":"We define the vector of conditional coverage values generated over the business cycle by a constant capital figure. Using a convenient analytical framework, we explore its properties and propose two applications based on it. For the former, we state a result that links the concepts of conditional and unconditional solvency and offers an alternative interpretation of the unconditional capital. For the latter, we propose using the minimum of the conditional coverage vector in the determination of long-term capital requirements, as well as using its minimum and its standard deviation in the long-term assessment of a given capital figure. Both applications are illustrated empirically. The entire analysis can be understood as an attempt to recognize and incorporate capital cyclicality into the measurement and analysis of default risk.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115915088","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}

{"title":"Financial Innovations and Issuer Sophistication in Municipal Securities Markets","authors":"S. Whitaker","doi":"10.2139/ssrn.2446979","DOIUrl":"https://doi.org/10.2139/ssrn.2446979","url":null,"abstract":"When local governments default or file for bankruptcy, it is often because public officials misunderstood the risks associated with innovative financial products. If unsophisticated municipal bond issuers were to widely adopt a high risk financial product, this could harm taxpayers and investors, as well as destabilize the financial system. This analysis uses municipal bond issuers’ total debt outstanding as a proxy for their sophistication and investigates the relationship between sophistication and adoption of financial innovations. Using comprehensive data on securities issued between 1992 and 2012, 25 innovations are identified. Products with these features were uncommon in the 1990s, and expanded their market share after 2000. The 600 issuers that back 75 percent of the outstanding debt adopted 21 innovations for a greater fraction of their new issuance, relative to the approximately 40,000 smaller market participants. When innovation-linked debt issuance is measured relative to annual expenditures, the mid-level jurisdictions adopted innovations to a significantly greater extent than either states and sophisticated jurisdictions or unsophisticated jurisdictions. The results suggest oversight should be concentrated on mid-level local governments where past innovations have made the greatest inroads.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130528501","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}

{"title":"What Do We Know About Regional Banks? An Exploratory Analysis","authors":"Lakshmi Balasubramanyan, Joseph G. Haubrich","doi":"10.26509/WP-201316","DOIUrl":"https://doi.org/10.26509/WP-201316","url":null,"abstract":"This study tries to get a sense of the topography of the regional banking landscape. We focus on bank holding companies and banks with $10 billion to $50 billion in assets and look for factors that potentially explain regional bank health from 2008 to 2013. Our dataset is a combination of bank Call Report data and confidential supervisory data. Our analysis shows that regional banks are not a monolithic group, and different factors explain bank safety and soundness for different types of banks.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"125 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124203777","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}

{"title":"Close But Not a Central Bank: The New York Clearing House and Issues of Clearing House Loan Certificates","authors":"J. Moen, E. Tallman","doi":"10.26509/WP-201308","DOIUrl":"https://doi.org/10.26509/WP-201308","url":null,"abstract":"The paper examines the New York Clearing House (NYCH) as a lender of last resort by looking at clearing-house-loan-certificate borrowing during five banking panics of the National Banking Era (1863-1913). In that system, adequate aggregate liquidity provision was passive and dependent upon member bank borrowing. We document bank borrowing behavior using bank-level data for clearing-house loan certificates issued to NYCH member banks. The historical record reveals that the large New York City banks behaved in ways that resembled those of a central bank in 1884 and in 1890, but less so in the more severe crises.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"141 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129040694","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}

{"title":"Too Much Global Liquidity from Central Banks Distorts Financial Markets and Undermines Economic Growth","authors":"William J. Dodwell","doi":"10.2139/ssrn.2408174","DOIUrl":"https://doi.org/10.2139/ssrn.2408174","url":null,"abstract":"In the wake of the 2008 financial crisis and the ensuing global recession central banks flooded the financial system with liquidity to overcome fears of contagion that froze the credit markets and threatened the solvency of major banks. Accordingly, the Federal Reserve Bank along with central banks in Europe, China, Japan and elsewhere engaged in quantitative easing involving the purchase of respective sovereign debt securities creating money in the process. As a consequence, interest rates have been at historic lows to accommodate economic recovery. While initially beneficial for calming the financial markets and jump-starting the economy, five years hence aggressive monetary policy still has failed to achieve the economic growth required to create jobs and restore prosperity. Rather, abundant global liquidity and attendant low interest rates have inflated stock prices, encouraged risky investing in the chase for higher returns, devalued currencies in a race to the bottom to compete in export markets, and inflated commodity prices until slow growth in China curtailed demand. In addition, the low interest rates suppress discipline in government borrowing while sovereign debt hovers at crisis levels. Meanwhile, savers are punished to the detriment of the economy as the national income that would have been generated by normal interest rates is forfeited. Furthermore, many speculate about potential inflation arising from all the liquidity when robust growth resumes.Rather than create potential asset bubbles in the financial markets, significant fiscal reform is needed to revive the real economy from its protracted slow growth pattern. Tax cuts, spending reduction and regulatory relief encourage investment in plant, equipment and inventory that creates jobs that stimulate the consumer sector. Indeed, such policy would break the logjam created by uncertainty about taxes, regulation and the activities of the Fed. Tax increases on the wealthy are counterproductive. Sequestration is hardly enough. Stifling energy production is irresponsible. And continued monetary interference is ineffective.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"365 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115302647","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}

{"title":"Search Frictions and the Labor Wedge","authors":"Andrea Pescatori, Murat Tasci","doi":"10.2139/ssrn.1825228","DOIUrl":"https://doi.org/10.2139/ssrn.1825228","url":null,"abstract":"This paper shows that labor market search frictions do not explain fluctuations in the labor wedge per se. However, the introduction of extensive and intensive margin clarifies that measuring the MRS in terms of total hours artificially introduces procyclicality in the MRS. When the MRS is correctly measured in terms of hours per worker, the labor wedge obtained is less variable than the one of the competitive model. Finally, we show that it is possible to measure a strongly procyclical labor wedge when the actual data generating process is a search model that allows for movements in both margins.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127861798","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}

{"title":"The Cost of Inflation: A Mechanism Design Approach","authors":"G. Rocheteau","doi":"10.2139/ssrn.1743600","DOIUrl":"https://doi.org/10.2139/ssrn.1743600","url":null,"abstract":"I apply mechanism design to quantify the cost of inflation that can be attributed to monetary frictions alone. In an environment with pairwise meetings, the money demand that is consistent with a constrained-efficient allocation takes the form of a continuous correspondence that can fit the data over the period 1900-2006. For such parameterizations, the cost of moderate inflation is zero. This result is robust to different assumptions regarding the observability of money holdings, the introduction of match-specific heterogeneity, and endogeneous participation decisions.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126200570","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}