Federal Reserve Bank of Dallas, Working Papers最新文献

{"title":"Entry and Exit, Unemployment, and the Business Cycle","authors":"Joshua D. Bernstein, A. W. Richter, Nathaniel A. Throckmorton","doi":"10.24149/WP2018R1","DOIUrl":"https://doi.org/10.24149/WP2018R1","url":null,"abstract":"Establishment entry and exit is strongly correlated with output and unemployment. This paper examines how these linkages affect business cycle dynamics through the lens of a search and matching model augmented to include multi-worker establishments that endogenously enter and exit. Analytical results show cyclical entry and exit cause reallocation of inputs that amplifies and skews business cycle dynamics. When the model is calibrated to the data, it generates realistic asymmetry in output and unemployment, data-consistent counter-cyclical endogenous uncertainty, and a 55% higher welfare cost than the model without entry and exit.","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"1 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":"129172423","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}

{"title":"The Labor Market Impact of a Pandemic: Validation and Application of a Do-It-Yourself CPS","authors":"Alexander Bick, A. Blandin","doi":"10.2139/ssrn.3751348","DOIUrl":"https://doi.org/10.2139/ssrn.3751348","url":null,"abstract":"The Current Population Survey (CPS) is a central source of U.S. labor market data. We show that, for a few thousand dollars, researchers can quickly design and implement their own online survey to supplement the CPS. The survey closely follows core features of the CPS, ensuring that outcomes are conceptually compatible and allowing researchers to weight and validate results using the official CPS. Yet the survey also allows for faster data collection, added flexibility and novel questions. We show that the survey provided useful estimates of U.S. labor market aggregates several weeks ahead of the CPS during the turbulent start of the COVID-19 recession. We then assess the extent of downward nominal wage rigidity at the onset of the pandemic, finding that wage reductions were widespread, but were more common for job-switchers and recalled workers. We discuss a wide range of additional applications.","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131551384","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}

{"title":"The Contribution of Jump Activity and Sign to Forecasting Stock Price Volatility","authors":"Ru Bu, Rodrigo Hizmeri, M. Izzeldin, A. Murphy, M. Tsionas","doi":"10.24149/wp1902r1","DOIUrl":"https://doi.org/10.24149/wp1902r1","url":null,"abstract":"This paper proposes a novel approach to decompose realized jump measures by type of activity (finite/infinite) and by sign. We also provide noise-robust versions of the ABD jump test (Andersen et al. 2007) and realized semivariance measures for use at high frequency sampling intervals. The volatility forecasting exercise involves the use of different types of jumps, forecast horizons, sampling frequencies, calendar and transaction time-based sampling schemes, as well as standard and noise-robust volatility measures. We find that infinite (finite) jumps improve the forecasts at shorter (longer) horizons; but the contribution of signed jumps is limited. Noise-robust estimators, that identify jumps in the presence of microstructure noise, deliver substantial forecast improvements at higher sampling frequencies. However, standard volatility measures at the 300-second frequency generate the smallest MSPEs. Since no single model dominates across sampling frequency and forecast horizon, we show that model averaged volatility forecasts - using time-varying weights and models from the model confidence set - generally outperform forecasts from both the benchmark and single best extended HAR model.","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"51 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":"123779907","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}

{"title":"Haste Makes Waste: Banking Organization Growth and Operational Risk","authors":"W. Frame, Ping McLemore, Atanas Mihov","doi":"10.24149/wp2023","DOIUrl":"https://doi.org/10.24149/wp2023","url":null,"abstract":"This study shows that banking organization growth is associated with higher operational losses per dollar of total assets and incidence of tail risks. Event studies using M&A activity and instrumental variable regressions provide consistent evidence. The relationship between banking organization growth and operational risk varies by loss event types and balance sheet categories. We demonstrate that higher growth predicts worse operational risk realizations during the global financial crisis. These findings have implications for bank performance, risk management and supervision in a continually consolidating banking industry.","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"87 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115022791","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}

{"title":"Quantitative Easing and Financial Risk Taking: Evidence from Agency Mortgage REITs","authors":"W. Frame, Eva Steiner","doi":"10.24149/wp2020","DOIUrl":"https://doi.org/10.24149/wp2020","url":null,"abstract":"An emerging literature documents a link between central bank quantitative easing (QE) and financial institution credit risk-taking. This paper tests the complementary hypothesis that QE may also affect financial risk-taking. We study Agency MREITs – levered shadow banks that invest in guaranteed U.S. Agency mortgage-backed securities (MBS) principally funded with repo debt. We show that Agency MREIT growth is inversely related to the Federal Reserve’s Agency MBS purchases, reflecting investor portfolio rebalancing. We also find that these institutions increased leverage during the later stages of QE, consistent with “reaching for yield” behavior. Agency MREITs seem to concurrently adjust their liquidity and interest rate risk profiles.","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132900467","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}

{"title":"Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors","authors":"Sílvia Gonçalves, Ana María Herrera, L. Kilian, E. Pesavento","doi":"10.24149/wp2019","DOIUrl":"https://doi.org/10.24149/wp2019","url":null,"abstract":"Abstract We study the construction of nonlinear impulse responses in linear structural dynamic models that include nonlinearly transformed regressors. We derive the closed-form solution for the population impulse responses to a given shock and propose a control function approach to estimating these responses without taking a stand on how the remainder of the model is identified. Our plug-in estimator dispenses with the need for simulations and, unlike conventional local projection (LP) estimators, is consistent. A modified LP estimator is shown to be consistent in special cases, but less accurate in finite samples than the plug-in estimator.","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130211694","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}

