发布求助
文献互助 智能选刊 最新文献

Board of Governors: Finance & Economics Discussion Series (Topic)最新文献

筛选
英文 中文
A Dummy Test of Identification in Models with Bunching 聚类模型识别的虚拟检验
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2021-10-01 DOI: 10.17016/FEDS.2021.068
Carolina Caetano, Gregorio Caetano, Hao Fe, Eric R. Nielsen
{"title":"A Dummy Test of Identification in Models with Bunching","authors":"Carolina Caetano, Gregorio Caetano, Hao Fe, Eric R. Nielsen","doi":"10.17016/FEDS.2021.068","DOIUrl":"https://doi.org/10.17016/FEDS.2021.068","url":null,"abstract":"We propose a simple test of the main identification assumption in models where the treatment variable takes multiple values and has bunching. The test consists of adding an indicator of the bunching point to the estimation model and testing whether the coefficient of this indicator is zero. Although similar in spirit to the test in Caetano (2015), the dummy test has important practical advantages: it is more powerful at detecting endogeneity, and it also detects violations of the functional form assumption. The test does not require exclusion restrictions and can be implemented in many approaches popular in empirical research, including linear, two-way fixed effects, and discrete choice models. We apply the test to the estimation of the effect of a mother’s working hours on her child’s skills in a panel data context (James-Burdumy 2005).","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"2018 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122508404","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
Optimizing Credit Gaps for Predicting Financial Crises: Modelling Choices and Tradeoffs 优化信贷缺口预测金融危机:建模选择和权衡
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2021-01-06 DOI: 10.17016/IFDP.2021.1307
Daniel O. Beltran, Mohammad R. Jahan-Parvar, Fiona A. Paine
{"title":"Optimizing Credit Gaps for Predicting Financial Crises: Modelling Choices and Tradeoffs","authors":"Daniel O. Beltran, Mohammad R. Jahan-Parvar, Fiona A. Paine","doi":"10.17016/IFDP.2021.1307","DOIUrl":"https://doi.org/10.17016/IFDP.2021.1307","url":null,"abstract":"Credit gaps are good predictors for financial crises, and banking regulators recommend using them to inform countercyclical capital buffers for banks. Researchers typically create credit gap measures using trend-cycle decomposition methods, which require many modelling choices, such as the method used, and the smoothness of the underlying trend. Other choices hinge on the tradeoffs implicit in how gaps are used as early warning indicators (EWIs) for predicting crises, such as the preference over false positives and false negatives. We evaluate how the performance of credit-gap-based EWIs for predicting crises is influenced by these modelling choices. For the most common trend-cycle decomposition methods used to recover credit gaps, we find that optimally smoothing the trend enhances out-of-sample prediction. We also show that out-of sample performance improves further when we consider a preference for robustness of the credit gap estimates to the arrival of new information, which is important as any EWI should work in real-time. We offer several practical implications.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114331192","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
International Yield Spillovers 国际产量溢出效应
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2021-01-01 DOI: 10.17016/FEDS.2021.001
Don H. Kim, Marcelo Ochoa
{"title":"International Yield Spillovers","authors":"Don H. Kim, Marcelo Ochoa","doi":"10.17016/FEDS.2021.001","DOIUrl":"https://doi.org/10.17016/FEDS.2021.001","url":null,"abstract":"This paper investigates spillovers from foreign economies to the U.S. through changes in longterm Treasury yields. We document a decline in the contribution of U.S. domestic news to the variance of long-term Treasury yields and an increased importance of overnight yield changes—a rough proxy for the contribution of foreign shocks to U.S. yields—over the past decades. Using a model that identifies U.S., Euro area, and U.K. shocks that move global yields, we estimate that foreign (non-U.S.) shocks account for at least 20 percent of the daily variation in long-term U.S. yields in recent years. We argue that spillovers occur in large part through bond term premia by showing that a low level of foreign yields relative to U.S. yields predicts a decline in distant forward U.S. yields and higher returns on a strategy that is long on a long-term Treasury security and short on a long-term foreign bond.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115422510","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
Financial Conditions and Economic Activity: Insights from Machine Learning 金融状况和经济活动:来自机器学习的见解
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2020-11-01 DOI: 10.17016/FEDS.2020.095
Michael T. Kiley
