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(Re-)Connecting Inflation and the Labor Market: A Tale of Two Curves (重新）连接通货膨胀与劳动力市场：两条曲线的故事
Finance and economics discussion series Pub Date : 2024-07-01 DOI: 10.17016/feds.2024.050
Hie Joo Ahn, Jeremy B. Rudd
{"title":"(Re-)Connecting Inflation and the Labor Market: A Tale of Two Curves","authors":"Hie Joo Ahn, Jeremy B. Rudd","doi":"10.17016/feds.2024.050","DOIUrl":"https://doi.org/10.17016/feds.2024.050","url":null,"abstract":"We propose an empirical framework in which shocks to worker reallocation, aggregate activity, and labor supply drive the joint dynamics of labor market outcomes and inflation, and where reallocation shocks take two forms depending on whether they result from quits or from job loss. In order to link our approach with previous theoretical and empirical work, we extend the procedure for estimating a Bayesian sign-restricted VAR so that priors can be directly imposed on the VAR's impact matrix. We find that structural shocks that shift the Beveridge curve have different effects on inflation. Our model allows us to fully decompose movements of or along the empirical Beveridge curve in terms of the contribution of each shock and also allows us to estimate the Phillips correlation associated with each shock; our results imply that observed Beveridge and Phillips correlations can change over time depending on what types of structural shocks predominate in a given period. Applying our model to the pandemic-related recession and recovery, we find that reallocation shocks were a key source of labor market dynamics during this period and explain how a post-pandemic ``soft landing,’’ in which inflation declined without a significant rise in unemployment, was possible.","PeriodicalId":496709,"journal":{"name":"Finance and economics discussion series","volume":"51 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141838922","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
Predicting Analysts’ S and P 500 Earnings Forecast Errors and Stock Market Returns using Macroeconomic Data and Nowcasts 利用宏观经济数据和即时预测预测分析师的 S 和 P 500 盈利预测误差和股市回报率
Finance and economics discussion series Pub Date : 2024-07-01 DOI: 10.17016/feds.2024.049
Steven A. Sharpe, Antonio Gil de Rubio Cruz
{"title":"Predicting Analysts’ S and P 500 Earnings Forecast Errors and Stock Market Returns using Macroeconomic Data and Nowcasts","authors":"Steven A. Sharpe, Antonio Gil de Rubio Cruz","doi":"10.17016/feds.2024.049","DOIUrl":"https://doi.org/10.17016/feds.2024.049","url":null,"abstract":"This study scrutinizes the quality of “bottom-up” forecasts of near-term S and P 500 Composite earnings, derived by aggregating analysts’ forecasts for individual firm-level earnings. We examine whether forecasts are broadly consistent with current macroeconomic conditions reflected in economists’ near-term outlook and other available data. To the contrary, we find that a simple macroeconomic model of aggregate S and P 500 earnings, coupled with GDP forecasts from the Blue Chip Survey and recent dollar exchange rate movements, can predict large and statistically significant errors in equity analysts’ bottom-up forecasts for S and P 500 earnings in the current quarter and the quarter ahead. This finding is robust to the requirement that our econometric model is calibrated using only data available at the time of forecast. Moreover, the discrepancy between the macro-model-based earnings forecasts and analysts’ forecasts has predictive power for 3-month-ahead stock returns","PeriodicalId":496709,"journal":{"name":"Finance and economics discussion series","volume":"45 7","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141844554","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
Targeted Relief: Geography and Timing of Emergency Rental Assistance 有针对性的救济：紧急租房援助的地理位置和时间安排
Finance and economics discussion series Pub Date : 2024-07-01 DOI: 10.17016/feds.2024.055
Theodore F. Figinski, Sydney Keenan, Richard Sweeney, Erin Troland
{"title":"Targeted Relief: Geography and Timing of Emergency Rental Assistance","authors":"Theodore F. Figinski, Sydney Keenan, Richard Sweeney, Erin Troland","doi":"10.17016/feds.2024.055","DOIUrl":"https://doi.org/10.17016/feds.2024.055","url":null,"abstract":"In response to the COVID-19 pandemic, Congress established the Emergency Rental Assistance (ERA) program, which provided nearly $45 billion to prevent evictions and increase housing stability. We provide new evidence on the implementation of ERA by examining the fine-grained geographic distribution of ERA funds and the timing of ERA expenditures by state and local governments. Using administrative data on ERA transactions, we find that ERA sent more funds per renting household to census tracts with higher pre-pandemic eviction filing rates, higher poverty rates, higher shares of Black renters, higher shares of renting households with children, and higher shares of renting single mothers. Our results suggest that ERA was largely successful in reaching communities that were most likely to have the highest risk of eviction. We also document that ERA spending increased substantially around the expiration of the federal eviction moratorium and at a time when eviction filings were increasing, which may confound quasi-experimental analysis of ERA.","PeriodicalId":496709,"journal":{"name":"Finance and economics discussion series","volume":"506 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141852538","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
HANK Comes of Age 汉克时代
Finance and economics discussion series Pub Date : 2024-07-01 DOI: 10.17016/feds.2024.052
