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  1. Measuring corporate bond market dislocations
    Autor*in: Boyarchenko, Nina; Crump, Richard K.; Kovner, Anna; Shachar, Or
    Erschienen: [2021]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    We measure dislocations in the market for corporate bonds in real time with the Corporate Bond Market Distress Index (CMDI), allowing for the aggregation of a broad set of measures of market functioning from primary and secondary bond markets into a... mehr

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    DS 207
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    We measure dislocations in the market for corporate bonds in real time with the Corporate Bond Market Distress Index (CMDI), allowing for the aggregation of a broad set of measures of market functioning from primary and secondary bond markets into a single measure. The index quantifies dislocations from a preponderance-of-metrics perspective, ensuring that the measure of market distress is not driven by any one statistic. We document that the index correctly identifies periods of dislocations, is robust to alternative choices of the aggregation procedure, and provides differential predictive information for future real outcomes relative to common spread measures.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/241150
    Auflage/Ausgabe: Revised July 2021
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 957 (July 2021)
    Schlagworte: corporate bond market conditions; corporate bond spreads; corporate bond issuance; corporate bond liquidity
    Umfang: 1 Online-Ressource (circa 72 Seiten), Illustrationen
  2. A large Bayesian VAR of the United States Economy
    Autor*in: Crump, Richard K.; Eusepi, Stefano; Giannone, Domenico; Qian, Eric; Sbordone, Argia M.
    Erschienen: [2021]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are... mehr

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    We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are tracked by the Federal Reserve. We show how the model can be used for understanding key features of the data, constructing counterfactual scenarios, and evaluating the macroeconomic environment both retrospectively and prospectively. Considering its breadth and versatility for policy applications, our modeling approach gives a reliable, reduced form alternative to structural models.

     
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    Weitere Identifier:
    hdl: 10419/247899
    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; no. 976 (August 2021)
    Schlagworte: bayesian vector autoregressions; conditional forecasts; scenario analyses; financial conditions index
    Umfang: 1 Online-Ressource (circa 66 Seiten), Illustrationen
  3. The Commercial Paper Funding Facility
    Autor*in: Boyarchenko, Nina; Crump, Richard K.; Kovner, Anna; Leonard, Deborah
    Erschienen: [2021]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    The Federal Reserve reestablished the Commercial Paper Funding Facility (CPFF 2020) in response to the disruptions in the commercial paper market triggered by the COVID-19 pandemic and subsequent economic shutdowns. The CPFF 2020 was designed to... mehr

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    The Federal Reserve reestablished the Commercial Paper Funding Facility (CPFF 2020) in response to the disruptions in the commercial paper market triggered by the COVID-19 pandemic and subsequent economic shutdowns. The CPFF 2020 was designed to support market functioning and provide a liquidity backstop for the commercial paper market. This paper provides an overview of the CPFF 2020, including detailing the facility's design, documenting its usage, and describing its impact on commercial paper markets. In addition, we compare the market conditions and facility design in CPFF 2020 to that of the original CPFF facility.

     
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    Weitere Identifier:
    hdl: 10419/247905
    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; no. 982 (September 2021)
    Schlagworte: Federal Reserve; commercial paper market; CPFF; Federal Reserve lending facilities
    Umfang: 1 Online-Ressource (circa 13 Seiten), Illustrationen
  4. The Primary and Secondary Corporate Credit facilities
    Autor*in: Boyarchenko, Nina; Cox, Caren; Crump, Richard K.; Danzig, Andrew; Kovner, Anna; Shachar, Or; Steiner, Patrick
    Erschienen: [2021]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    The Federal Reserve introduced the Primary Market Corporate Credit Facility (PMCCF) and the Secondary Market Corporate Credit Facility (SMCCF) in response to the severe disruptions in corporate bond markets triggered by the COVID-19 pandemic and... mehr

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    DS 207
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    The Federal Reserve introduced the Primary Market Corporate Credit Facility (PMCCF) and the Secondary Market Corporate Credit Facility (SMCCF) in response to the severe disruptions in corporate bond markets triggered by the COVID-19 pandemic and subsequent economic shutdowns. The Corporate Credit Facilities (CCFs) were designed to work together to restore functioning of credit markets, with an overarching goal of facilitating credit provision to the non-financial corporate sector of the U.S. economy. This paper provides an overview of the CCFs, including detailing the facilities' design, documenting their operations and usage, and describing their impact on corporate bond markets.