{"title":"Entry and Exit, Unemployment, and Macroeconomic Tail Risk","authors":"Joshua D. Bernstein, A. W. Richter, Nathaniel A. Throckmorton","doi":"10.24149/wp2018","DOIUrl":"https://doi.org/10.24149/wp2018","url":null,"abstract":"This paper builds a nonlinear business cycle model with endogenous firm entry and exit and equilibrium unemployment. The entry and exit mechanism generates asymmetry and amplifies the transmission of productivity shocks, exposing the economy to significant tail risk. When calibrating the rates of entry and exit to match their shares of job creation and destruction, our quantitative model generates higher-order moments consistent with U.S. data. Firm exit particularly amplifies the severity and persistence of deep recessions such as the COVID-19 crisis. In the absence of entry and exit, the model generates almost no asymmetry or tail risk.","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127936407","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}

{"title":"The Shale Revolution and the Dynamics of the Oil Market","authors":"Nathan S. Balke, Xin Jin, Mine K. Yücel","doi":"10.24149/wp2021","DOIUrl":"https://doi.org/10.24149/wp2021","url":null,"abstract":"We build and estimate a dynamic, structural model of the world oil market in order to quantify the impact of the shale revolution. We model the shale revolution as a dramatic decrease in shale production costs and explore how the resultant increase in shale production affects the level and volatility of oil prices over our sample. We find that oil prices in 2018 would have been roughly 36% higher had the shale revolution not occurred and that the shale revolution implies a reduction in current oil price volatility around 25% and a decline in long-run volatility of over 50%.","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124494793","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}

{"title":"Rationally Inattentive Savers and Monetary Policy Changes: A Laboratory Experiment","authors":"Andrea Civelli, Cary A. Deck, Antonella Tutino","doi":"10.24149/wp1915","DOIUrl":"https://doi.org/10.24149/wp1915","url":null,"abstract":"We study the response of consumption and saving decisions of rationally inattentive individuals to changes in monetary policy in the laboratory. First, we theoretically characterize the choices of a rationally inattentive agent processing information about the interest rate. Then, we design an experiment with induced inattention to test for the predictions of the model, contrasting them to the full information case. Consistent with the predictions, experimental subjects (a) increase attention when utility gains exceed cognitive costs of tracking the policy rate and decrease savings when their perceived economic outlook deteriorates; (b) respond to Delphic, but not Odyssean, forms of forward guidance. These ?ndings agree with recent empirical evidence on monetary policy e?ects on consumption behavior in U.S. and internationally.","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123793257","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}

{"title":"Making Sense of Increased Syncrhonization in Global Housing Prices","authors":"John V. Duca","doi":"10.24149/wp1911","DOIUrl":"https://doi.org/10.24149/wp1911","url":null,"abstract":"Purpose\u0000The purpose of this paper is to provide perspective on whether and why global metro house prices have become more synchronized, and perspective on the limited implications of this for investing in international real estate.\u0000\u0000\u0000Design/methodology/approach\u0000This paper reviews main findings from the literature on house price determination, reviews the emerging literature on global synchronization, and provides graphs to illustrate main points and trends.\u0000\u0000\u0000Findings\u0000House prices have become somewhat more synchronized likely reflecting greater correlation in long-term interest rates and macroeconomic cycles related to trends in globalization and international portfolio diversification. Nevertheless, this trend has not been continuous, reflecting that house prices depend on other fundamentals, which are not uniform across areas. Theory and evidence indicate that the more common are fundamentals, the more synchronized are house price cycles and the more substitution effects may matter. Also, real estate markets that are open to immigration and foreign investment have become more sensitive to shifts in the international demand for property by migrants or investors.\u0000\u0000\u0000Research limitations/implications\u0000Changes in international house price synchronization stem from variation in two categories of key drivers of house prices. The first are traditional supply and demand fundamentals. The second include international capital flows and immigration. Both sets of factors are sensitive to the economic environment and public policy. Increased synchronization of business cycles, the Euro currency union, and more common monetary policy strategies and tactics have fostered greater correlation of real interest rates across countries, which tend to increase house price synchronization. These effects can be amplified by the tendency for property owners to use extrapolative expectations of future house prices.\u0000\u0000\u0000Practical implications\u0000Shifts in prospective returns and the synchronization of international property returns not only on arbitrage of general property price differentials but also on underlying factors driving those differentials. Investors need to be mindful of the risks that metro prices sometimes reflect bubble-builder dynamics that can give rise to over-shooting of house prices. Observing simple correlations and changes in those correlations does not do away with the need for careful analysis of property investment, and if anything, warrant analysis of both how and why one may observe changes in the extent to which international house prices is synchronized.\u0000\u0000\u0000Social implications\u0000Despite the rise of globalization and of new technologies, the author has seen substantial divergences in house prices emerge across gateway cities and metros in less vibrant areas within countries. These reflect not only the impact of stronger income and population in more tech, educated and global oriented cities but also changes in the demand for amenities toward more cultur","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127287888","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}