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Quantitative Easing and Safe Asset Scarcity: Evidence from International Bond Safety Premia 量化宽松与安全资产稀缺性:来自国际债券安全溢价的证据
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2023-08-15 DOI: 10.24148/wp2023-23
Jens H. E. Christensen, Nikola Mirkov, Xin Zhang
{"title":"Quantitative Easing and Safe Asset Scarcity: Evidence from International Bond Safety Premia","authors":"Jens H. E. Christensen, Nikola Mirkov, Xin Zhang","doi":"10.24148/wp2023-23","DOIUrl":"https://doi.org/10.24148/wp2023-23","url":null,"abstract":"Through large-scale asset purchases, widely known as quantitative easing (QE), central banks around the world have reduced the available supply of safe assets. We examine the effects of the European Central Bank’s asset purchases in the 2015-2021 period on an international panel of bond safety premia from four highly rated countries: Denmark, Germany, Sweden, and Switzerland. We find statistically significant negative effects for all four countries. This points to a novel and important international spillover channel of QE programs to bond safety premia that operates via changes in the perceived relative scarcity of safe assets across international bond markets.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131865797","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
Passive Quantitative Easing: Bond Supply Effects through a Halt to Debt Issuance 被动量化宽松:停止发债对债券供给的影响
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2023-08-15 DOI: 10.24148/wp2023-24
Jens H. E. Christensen, S. Hetland
{"title":"Passive Quantitative Easing: Bond Supply Effects through a Halt to Debt Issuance","authors":"Jens H. E. Christensen, S. Hetland","doi":"10.24148/wp2023-24","DOIUrl":"https://doi.org/10.24148/wp2023-24","url":null,"abstract":"This article presents empirical evidence of a supply-induced transmission channel to longterm interest rates caused by a halt to government debt issuance. This is conceptually equivalent to a central bank operated asset purchase program, commonly known as quantitative easing (QE). However, as it involves neither asset purchases nor associated creation of central bank reserves, we refer to it as passive QE. For evidence, we analyze the response of Danish government bond risk premia to a temporary halt in government debt issuance announced by the Danish National Bank. The data suggest that declines in longterm yields during its enforcement reflected both reduced term premia, consistent with supply-induced portfolio balance effects, and increased safety premia, consistent with safe assets scarcity effects.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129113998","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
Monetary Transmission through Bank Securities Portfolios 通过银行证券投资组合的货币传导
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2023-07-26 DOI: 10.24148/wp2023-18
John Krainer, Pascal Paul
{"title":"Monetary Transmission through Bank Securities Portfolios","authors":"John Krainer, Pascal Paul","doi":"10.24148/wp2023-18","DOIUrl":"https://doi.org/10.24148/wp2023-18","url":null,"abstract":"We study the transmission of monetary policy through bank securities portfolios for the United States using granular supervisory data on bank securities, hedging positions, and corporate credit. We find that banks that experienced larger market value losses on their securities during the monetary tightening cycle in 2022 extended relatively less credit to firms. Such a spillover effect was stronger for (i) available-for sale securities, (ii) unhedged securities, (iii) low-capitalized banks, and (iv) banks that have to include unrealized gains and losses on their available-for-sale securities in their regulatory capital. Our findings provide evidence for a forceful transmission channel of monetary policy that is shaped by the regulatory framework of the banking system.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"78 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114258831","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
Local Projections for Applied Economics 应用经济学的地方预测
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2023-07-14 DOI: 10.24148/wp2023-16
Ò. Jordà
{"title":"Local Projections for Applied Economics","authors":"Ò. Jordà","doi":"10.24148/wp2023-16","DOIUrl":"https://doi.org/10.24148/wp2023-16","url":null,"abstract":"The dynamic causal effect of an intervention on an outcome is of paramount interest to applied macro- and micro-economics research. However, this question has been generally approached differently by the two literatures. In making the transition from traditional time series methods to applied microeconometrics, local projections can serve as a natural bridge. Local projections can translate the familiar language of vector autoregressions (VARs) and impulse responses into the language of potential outcomes and treatment effects. There are gains to be made by both literatures from greater integration of well established methods in each. This review shows how to make these connections and points to potential areas of further research.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114403686","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
Climate Change and the Geography of the U.S. Economy 气候变化与美国经济地理
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2023-07-13 DOI: 10.24148/wp2023-17
S. Leduc, Daniel J. Wilson
{"title":"Climate Change and the Geography of the U.S. Economy","authors":"S. Leduc, Daniel J. Wilson","doi":"10.24148/wp2023-17","DOIUrl":"https://doi.org/10.24148/wp2023-17","url":null,"abstract":"This paper examines how the spatial distribution of people and jobs in the United States has been and will be impacted by climate change. Using novel county-level weather data from 1951 to 2020, we estimate the longer-run effects of weather on local population, employment, wages, and house prices using a panel distributed lag model. The historical results point to long-lasting negative effects of extreme temperatures on each of these outcomes. We highlight that a long lag structure is necessary to appropriately capture the longer-run effects of climate change, as short-run effects are often small and imprecisely estimated. Using county-level weather projections based on alternative greenhouse gas emissions scenarios, we use the estimated models to project the spatial distribution of these local economic outcomes out to 2050. The results point to substantial reallocations of people and jobs across the country over the next three decades, with mobility increasing by between 33 and 100 percent depending on the scenario. Population and employment are projected to shift away from the Sunbelt and toward the North and Mountain West. We document that this would, in fact, be a continuation of a historical pattern: Over the past four decades the relationship between population growth and hot climates across the United States has turned from strongly positive to slightly negative. We present a spatial equilibrium model to interpret the results, highlighting the impacts of climate change on amenities and productivity, and find significant roles for both channels in accounting for our empirical findings.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121119342","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
