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Identification of Monetary Policy Shocks with External Instrument SVAR 用外部工具SVAR识别货币政策冲击
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2017-11-28 DOI: 10.17016/FEDS.2017.113
Kyungmin Kim
{"title":"Identification of Monetary Policy Shocks with External Instrument SVAR","authors":"Kyungmin Kim","doi":"10.17016/FEDS.2017.113","DOIUrl":"https://doi.org/10.17016/FEDS.2017.113","url":null,"abstract":"We explore the use of external instrument SVAR to identify monetary policy shocks. We identify a forward guidance shock as the monetary shock component having zero instant impact on the policy rate. A contractionary forward guidance shock raises both future output and price level, stressing the relative importance of revealing policymakers' view on future output and price level over committing to a policy stance. We also decompose non-monetary structural shocks, and find that positive shocks to output and price level lead to monetary contraction. Since information on output and price level is revealed through both monetary and non-monetary channels, some monetary and non-monetary shocks can look alike, leading to linear dependence and violating usual instrument SVAR assumptions. We show that some of the main findings are robust to such dependence.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116465038","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
Mechanics of Linear Quadratic Gaussian Rational Inattention Tracking Problems 线性二次高斯有理不注意跟踪问题的力学
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2017-11-03 DOI: 10.17016/FEDS.2017.109
Chad Fulton
{"title":"Mechanics of Linear Quadratic Gaussian Rational Inattention Tracking Problems","authors":"Chad Fulton","doi":"10.17016/FEDS.2017.109","DOIUrl":"https://doi.org/10.17016/FEDS.2017.109","url":null,"abstract":"This paper presents a general framework for constructing and solving the multivariate static linear quadratic Gaussian (LQG) rational inattention tracking problem. We interpret the nature of the solution and the implied action of the agent, and we construct representations that formalize how the agent processes data. We apply this infrastructure to the rational inattention price-setting problem, confirming the result that a conditional response to economics shocks is possible, but casting doubt on a common assumption made in the literature. We show that multiple equilibria and a social cost of increased attention can arise in these models. We consider the extension to the dynamic problem and provide an approximate solution method that achieves low approximation error for many applications found in the LQG rational inattention literature.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"168 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132293968","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
Measuring Mortgage Credit Availability: A Frontier Estimation Approach 衡量抵押信贷可用性:一种前沿估计方法
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2017-09-29 DOI: 10.17016/FEDS.2017.101
Elliot Anenberg, Aurel Hizmo, Edward Kung, Raven S. Molloy
{"title":"Measuring Mortgage Credit Availability: A Frontier Estimation Approach","authors":"Elliot Anenberg, Aurel Hizmo, Edward Kung, Raven S. Molloy","doi":"10.17016/FEDS.2017.101","DOIUrl":"https://doi.org/10.17016/FEDS.2017.101","url":null,"abstract":"We construct a new measure of mortgage credit availability that describes the maximum amount obtainable by a borrower of given characteristics. We estimate this \"loan frontier\" using mortgage originations data from 2001 to 2014 and show that it reflects a binding borrowing constraint. Our estimates reveal that the expansion of mortgage credit during the housing boom was substantial for all borrowers, not only for low-score or low-income borrowers. The contraction was most pronounced for low-score borrowers. Using variation in the frontier across metropolitan areas over time, we show that borrowing constraints played an important role in the recent housing cycle.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128595901","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
Common Factors, Trends, and Cycles in Large Datasets 大数据集中的共同因素、趋势和周期
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2017-09-05 DOI: 10.17016/FEDS.2017.111
Matteo Barigozzi, Matteo Luciani
{"title":"Common Factors, Trends, and Cycles in Large Datasets","authors":"Matteo Barigozzi, Matteo Luciani","doi":"10.17016/FEDS.2017.111","DOIUrl":"https://doi.org/10.17016/FEDS.2017.111","url":null,"abstract":"This paper considers a non-stationary dynamic factor model for large datasets to disentangle long-run from short-run co-movements. We first propose a new Quasi Maximum Likelihood estimator of the model based on the Kalman Smoother and the Expectation Maximisation algorithm. The asymptotic properties of the estimator are discussed. Then, we show how to separate trends and cycles in the factors by mean of eigenanalysis of the estimated non-stationary factors. Finally, we employ our methodology on a panel of US quarterly macroeconomic indicators to estimate aggregate real output, or Gross Domestic Output, and the output gap.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"153 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128556684","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
