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The Fed’s “Ample-Reserves” Approach to Implementing Monetary Policy 美联储实施货币政策的“充足储备”方法
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2020-02-27 DOI: 10.17016/feds.2020.022
J. Ihrig, Zeynep Senyuz, G. Weinbach
{"title":"The Fed’s “Ample-Reserves” Approach to Implementing Monetary Policy","authors":"J. Ihrig, Zeynep Senyuz, G. Weinbach","doi":"10.17016/feds.2020.022","DOIUrl":"https://doi.org/10.17016/feds.2020.022","url":null,"abstract":"We describe the Federal Reserve’s (the Fed’s) approach to implementing monetary policy in an ample-reserves regime. We use a stylized model to explain the factors the Fed considers and the tools it uses to ensure interest rate control when the quantity of reserves is ample. Then, we take a close look at the Fed’s experience operating in this regime in the post-crisis period, both as it has raised and lowered its policy rate. Looking ahead, we highlight some considerations relevant for maintaining a level of reserves consistent with the efficient and effective implementation of monetary policy, and conclude with an overview of the benefits of an ample-reserves regime. This primer is intended to enhance discussions and understanding of the Fed’s actions and communications regarding monetary policy implementation, as many resources on this topic may be out of date given the recent evolution of the policy environment.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125427728","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: 17
The Increasing Deflationary Influence of Consumer Digital Access Services 消费者数字访问服务日益增长的通货紧缩影响
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2020-02-01 DOI: 10.17016/FEDS.2020.021r1
David M. Byrne, C. Corrado
{"title":"The Increasing Deflationary Influence of Consumer Digital Access Services","authors":"David M. Byrne, C. Corrado","doi":"10.17016/FEDS.2020.021r1","DOIUrl":"https://doi.org/10.17016/FEDS.2020.021r1","url":null,"abstract":"Consumer digital access services—internet, mobile phone, cable TV, and streaming—accounted for over 2 percent of U.S. household consumption in 2018. We construct prices for these services using direct measures of volume (data transmitted, talk time, and hours of programming). Our price index fell 12 percent per year from 1988 to 2018 while official prices moved up modestly. Using our digital services index, we estimate total personal consumption expenditure (PCE) prices have risen nearly 1/2 percentage point slower than the official index since 2008. Importantly, the spread between alternative and official PCE price inflation has increased noticeably over time.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"19 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":"133626439","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
Capacity Choice, Monetary Trade, and the Cost of Inflation 产能选择、货币交易与通货膨胀成本
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2020-02-01 DOI: 10.17016/feds.2020.019
Garth Baughman, Stanislav Rabinovich
{"title":"Capacity Choice, Monetary Trade, and the Cost of Inflation","authors":"Garth Baughman, Stanislav Rabinovich","doi":"10.17016/feds.2020.019","DOIUrl":"https://doi.org/10.17016/feds.2020.019","url":null,"abstract":"Abstract Both buyers and sellers in decentralized markets make investments ex ante that constrain trading possibilities ex post: buyers decide in advance how much money to carry, while sellers decide how much inventory to stock. We show that the interaction between these choices naturally leads to indeterminacy of equilibrium. When neither inflation nor the scrap value of unsold goods is high, there is a continuum of equilibria in which buyers and sellers coordinate on their choices of money balances and capacity. Furthermore, at low inflation rates, traded quantities are pinned down by the seller’s capacity choice, and inflation therefore has no effect on output and welfare. We also contrast our results with other environments with strategic complementarities and discuss how they depend on the pricing mechanism.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"26 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":"131865378","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
Bias in Local Projections 局部预测的偏差
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2020-01-01 DOI: 10.17016/feds.2020.010
Edward P. Herbst, B. Johannsen
{"title":"Bias in Local Projections","authors":"Edward P. Herbst, B. Johannsen","doi":"10.17016/feds.2020.010","DOIUrl":"https://doi.org/10.17016/feds.2020.010","url":null,"abstract":"Local projections (LPs) are a popular tool in macroeconomic research. We show that LPs are often used with very small samples in the time dimension. Consequently, LP point estimates can be severely biased. We derive simple expressions for this bias and propose a way to bias-correct LPs. Small sample bias can also lead autocorrelation-robust standard errors to dramatically understate sampling uncertainty. We argue they should be avoided in LPs like the ones we study. Using identified monetary policy shocks, we demonstrate that the bias in point estimates can be economically meaningful and the bias in standard errors can affect inference.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122082244","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