Long-Run Effects of Incentivizing Work After Childbirth 生育后工作激励的长期影响
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2023-06-23 DOI: 10.24148/wp2023-27
Elira Kuka, Na'ama Shenhav
{"title":"Long-Run Effects of Incentivizing Work After Childbirth","authors":"Elira Kuka, Na'ama Shenhav","doi":"10.24148/wp2023-27","DOIUrl":"https://doi.org/10.24148/wp2023-27","url":null,"abstract":"This paper identifies the impact of increasing post-childbirth work incentives on mothers’ long-run careers. We exploit variation in work incentives across mothers based on the timing of a first birth and eligibility for the 1993 expansion of the Earned Income Tax Credit. Ten to nineteen years after a first birth, single mothers who were exposed to the expansion immediately after birth (“early”), rather than 3 6 years later (“late”), have 0.62 more years of work experience and 4.2% higher earnings conditional on working. We show that higher earnings are primarily explained by improved wages due to greater work experience.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135904723","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
Currency Areas, Labor Markets, and Regional Cyclical Sensitivity 货币区、劳动力市场和区域周期敏感性
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2023-06-01 DOI: 10.24148/wp2023-22
Katheryn N. Russ, Jay C. Shambaugh, Sanjay R. Singh
{"title":"Currency Areas, Labor Markets, and Regional Cyclical Sensitivity","authors":"Katheryn N. Russ, Jay C. Shambaugh, Sanjay R. Singh","doi":"10.24148/wp2023-22","DOIUrl":"https://doi.org/10.24148/wp2023-22","url":null,"abstract":"In his papers during the lead up to the birth of the European Monetary Union, Obstfeld considered whether the countries forming the EMU were sufficiently similar to survive a single monetary policy--and more importantly, whether they had the capacity to adjust to asymmetric shocks given a single monetary and exchange rate policy. The convention at the time was to take the United States as the baseline for a smoothly functioning currency union. We document the evolution of the literature on regional labor market adjustment within the United States, expanding on stylized facts illustrating how stratification in local labor market outcomes appears far more persistent today than 30 years ago in the context of what Obstfeld and Peri (1998) call non-adjustment in unemployment rates. We then extend the currency union literature by adding an additional consideration: differences in regional cyclical sensitivity. Using measures of cyclicality and Obstfeld-Peri-type non-adjustment, we explore the characteristics of places that can get left behind when local labor markets respond differently to national shocks and discuss implications for policy.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"82 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135046134","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
Supply or Demand? Policy Makers' Confusion in the Presence of Hysteresis 供给还是需求?滞后效应下决策者的困惑
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2023-06-01 DOI: 10.24148/wp2023-21
Antonio Fatás, Sanjay R. Singh
{"title":"Supply or Demand? Policy Makers' Confusion in the Presence of Hysteresis","authors":"Antonio Fatás, Sanjay R. Singh","doi":"10.24148/wp2023-21","DOIUrl":"https://doi.org/10.24148/wp2023-21","url":null,"abstract":"Policy makers need to separate between temporary demand-driven shocks and permanent shocks in order to design optimal aggregate demand policies. In this paper we study the case of a central bank that ignores the presence of hysteresis when identifying shocks. By assuming that all low frequency output fluctuations are driven by permanent technology shocks, monetary policy is not aggressive enough in response to demand shocks. In addition, we show that errors in assessing the state of the economy can be self-perpetuating if seen through the lens of the mistaken views of the policymaker. We show that a central bank that mistakes a demand shock for a supply shock, will produce permanent effects on output through their suboptimal policies. Ex-post, the central bank will see an economy that resembles what they had forecast when designing their policies. The shock is indeed persistent and this persistence validates their assumption that the shock was a supply-driven one. The interaction between forecasts, policies and hysteresis creates the dynamics of self-perpetuating errors that is the focus of this paper.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121924643","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
Significance Bands for Local Projections 局部预测的显著性带
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2023-05-31 DOI: 10.24148/wp2023-15
A. Inoue, Ò. Jordà, G. Kuersteiner
{"title":"Significance Bands for Local Projections","authors":"A. Inoue, Ò. Jordà, G. Kuersteiner","doi":"10.24148/wp2023-15","DOIUrl":"https://doi.org/10.24148/wp2023-15","url":null,"abstract":"An impulse response function describes the dynamic evolution of an outcome variable following a stimulus or treatment. A common hypothesis of interest is whether the treatment affects the outcome. We show that this hypothesis is best assessed using significance bands rather than relying on commonly displayed confidence bands. Under the null hypothesis, we show that significance bands are trivial to construct with standard statistical software using the LM principle, and should be reported as a matter of routine when displaying impulse responses graphically.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122847852","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
Decomposing the Monetary Policy Multiplier 分解货币政策乘数
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2023-05-24 DOI: 10.24148/wp2023-14
Piergiorgio Alessandri, Ò. Jordà, F. Venditti
{"title":"Decomposing the Monetary Policy Multiplier","authors":"Piergiorgio Alessandri, Ò. Jordà, F. Venditti","doi":"10.24148/wp2023-14","DOIUrl":"https://doi.org/10.24148/wp2023-14","url":null,"abstract":"Financial markets play an important role in generating monetary policy transmission asymmetries in the US. Credit spreads only adjust to unexpected increases in interest rates, causing output and prices to respond more to a monetary tightening than to an expansion. At a one year horizon, the ‘financial multiplier’ of monetary policy—defined as the ratio between the cumulative responses of employment and credit spreads—is zero for a monetary expansion, -2 for a monetary tightening, and -4 for a monetary tightening that takes place under strained credit market conditions. These results have important policy implications: the central bank may inadvertently over-tighten in times of financial uncertainty.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"199 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131592775","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
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