Faster Payments: Market Structure and Policy Considerations 更快的支付:市场结构和政策考虑
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2017-09-01 DOI: 10.17016/FEDS.2017.100
Aaron Rosenbaum, Garth Baughman, Mark D. Manuszak, Kylie Stewart, Fumiko Hayashi, J. Stavins
{"title":"Faster Payments: Market Structure and Policy Considerations","authors":"Aaron Rosenbaum, Garth Baughman, Mark D. Manuszak, Kylie Stewart, Fumiko Hayashi, J. Stavins","doi":"10.17016/FEDS.2017.100","DOIUrl":"https://doi.org/10.17016/FEDS.2017.100","url":null,"abstract":"The U.S. payments industry is in the process of developing ubiquitous, safe, faster electronic solutions for making a broad variety of business and personal payments. How this market for faster payments will evolve will be shaped by a range of economic forces, such as economies of scale and scope, network effects, switching costs, and product differentiation. Emerging technologies could alter these forces and lead to new organizational arrangements or market structures that are different from those in legacy payment markets to date. In light of this uncertainty, this paper examines three hypothetical market structures that may emerge: a dominant operator environment, a multi-operator environment, and a decentralized environment. Each of these market structures has different implications for the public policy objectives of efficiency, safety, and ubiquity. The paper also considers tools to promote positive outcomes in each market structure.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133778957","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
Firm Leverage, Labor Market Size, and Employee Pay 企业杠杆、劳动力市场规模和员工薪酬
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2017-08-08 DOI: 10.17016/FEDS.2017.078
Timothy E. Dore, Rebecca Zarutskie
{"title":"Firm Leverage, Labor Market Size, and Employee Pay","authors":"Timothy E. Dore, Rebecca Zarutskie","doi":"10.17016/FEDS.2017.078","DOIUrl":"https://doi.org/10.17016/FEDS.2017.078","url":null,"abstract":"We provide new estimates of the wage costs of firms' debt. Our empirical approach exploits within-firm geographical variation in workers' expected unemployment costs due to variation in local labor market size and uses a large representative sample of public firms. We find that, following an increase in firm leverage, workers with higher unemployment costs experience higher wage growth relative to workers at the same firm with lower unemployment costs. Overall, our estimates suggest that a 10 percentage point increase in leverage increases wage compensation for the median worker by 1.9% and total firm wage costs by 17 basis points of firm value.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"181 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116416623","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
Exporting and Frictions in Input Markets: Evidence from Chinese Data 输入市场的出口与摩擦:来自中国数据的证据
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2017-08-01 DOI: 10.17016/FEDS.2017.077
Maria D. Tito, Ruoying Wang
{"title":"Exporting and Frictions in Input Markets: Evidence from Chinese Data","authors":"Maria D. Tito, Ruoying Wang","doi":"10.17016/FEDS.2017.077","DOIUrl":"https://doi.org/10.17016/FEDS.2017.077","url":null,"abstract":"This paper investigates the impact of international trade on input market distortions. We focus on a specific friction, binding borrowing constraints in capital markets. We propose a theoretical model where a firm's demand for capital is constrained by an initial asset allocation and past sales. While the initial distribution of assets induces misallocation if the asset endowment at more productive firms does not fully cover their demand for capital, the dependence of the borrowing constraint from past sales proxies for cross-firm differences in the cost of default, which is empirically higher at larger firms. Overtime, an increase in sales relaxes the borrowing constraint; similarly, shocks to market access--such as opening to trade--contribute to easing the financial constraints, thus accelerating the convergence toward the frictionless allocation. To analyze the empirical relationship between market access and credit frictions, we draw on the annual surveys conducted by the Chinese National Bureau of Statistics (NBS) for 1998 to 2007, and we construct firm-level measures of distortions that control for firm heterogeneity. We find smaller labor and capital distortions across exporting firms; such distortions are even smaller in sectors where firms face lower tariffs or are more dependent on external financing, a proxy for the presence of binding financial constraints. Our empirical analysis also shows that export shocks significantly reduce the dispersion across input returns over time, with the effect mostly occurring at constrained firms. Our findings point to within-sector input reallocation as an important channel to overcome misallocation in open economies.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125277839","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: 4