Consumption Heterogeneity: Micro Drivers and Macro Implications 消费异质性:微观驱动与宏观影响
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2020-01-01 DOI: 10.17016/feds.2020.005
E. Crawley, A. Kuchler
{"title":"Consumption Heterogeneity: Micro Drivers and Macro Implications","authors":"E. Crawley, A. Kuchler","doi":"10.17016/feds.2020.005","DOIUrl":"https://doi.org/10.17016/feds.2020.005","url":null,"abstract":"We document heterogeneity in the marginal propensity to consume (MPC) across household characteristics relevant to understanding heterogeneous agent models and monetary policy transmission. We find a strong negative relationship between household liquid wealth and MPC. We show that household liquid wealth predicts MPC closely for every other household characteristic we look at. We use a new empirical method that overcomes sources of bias found in the existing literature, along with administrative data from Denmark that allow us to identify heterogeneous behavior. We use our results to analyze monetary policy transmission mechanisms in both Denmark and the United States. (JEL D12, D31, E21, E43, E52, G51)","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130309436","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
Monetary Policy Implementation with an Ample Supply of Reserves 在储备充足的情况下实施货币政策
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2020-01-01 DOI: 10.29338/wp2020-02
Gara M. Afonso, Kyungmin Kim, Antoine Martin, Ed Nosal, Simon M. Potter, Sam Schulhofer-Wohl
{"title":"Monetary Policy Implementation with an Ample Supply of Reserves","authors":"Gara M. Afonso, Kyungmin Kim, Antoine Martin, Ed Nosal, Simon M. Potter, Sam Schulhofer-Wohl","doi":"10.29338/wp2020-02","DOIUrl":"https://doi.org/10.29338/wp2020-02","url":null,"abstract":"Methods of monetary policy implementation continue to change. The level of reserve supply---scarce, abundant, or somewhere in between---has implications for the efficiency and effectiveness of an implementation regime. The money market events of September 2019 highlight the need for an analytical framework to better understand implementation regimes. We discuss major issues relevant to the choice of an implementation regime, using a parsimonious framework and drawing from the experience in the United States since the 2007-09 financial crisis. We find that the optimal level of reserve supply likely lies somewhere between scarce and abundant reserves, thus highlighting the benefits of implementation with what could be called \"ample\" reserves. The Federal Reserve's announcement in October 2019 that it would maintain a level of reserve supply greater than the one that prevailed in early September is consistent with the implications of our framework.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122939293","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: 11
The Global Equilibrium Real Interest Rate: Concepts, Estimates, and Challenges 全球均衡实际利率:概念、估计和挑战
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2019-11-01 DOI: 10.17016/FEDS.2019.076
Michael T. Kiley
{"title":"The Global Equilibrium Real Interest Rate: Concepts, Estimates, and Challenges","authors":"Michael T. Kiley","doi":"10.17016/FEDS.2019.076","DOIUrl":"https://doi.org/10.17016/FEDS.2019.076","url":null,"abstract":"Real interest rates have been persistently below historical norms over the past decade, leading economists and policy makers to view the equilibrium real interest rate as likely to be low for some time. Various definitions and approaches to estimating the equilibrium real interest rate are examined, including approaches based on the term structure of interest rates and small macroeconomic models. The individual country approaches common in the literature are extended to allow for global trend and cyclical factors. The analysis finds that global factors dominate the downward trend in the equilibrium interest rate across 13 advanced economies. A corollary of this finding is that the U.S. equilibrium rate can be informed by global developments and is recently lower than estimated in U.S.-only studies. The analysis also highlights how the common global trend confounds empirical assessments of the determinants of movements in the equilibrium rate and the need to better integrate term-structure and macroeconomic approaches.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129049851","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: 27
A Coherent Framework for Predicting Emerging Market Credit Spreads with Support Vector Regression 基于支持向量回归的新兴市场信贷息差预测框架
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2019-10-17 DOI: 10.17016/FEDS.2019.074
G. Anderson, A. Audzeyeva
