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Why Is Current Unemployment So Low? 为什么目前的失业率如此之低?
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2020-03-13 DOI: 10.24148/wp2020-17
M. Esfahani, John G. Fernald, B. Hobijn
{"title":"Why Is Current Unemployment So Low?","authors":"M. Esfahani, John G. Fernald, B. Hobijn","doi":"10.24148/wp2020-17","DOIUrl":"https://doi.org/10.24148/wp2020-17","url":null,"abstract":"","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"98 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117203103","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
Banks, Maturity Transformation, and Monetary Policy 银行、期限转换和货币政策
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2020-02-28 DOI: 10.24148/wp2020-07
Pascal Paul
{"title":"Banks, Maturity Transformation, and Monetary Policy","authors":"Pascal Paul","doi":"10.24148/wp2020-07","DOIUrl":"https://doi.org/10.24148/wp2020-07","url":null,"abstract":"Banks engage in maturity transformation and the term premium compensates them for bearing the associated duration risk. Consistent with this view, I show that banks’ net interest margins and term premia have comoved in the United States over the last decades. On monetary policy announcement days, banks’ stock prices fall in response to an increase in expected future short-term interest rates but rise if term premia increase. These effects are reflected in the response of banks’ net interest margins and amplified for institutions with a larger maturity mismatch. The results reveal that banks are not immune to interest rate risk.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"50 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":"124382191","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: 12
Exchange Rate Misalignment and External Imbalances: What is the Optimal Monetary Policy Response? 汇率失调与外部失衡:什么是最优货币政策应对?
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2020-02-05 DOI: 10.24148/wp2020-04
G. Corsetti, Luca Dedola, S. Leduc
{"title":"Exchange Rate Misalignment and External Imbalances: What is the Optimal Monetary Policy Response?","authors":"G. Corsetti, Luca Dedola, S. Leduc","doi":"10.24148/wp2020-04","DOIUrl":"https://doi.org/10.24148/wp2020-04","url":null,"abstract":"How should monetary policy respond to capital inflows that appreciate the currency, widen the current account deficit and cause domestic overheating? Using the workhorse open-macro monetary model, we derive a quadratic approximation of the utility-based global loss function in incomplete market economies, solve for the optimal targeting rules under cooperation and characterize the constrained-optimal allocation. The answer is sharp: the optimal monetary stance is contractionary if the exchange rate pass-through (ERPT) on import prices is incomplete, expansionary if ERPT is complete – implying that misalignment and exchange rate volatility are higher in economies where incomplete pass through contains the effects of exchange rates on price competitiveness.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132626450","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
Why Is Current Unemployment So Low? 为什么目前的失业率如此之低?
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2020-02-01 DOI: 10.24148/wp2020-05
Andreas Hornstein, Marianna Kudlyak
{"title":"Why Is Current Unemployment So Low?","authors":"Andreas Hornstein, Marianna Kudlyak","doi":"10.24148/wp2020-05","DOIUrl":"https://doi.org/10.24148/wp2020-05","url":null,"abstract":"Current unemployment, as of 2019Q4, is so low not because of unusually high job finding rates out of unemployment, but because of unusually low entry rates into unemployment. The unusually low entry rates, both from employment and from out of the labor force, reflect a long-run downward trend, and have lowered the unemployment rate trend over the recent decade. In fact, the difference between the current unemployment rate and unemployment rates at the two previous cyclical peaks in 2000 and 2007 is more than fully accounted for by the decline in its trend. This suggests that the current low unemployment rate does not indicate a labor market that is tighter than in 2000 or 2007.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129223810","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
Anchored Inflation Expectations and the Flatter Phillips Curve 锚定通胀预期和更平坦的菲利普斯曲线
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2019-11-06 DOI: 10.24148/wp2019-27
P. L. Jørgensen, Kevin J. Lansing
{"title":"Anchored Inflation Expectations and the Flatter Phillips Curve","authors":"P. L. Jørgensen, Kevin J. Lansing","doi":"10.24148/wp2019-27","DOIUrl":"https://doi.org/10.24148/wp2019-27","url":null,"abstract":"Conventional versions of the Phillips curve cannot account for inflation dynamics during and after the U.S. Great Recession, leading many to conclude that the Phillips curve relationship has weakened or even disappeared. We show that if agents solve a signal extraction problem to disentangle temporary versus permanent shocks to inflation, then agents’inflation expectations should have become more “anchored”over the Great Moderation period. An estimated New Keynesian Phillips curve that accounts for the increased anchoring of expected inflation exhibits a stable slope coeffi cient over the period 1960 to 2019. Out-of-sample forecasts show that this model can account for the “missing disinflation”during the U.S. Great Recession and the “missing inflation”during the subsequent recovery. We use a simple three-equation New Keynesian model to show that an increase in the Taylor rule coeffi cient on inflation (or the output gap) serves to endogenously anchor agents’subjective inflation expectations and thereby “flatten”the reduced-form Phillips curve.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122886160","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
Precautionary Pricing: The Disinflationary Effects of ELB Risk 预防性定价:ELB风险的反通胀效应
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2019-10-15 DOI: 10.24148/wp2019-26