{"title":"Financial Conditions and Economic Activity: Insights from Machine Learning","authors":"Michael T. Kiley","doi":"10.17016/FEDS.2020.095","DOIUrl":"https://doi.org/10.17016/FEDS.2020.095","url":null,"abstract":"Machine learning (ML) techniques are used to construct a financial conditions index (FCI). The components of the ML-FCI are selected based on their ability to predict the unemployment rate one-year ahead. Three lessons for macroeconomics and variable selection/dimension reduction with large datasets emerge. First, variable transformations can drive results, emphasizing the need for transparency in selection of transformations and robustness to a range of reasonable choices. Second, there is strong evidence of nonlinearity in the relationship between financial variables and economic activity—tight financial conditions are associated with sharp deteriorations in economic activity and accommodative conditions are associated with only modest improvements in activity. Finally, the ML-FCI places sizable weight on equity prices and term spreads, in contrast to other measures. These lessons yield an ML-FCI showing tightening in financial conditions before the early 1990s and early 2000s recessions, in contrast to the National Financial Conditions Index (NFCI).","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129696495","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
Price Discovery in the U.S. Treasury Cash Market: On Principal Trading Firms and Dealers 美国国债现货市场的价格发现:主要交易公司和交易商
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2020-11-01 DOI: 10.17016/FEDS.2020.096
J. Harkrader, Michael P. Puglia
{"title":"Price Discovery in the U.S. Treasury Cash Market: On Principal Trading Firms and Dealers","authors":"J. Harkrader, Michael P. Puglia","doi":"10.17016/FEDS.2020.096","DOIUrl":"https://doi.org/10.17016/FEDS.2020.096","url":null,"abstract":"We explore the following question: does the trading activity of registered dealers on Treasury interdealer broker (IDB) platforms differ from that of principal trading firms (PTFs), and if so, how and to what effect on market liquidity? To do so, we use a novel dataset that combines Treasury cash transaction reports from FINRA's Trade Reporting and Compliance Engine (TRACE) and publicly available limit order book data from BrokerTec. We find that trades conducted in a limit order book setting have high permanent price impact when a PTF is the passive party, playing the role of liquidity provider. Conversely, we find that dealer trades have higher price impact when the dealer is the aggressive party, playing the role of liquidity taker. Trades in which multiple firms (whether dealers or PTFs) participate on one or both sides, however, have relatively low price impact. We interpret these results in light of theoretical models suggesting that traders with only a \"small\" informational advantage prefer to use (passive) limit orders, while traders with a comparatively large informational advantage prefer to use (aggressive) market orders. We also analyze the events that occurred in Treasury markets in March 2020, during the onset of the COVID-19 pandemic.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134532542","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
Politicians Avoid Tax Increases Around Elections 政客们在选举前后避免增税
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2020-06-19 DOI: 10.2139/ssrn.3641963
Andrew C. Chang, L. Cohen, A. Glazer, Urbashee Paul
{"title":"Politicians Avoid Tax Increases Around Elections","authors":"Andrew C. Chang, L. Cohen, A. Glazer, Urbashee Paul","doi":"10.2139/ssrn.3641963","DOIUrl":"https://doi.org/10.2139/ssrn.3641963","url":null,"abstract":"We use new annual data on gasoline taxes and corporate income taxes from U.S. states to analyze whether politicians avoid tax increases in election years. These data contain 3 useful attributes: (1) when state politicians enact tax laws, (2) when state politicians implement tax laws on consumers and firms, and (3) the size of tax changes. Using a pre-analysis research plan that includes regressions of tax rate changes and tax enactment years on time-to-gubernatorial election year indicators, we find that elections decrease the probability of politicians enacting increases in taxes and reduce the size of implemented tax changes relative to non-election years. We find some evidence that politicians are most likely to enact tax increases right after an election. These election effects are stronger for gasoline taxes than for corporate income taxes and depend on no other political, demographic, or macroeconomic conditions. Supplemental analysis supports political salience over legislative effort in generating this difference in electoral effects.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125129329","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
'Revitalize or Stabilize': Does Community Development Financing Work? “振兴还是稳定”:社区发展融资是否有效?