{"title":"A Coherent Framework for Predicting Emerging Market Credit Spreads with Support Vector Regression","authors":"G. Anderson, A. Audzeyeva","doi":"10.17016/FEDS.2019.074","DOIUrl":"https://doi.org/10.17016/FEDS.2019.074","url":null,"abstract":"We propose a coherent framework using support vector regression (SRV) for generating and ranking a set of high quality models for predicting emerging market sovereign credit spreads. Our framework adapts a global optimization algorithm employing an hv-block cross-validation metric, pertinent for models with serially correlated economic variables, to produce robust sets of tuning parameters for SRV kernel functions. In contrast to previous approaches identifying a single \"best\" tuning parameter setting, a task that is pragmatically improbable to achieve in many applications, we proceed with a collection of tuning parameter candidates, employing the Model Confidence Set test to select the most accurate models from the collection of promising candidates. Using bond credit spread data for three large emerging market economies and an array of input variables motivated by economic theory, we apply our framework to identify relatively small sets of SVR models with su perior out-of-sample forecasting performance. Benchmarking our SRV forecasts against random walk and conventional linear model forecasts provides evidence for the notably superior forecasting accuracy of SRV-based models. In contrast to routinely used linear model benchmarks, the SRV-based models can generate accurate forecasts using only a small set of input variables limited to the country-specific credit-spread-curve factors, lending some support to the rational expectation theory of the term structure in the context of emerging market credit spreads. Consequently, our evidence indicates a better ability of highly flexible SVR to capture investor expectations about future spreads reflected in today's credit spread curve.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125716166","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
The Welfare Costs of Misaligned Incentives: Energy Inefficiency and the Principal-Agent Problem 错位激励的福利成本:能源效率低下与委托代理问题
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2019-09-01 DOI: 10.17016/FEDS.2019.071
Joshua A. Blonz
{"title":"The Welfare Costs of Misaligned Incentives: Energy Inefficiency and the Principal-Agent Problem","authors":"Joshua A. Blonz","doi":"10.17016/FEDS.2019.071","DOIUrl":"https://doi.org/10.17016/FEDS.2019.071","url":null,"abstract":"In many settings, misaligned incentives and inadequate monitoring lead employees to take self-interested actions contrary to their employer's wishes, giving rise to the classic principal-agent problem. In this paper, I identify and quantify the costs of misaligned incentives in the context of an energy efficiency appliance replacement program. I show that contractors (agents) hired by the electric utility (the principal) increase their compensation by intentionally misreporting program data to deliberately authorize replacement of non-qualified refrigerators. I provide empirical estimates of the impacts of misaligned incentives on (1) the effectiveness of energy efficiency retrofits and (2) welfare. I estimate that unqualified replacements reduce welfare by an average of $106 and save only half as much electricity as replacements that follow program guidelines. The same program without a principal-agent distortion would increase welfare by $60 per replacement. The resul ts provide novel evidence of how principal-agent distortions in the implementation of a potentially beneficial program can undermine its value.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"35 7","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113943750","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
A Simple Model of Voluntary Reserve Targets with Tolerance Bands 带有容忍带的自愿储备目标的简单模型
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2019-08-01 DOI: 10.17016/FEDS.2019.060
Garth Baughman, Francesca Carapella
{"title":"A Simple Model of Voluntary Reserve Targets with Tolerance Bands","authors":"Garth Baughman, Francesca Carapella","doi":"10.17016/FEDS.2019.060","DOIUrl":"https://doi.org/10.17016/FEDS.2019.060","url":null,"abstract":"This note presents a simplifed version of the model of voluntary reserve targets (VRT) developed in Baughman and Carapella (forthcoming), with a Walrasian interbank market. First, the model makes transparent the role of target setting in controlling the market rate. Second, the simplicity of the model allows for an analysis of the interaction between VRT and tolerance bands, which are a common tool for controlling rate variability. We find that the persistent overshooting of interbank rates observed during the Bank of England's experiment with VRT may derive from the interaction between target setting and tolerance bands, a new explanation relative to the literature. We also suggest a simple remedy.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"81 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117266899","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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