Bence Bardóczy, Mateo Velásquez-Giraldo
{"title":"HANK Comes of Age","authors":"Bence Bardóczy, Mateo Velásquez-Giraldo","doi":"10.17016/feds.2024.052","DOIUrl":"https://doi.org/10.17016/feds.2024.052","url":null,"abstract":"We study the aggregate and distributional effects of monetary policy in a heterogeneous agent New Keynesian model that explicitly represents the life cycle of households. The model matches the age patterns in the level and dispersion of labor income and financial wealth in the U.S. despite the absence of preference heterogeneity and portfolio adjustment costs. Monetary policy affects the consumption of young households mainly through labor income and the consumption of old households mainly through asset returns. More than half of the aggregate consumption response to an expansionary monetary policy shock comes from those below the age of 40. The shock redistributes welfare from the wealthiest old to the poorest young and increases average welfare of most cohorts.","PeriodicalId":496709,"journal":{"name":"Finance and economics discussion series","volume":"309 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141852734","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
Insurers’ Investments and Insurance Prices 保险公司的投资和保险价格
Finance and economics discussion series Pub Date : 2024-07-01 DOI: 10.17016/feds.2024.058
Benjamin Knox, J. Sørensen
{"title":"Insurers’ Investments and Insurance Prices","authors":"Benjamin Knox, J. Sørensen","doi":"10.17016/feds.2024.058","DOIUrl":"https://doi.org/10.17016/feds.2024.058","url":null,"abstract":"We develop a theory that connects insurance prices, insurance companies’ investment behavior, and equilibrium asset prices. Consistent with the model’s predictions, we show empirically that (1) insurers with more stable insurance funding take more investment risk and, therefore, earn higher average investment returns; (2) insurers set lower prices on policies when expected investment returns are higher, both in the cross-section of insurance companies and in the time series. Our results hold for both life insurance and property and casualty insurance companies. The findings show that insurers’ asset allocation and product pricing decisions are more connected than previously thought.","PeriodicalId":496709,"journal":{"name":"Finance and economics discussion series","volume":"217 5","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141840107","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
Balance-Sheet Netting in U.S. Treasury Markets and Central Clearing 美国国债市场的资产负债表净额结算和中央结算
Finance and economics discussion series Pub Date : 2024-07-01 DOI: 10.17016/feds.2024.057
David Bowman, Yesol Huh, Sebastian Infante
{"title":"Balance-Sheet Netting in U.S. Treasury Markets and Central Clearing","authors":"David Bowman, Yesol Huh, Sebastian Infante","doi":"10.17016/feds.2024.057","DOIUrl":"https://doi.org/10.17016/feds.2024.057","url":null,"abstract":"In this paper, we provide a comprehensive investigation of the potential for expanded central clearing to reduce the costs of the supplementary leverage ratio (SLR) on Treasury market intermediation in both cash and repo markets. Combining a detailed analysis of the rules involved in calculating the SLR with a unique set of regulatory data, we conclude that expanding central clearing would have relatively limited effects on the level of SLRs. We do find intermediaries’ increase their balance sheet netting when their regulatory balance sheet costs are higher. Our data permits us to establish a number of empirical facts related to the noncentrally cleared bilateral (NCCB) repo segment, and to repo activity overall, at the bank holding company level. We find that sizeable amounts of bilaterally-cleared activity would not be nettable even if centrally cleared. We also find that a significant portion of activity is already nettable outside of central clearing because dealers are structuring their NCCB trades to net. While expanded central clearing could have other benefits, such as imposing a more uniform margin regime on Treasury market intermediation, the scope of its effects on reducing balance sheet costs associated with the leverage ratio is limited.","PeriodicalId":496709,"journal":{"name":"Finance and economics discussion series","volume":"86 6","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141843986","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
One Month Longer, One Month Later? Prepayments in the Auto Loan Market 长一个月，晚一个月？汽车贷款市场中的预付款
Finance and economics discussion series Pub Date : 2024-07-01 DOI: 10.17016/feds.2024.056
Bradley Katcher, Geng Li, Alvaro Mezza, Steve Ramos
{"title":"One Month Longer, One Month Later? Prepayments in the Auto Loan Market","authors":"Bradley Katcher, Geng Li, Alvaro Mezza, Steve Ramos","doi":"10.17016/feds.2024.056","DOIUrl":"https://doi.org/10.17016/feds.2024.056","url":null,"abstract":"We document a secular trend of increasing auto loan maturity from 30 months to over 70 months during the past 50 years, partly reflecting improved vehicle durability. Analyzing over half of the auto loans originated during the past 16 years, we find that longer-maturity new car loans have significantly higher interest rates with a yield curve much steeper than comparable-maturity Treasury securities. In addition, we show that the majority of auto loans were prepaid, including loans of zero-interest, and that many prepaying borrowers could have paid less interest by choosing loans of a shorter maturity. We argue that factors such as liquidity constraints, uncertainty about future income, and monthly payment targeting likely account for only a portion of borrowers' choice of long-maturity loans.","PeriodicalId":496709,"journal":{"name":"Finance and economics discussion series","volume":"12 6","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141849359","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