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2020-04-15 DOI: 10.17016/feds.2020.029
Daniel R. Ringo
{"title":"'Revitalize or Stabilize': Does Community Development Financing Work?","authors":"Daniel R. Ringo","doi":"10.17016/feds.2020.029","DOIUrl":"https://doi.org/10.17016/feds.2020.029","url":null,"abstract":"Banks in the United States originate $100 billion in community development loans every year and hold a similar amount of community development investments on their balance sheets. A number of federal place-based policies encourage the provision of these loans and investments to promote growth, employment and the availability of affordable housing to disadvantaged communities. Research into the effectiveness of privately supplied community development financing has been hampered, however, by the lack of comprehensive data on banks' community development activities at a local level. Hand collected data from thousands of Community Reinvestment Act performance evaluations fill this gap. Using these data, the effect of the supply of community development funding on local economic outcomes is estimated. Endogeneity of community development financing to local demand factors is addressed, exploiting the fact that banks exhibit fixed tendencies to engage in community development financing across markets. Shifts in the share of local deposit markets toward banks with a greater tendency to supply community development loans are associated with subsequent expansion in total employment and wages paid. Estimates suggest $56,000 in community development lending is required to create one job, on net. There is no measurable effect on the supply of affordable housing or the growth of house prices. Counties experiencing a shift in local deposit market shares toward community development intensive banks were on similar pre-trends as the rest of the country in the years prior to the shift, as measured across a range of economic and credit market outcomes.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"297 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115316959","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
Health Insurance and Hospital Supply: Evidence from 1950s Coal Country 医疗保险与医院供应：20 世纪 50 年代煤炭之乡的证据
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2020-04-01 DOI: 10.17016/feds.2020.033
{"title":"Health Insurance and Hospital Supply: Evidence from 1950s Coal Country","authors":"","doi":"10.17016/feds.2020.033","DOIUrl":"https://doi.org/10.17016/feds.2020.033","url":null,"abstract":"The United States government spends billions on public health insurance and has funded a number of programs to build health care facilities. However, the government runs these two types of programs separately: in different places, at different times, and for different populations. We explore whether access to both health insurance and hospitals can improve health outcomes and access to health care. We analyze a coal mining union health insurance program in 1950s Appalachia with and without a complementary hospital construction program. Our results show that the union insurance alone increased hospital births and reduced infant mortality. Once the union hospitals opened, however, the insurance and the hospitals together substantially increased the net amount of hospital beds and health care employees, with limited crowd-out of existing private hospitals. Our results suggest that hospitals can complement health insurance in underserved areas.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":" June","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141219330","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
Tracking Labor Market Developments during the COVID-19 Pandemic: A Preliminary Assessment COVID-19大流行期间跟踪劳动力市场发展:初步评估
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2020-04-01 DOI: 10.17016/feds.2020.030
Tomaz Cajner, Leland D. Crane, Ryan A. Decker, Adrian Hamins-Puertolas, C. Kurz
{"title":"Tracking Labor Market Developments during the COVID-19 Pandemic: A Preliminary Assessment","authors":"Tomaz Cajner, Leland D. Crane, Ryan A. Decker, Adrian Hamins-Puertolas, C. Kurz","doi":"10.17016/feds.2020.030","DOIUrl":"https://doi.org/10.17016/feds.2020.030","url":null,"abstract":"Many traditional official statistics are not suitable for measuring high-frequency developments that evolve over the course of weeks, not months. In this paper, we track the labor market effects of the COVID-19 pandemic with weekly payroll employment series based on microdata from ADP. These data are available essentially in real-time, and allow us to track both aggregate and industry effects. Cumulative losses in paid employment through April 4 are currently estimated at 18 million; just during the two weeks between March 14 and March 28 the U.S. economy lost about 13 million paid jobs. For comparison, during the entire Great Recession less than 9 million private payroll employment jobs were lost. In the current crisis, the most affected sector is leisure and hospitality, which has so far lost or furloughed about 30 percent of employment, or roughly 4 million jobs.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129726978","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: 58
Common and Idiosyncratic Inflation 常见和特殊的通货膨胀
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2020-03-01 DOI: 10.17016/2380-7172.2508
Matteo Luciani
{"title":"Common and Idiosyncratic Inflation","authors":"Matteo Luciani","doi":"10.17016/2380-7172.2508","DOIUrl":"https://doi.org/10.17016/2380-7172.2508","url":null,"abstract":"We use a dynamic factor model to disentangle changes in prices due to economy-wide (common) shocks, from changes in prices due to idiosyncratic shocks. Using 146 disaggregated individual price series from the U.S. PCE price index, we find that most of the fluctuations in core PCE prices observed since 2010 have been idiosyncratic in nature. Moreover, we find that common core inflation responds to economic slack, while the idiosyncratic component does not. That said, even after filtering out idiosyncratic factors, the estimated Phillips curve is extremely flat post-1995. Therefore, our results suggest that the flattening of the Phillips curve is the result of macroeconomic forces.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124174363","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
下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信