R. Amano, T. Carter, S. Leduc
{"title":"Precautionary Pricing: The Disinflationary Effects of ELB Risk","authors":"R. Amano, T. Carter, S. Leduc","doi":"10.24148/wp2019-26","DOIUrl":"https://doi.org/10.24148/wp2019-26","url":null,"abstract":"We construct a model to evaluate the role that the risk of future effective lower bound (ELB) episodes plays as a factor behind the persistently weak inflation witnessed in many advanced economies since the Great Recession. In our model, a range of precautionary channels cause ELB risk to affect inflation and other macroeconomic outcomes even during ?normal times? when nominal rates are far away from the ELB. This behavior is enhanced through a growth channel that captures possible long-lasting output declines at the ELB. We show that ELB risk substantially weighs on inflation even when the policy rate is above the ELB. Our model also predicts substantially below-target inflation expectations and negative inflation risk premia.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121563651","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
Robots or Workers? A Macro Analysis of Automation and Labor Markets 机器人还是工人?自动化和劳动力市场的宏观分析
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2019-07-18 DOI: 10.24148/WP2019-17
S. Leduc, Zheng Liu
{"title":"Robots or Workers? A Macro Analysis of Automation and Labor Markets","authors":"S. Leduc, Zheng Liu","doi":"10.24148/WP2019-17","DOIUrl":"https://doi.org/10.24148/WP2019-17","url":null,"abstract":"We study the implications of automation for labor market fluctuations in a Diamond-Mortensen-Pissarides (DMP) framework that is generalized to incorporate automation decisions. If a job opening is not filled with a worker, a firm can choose to automate that position and use a robot instead of a worker to produce output. The threat of automation strengthens the firm's bargaining power against job seekers in wage negotiations, depressing equilibrium real wages in a business cycle boom. The option of automation also increases the value of a vacancy, raising the incentive for job creation, and thereby amplifying fluctuations in vacancies and unemployment relative to the standard DMP framework. Since automation improves labor productivity while muting wage increases, it implies a countercyclical labor income share, as observed in the data.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123171263","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: 25
Assessing Abenomics: Evidence from Inflation-Indexed Japanese Government Bonds 评估安倍经济学:来自通胀指数日本政府债券的证据
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2019-05-07 DOI: 10.24148/WP2019-15
Jens H. E. Christensen, M. Spiegel
{"title":"Assessing Abenomics: Evidence from Inflation-Indexed Japanese Government Bonds","authors":"Jens H. E. Christensen, M. Spiegel","doi":"10.24148/WP2019-15","DOIUrl":"https://doi.org/10.24148/WP2019-15","url":null,"abstract":"We assess the impact of news concerning the reforms associated with ?Abenomics? using an arbitrage-free term structure model of nominal and real yields. Our model explicitly accounts for the deflation protection enhancement embedded in Japanese inflation-indexed bonds issued since 2013, which pay their original nominal principal when deflation has occurred from issue to maturity. The value of this enhancement is sizable and time-varying, with substantive impacts on estimates of expected inflation compensation. After properly accounting for deflation protection, our results suggest that Japanese inflation risk premia were mostly negative during this period. Moreover, long-term inflation expectations remained positive throughout, despite extensive spells of realized deflation. Finally, initial market responses to policy changes associated with Abenomics and afterwards were not as inflationary as they appear under standard modeling procedures, implying that the program was less ?disappointing? than many perceive.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"573 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127171003","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
The Total Risk Premium Puzzle? 总风险溢价之谜?
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2019-03-20 DOI: 10.24148/wp2019-10
Ò. Jordà, M. Schularick, Alan M. Taylor
{"title":"The Total Risk Premium Puzzle?","authors":"Ò. Jordà, M. Schularick, Alan M. Taylor","doi":"10.24148/wp2019-10","DOIUrl":"https://doi.org/10.24148/wp2019-10","url":null,"abstract":"","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"57 11","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113978365","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
Bond Flows and Liquidity: Do Foreigners Matter? 债券流动与流动性:外国人重要吗?
Federal Reserve Bank of San Francisco, Working Paper Series Pub Date : 2019-03-01 DOI: 10.24148/WP2019-08
Jens H. E. Christensen, Eric Fischer, Patrick Shultz
{"title":"Bond Flows and Liquidity: Do Foreigners Matter?","authors":"Jens H. E. Christensen, Eric Fischer, Patrick Shultz","doi":"10.24148/WP2019-08","DOIUrl":"https://doi.org/10.24148/WP2019-08","url":null,"abstract":"In their search for yield in the current low interest rate environment, many investors have turned to sovereign debt in emerging economies, which has raised concerns about risks to financial stability from these capital flows. To assess this risk, we study the effects of changes in the foreign-held share of Mexican sovereign bonds on their liquidity premiums. We find that recent increases in foreign holdings of these securities have played a significant role in driving up their liquidity premiums. Provided the higher compensation for bearing liquidity risk is commensurate with the chance of a major foreign-led sell-off in the Mexican government bond market, this development may not pose a material risk to its financial stability.","PeriodicalId":250744,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125170582","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
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