Why Have Long-term Treasury Yields Fallen Since the 1980s? Expected Short Rates and Term Premiums in (Quasi-) Real Time 为什么长期国债收益率自 20 世纪 80 年代以来一直在下降？实时（准）预期短期利率和期限溢价
Finance and economics discussion series Pub Date : 2024-07-01 DOI: 10.17016/feds.2024.054
Michael T. Kiley
{"title":"Why Have Long-term Treasury Yields Fallen Since the 1980s? Expected Short Rates and Term Premiums in (Quasi-) Real Time","authors":"Michael T. Kiley","doi":"10.17016/feds.2024.054","DOIUrl":"https://doi.org/10.17016/feds.2024.054","url":null,"abstract":"Treasury yields have fallen since the 1980s. Standard decompositions of Treasury yields into expected short-term interest rates and term premiums suggest term premiums account for much of the decline. In an alternative real-time decomposition, term premiums have fluctuated in a stable range, while long-run expected short-term interest rates have fallen. For example, a real-time decomposition of the 10-yr. Treasury yield shows term premiums essentially equal in late 2013 and 2023, while the long-run value of expected short-term interest rates is estimated to have fallen in a manner similar to the FOMC’s Summary of Economic Projections and estimates from research on long-run neutral interest rates. These results suggest standard decompositions may overstate the role of term premiums in fluctuations of the yield curve.","PeriodicalId":496709,"journal":{"name":"Finance and economics discussion series","volume":"46 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141850379","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
Optimal Design of Contingent Capital 或有资本的优化设计
Finance and economics discussion series Pub Date : 2024-07-01 DOI: 10.17016/feds.2024.051
Lionel Melin, Ahyan Panjwani
{"title":"Optimal Design of Contingent Capital","authors":"Lionel Melin, Ahyan Panjwani","doi":"10.17016/feds.2024.051","DOIUrl":"https://doi.org/10.17016/feds.2024.051","url":null,"abstract":"This paper proposes a parsimonious framework for designing contingent capital contracts (CoCos). CoCos designed this way (i) are either optimal or incentive compatible for equity holders, (ii) implement a unique equilibrium, and (iii) result in an optimal capital structure for the firm. We consider CoCos with equity conversion and write-down modalities. Equity conversion CoCos are optimal; write-down CoCos are incentive-compatible. Both types of CoCos can be implemented by exogenously specifying a capital ratio rule that triggers conversion and, hence, qualify as additional tier 1 (AT1) capital. A policymaker can use a normative criterion, e.g., capital ratio after conversion, to determine the desired capital ratio rule ex-ante. Given the policymaker's choice of the capital ratio rule, our model pins down the CoCo that respects (i), (ii), and (iii). We show that including such a CoCo in the firm's capital structure increases its optimal levered value while making it more resilient to bankruptcy. Lastly, CoCos in this framework are time-consistent. This characteristic alleviates the risk of renegotiation by stakeholders and removes the uncertainty of a discretionary trigger: precisely what spooked markets during the run on Credit Suisse in March 2023.","PeriodicalId":496709,"journal":{"name":"Finance and economics discussion series","volume":"40 164","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141843121","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
A New Measure of Climate Transition Risk Based on Distance to a Global Emission Factor Frontier 基于全球排放因子前沿距离的气候转变风险新衡量标准
Finance and economics discussion series Pub Date : 2024-04-01 DOI: 10.17016/feds.2024.017
Benjamin N. Dennis, T. Işcan
{"title":"A New Measure of Climate Transition Risk Based on Distance to a Global Emission Factor Frontier","authors":"Benjamin N. Dennis, T. Işcan","doi":"10.17016/feds.2024.017","DOIUrl":"https://doi.org/10.17016/feds.2024.017","url":null,"abstract":"Targeted financing of transition to a \"net zero\" global economy entails climate transition risk. We propose a measure of transition risk at the country-sector dyad level composed of five tiers of transition risk based on two factors: i) the gap between a dyad's existing emission factor (EF) – a measure of the greenhouse gas intensity of output – and the global 'frontier' sectoral EF, and ii) a dyad's recent convergence towards the frontier EF. Dyads that are either close to the frontier or converging towards the frontier carry lower transition risk. Our measure, using 45 sectors across 66 countries, accounts for both direct greenhouse gas emissions as well as those that enter into production through complex supply chains as captured by intercountry, input-output tables, and can be applied at different levels of stringency to high-, middle-, and low-income economies. Our measure thus accounts for, and sheds light on, EF reductions through investment in lower emissions production techniques in own facilities as well as sourcing intermediate inputs with lower embodied emissions.","PeriodicalId":496709,"journal":{"name":"Finance and economics discussion series","volume":"236 ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140757063","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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