Credit Scores, Social Capital, and Stock Market Participation 信用评分、社会资本和股票市场参与
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2017-02-01 DOI: 10.17016/FEDS.2017.008
Jesse Bricker, Geng Li
{"title":"Credit Scores, Social Capital, and Stock Market Participation","authors":"Jesse Bricker, Geng Li","doi":"10.17016/FEDS.2017.008","DOIUrl":"https://doi.org/10.17016/FEDS.2017.008","url":null,"abstract":"While a rapidly growing body of research underscores the influence of social capital on financial decisions and economic developments, objective data-based measurements of social capital are lacking. We introduce average credit scores as an indicator of a community's social capital and present evidence that this measure is consistent with, but richer and more robust than, those used in the existing literature, such as electoral participation, blood donations, and survey-based measures. Merging unique proprietary credit score data with two nationwide representative household surveys, we show that households residing in communities with higher social capital are more likely to invest in stocks, even after controlling for a rich set of socioeconomic, preferential, neighborhood, and demographic characteristics. Notably, such a relationship is robustly observed only when social capital is measured using community average credit scores. Consistent with the notion that social capital and trust promote stock investment, we find the following: first, the association between average credit score and stock ownership is more pronounced among the lower educated; second, social capital levels of the county where one grew up appear to have a lasting influence on future stock investment; and third, investors who did not own stocks before have a greater chance of entering the stock market a few years after they relocate to higher-score communities.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"3 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113977998","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: 13
To Build or to Buy? The Role of Local Information in Credit Market Development 建造还是购买?地方信息在信贷市场发展中的作用
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2016-08-10 DOI: 10.17016/FEDS.2017.013
Teng Wang
{"title":"To Build or to Buy? The Role of Local Information in Credit Market Development","authors":"Teng Wang","doi":"10.17016/FEDS.2017.013","DOIUrl":"https://doi.org/10.17016/FEDS.2017.013","url":null,"abstract":"Exploiting the heterogeneity in legal constraints on local bank employees' mobility, I show that access to local information influences banks' modes of expansion. Banks entering a new market typically establish new branches directly when interbank labor mobility is less restrictive but acquire incumbent branches otherwise. The treatment effect is strengthened when information asymmetries between local and entrants are severe. Furthermore, I find a surge in the total amount of local small business and mortgage loans granted, a higher mortgage approval rate, and a reduction of mortgage rates by surrounding incumbent branches, precisely around the period of entrants establishing new branches, which indicate intensified competition among banks.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126524749","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: 7
Macroeconomic Forecasting in Times of Crises 危机时期的宏观经济预测
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2016-07-18 DOI: 10.17016/FEDS.2017.018
Pablo A. Guerrón-Quintana, M. Zhong
{"title":"Macroeconomic Forecasting in Times of Crises","authors":"Pablo A. Guerrón-Quintana, M. Zhong","doi":"10.17016/FEDS.2017.018","DOIUrl":"https://doi.org/10.17016/FEDS.2017.018","url":null,"abstract":"We propose a parsimonious semiparametric method for macroeconomic forecasting during episodes of sudden changes. Based on the notion of clustering and similarity, we partition the time series into blocks, search for the closest blocks to the most recent block of observations, and with the matched blocks we proceed to forecast. One possibility is to compare local means across blocks, which captures the idea of matching directional movements of a series. We show that our approach does particularly well during the Great Recession and for variables such as inflation, unemployment, and real personal income. When supplemented with information from housing prices, our method consistently outperforms parametric linear, nonlinear, univariate, and multivariate alternatives for the period 1990 - 2015.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"120 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116573926","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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