     
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    Weitere Identifier:
    hdl: 10419/247909
    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; no. 986 (September 2021)
    Schlagworte: Federal Reserve; corporate bond markets; corporate credit facilities; PMCCF; SMCCF; Federal Reserve lending facilities
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  5. The term structure of expectations
    Autor*in: Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel; Preston, Bruce
    Erschienen: [2021]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    Economic theory predicts that intertemporal decisions depend critically on expectations about future outcomes. Using the universe of professional survey forecasts for the United States, we document the behavior of the entire term structure of... mehr

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    Economic theory predicts that intertemporal decisions depend critically on expectations about future outcomes. Using the universe of professional survey forecasts for the United States, we document the behavior of the entire term structure of expectations for output growth, inflation, and the policy rate. We show that a simple unobserved components model of the trend and cycle explains the joint behavior of both consensus measures of expectations and the observed disagreement among individual forecasters. Importantly, univariate models of each variable are outperformed by a multivariate model of the joint dynamics of these three variables, particularly for nominal interest rates. Consistent with the data, the model predicts a link between revisions in long-run expectations to short-term forecast errors. In structural models, learning about the long run has important empirical and theoretical implications for monetary and fiscal policy.

     
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    Weitere Identifier:
    hdl: 10419/247915
    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; no. 992 (November 2021)
    Schlagworte: expectation formation; imperfect information; survey forecasts; shifting endpoint models; monetary policy; term premiums
    Umfang: 1 Online-Ressource (circa 74 Seiten), Illustrationen
  6. Fundamental disagreement about monetary policy and the term structure of interest rates
    Autor*in: Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel
    Erschienen: 02 August 2020
    Verlag:  Centre for Economic Policy Research, London

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    Standort:
    Universitätsbibliothek Mannheim
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    Schriftenreihe: Array ; DP15122
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  7. Unemployment rate benchmarks
    Autor*in: Crump, Richard K.; Nekarda, Christopher J.; Petrosky-Nadeau, Nicolas
    Erschienen: August 2020
    Verlag:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

    This paper discusses various concepts of unemployment rate benchmarks that are frequently used by policymakers for assessing the current state of the economy as it relates to the pursuit of both price stability and maximum employment. In particular,... mehr

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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    This paper discusses various concepts of unemployment rate benchmarks that are frequently used by policymakers for assessing the current state of the economy as it relates to the pursuit of both price stability and maximum employment. In particular, we propose two broad categories of unemployment rate benchmarks: (1) a longer-run unemployment rate expected to prevail after adjusting to business cycle shocks and (2) a stable-price unemployment rate tied to inflationary pressures. We describes how various existing measures used as benchmark rates fit within this taxonomy with the goal of facilitating the use of a common set of terms for assessments of the current state of the economy and deliberations among policymakers

     
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    Schriftenreihe: Finance and economics discussion series ; 2020, 072
    FEDS Working Paper ; No. 2020-072
    Umfang: 1 Online-Ressource (circa 19 Seiten)
  8. A unified approach to measuring u*
    Autor*in: Crump, Richard K.; Eusepi, Stefano; Giannoni, Marc Paolo; Şahin, Ayşegül
    Erschienen: June 2019
    Verlag:  National Bureau of Economic Research, Cambridge, MA

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    Schriftenreihe: Working paper series / National Bureau of Economic Research ; 25930
    Schlagworte: Natürliche Arbeitslosenquote; Messung; Arbeitsmarktstatistik; DSGE-Modell; Phillips-Kurve; Arbeitslosigkeit; USA
    Umfang: 66, 8 Seiten, Illustrationen
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  9. The Unemployment-Inflation Trade-off Revisited
    The Phillips Curve in COVID Times
    Autor*in: Crump, Richard K.; Eusepi, Stefano; Giannoni, Marc Paolo; Şahin, Ayşegül
    Erschienen: 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We estimate the natural rate of unemployment, often referred to as u*, in the United States using data on labor market flows, short-term and long-term inflation expectations and a forward-looking New-Keynesian Phillips curve for the 1960-2021 period.... mehr

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    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
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    Universitätsbibliothek Freiburg
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We estimate the natural rate of unemployment, often referred to as u*, in the United States using data on labor market flows, short-term and long-term inflation expectations and a forward-looking New-Keynesian Phillips curve for the 1960-2021 period. The natural rate of unemployment was at around 4.5% before the onset of the pandemic and increased to 5.9% by the end of 2021. This pronounced rise was primarily informed by strong wage growth rather than changes in inflation expectations. Despite the rise in the natural rate of unemployment, the secular trend of unemployment continued to fall and stands at around 4.2% reflecting ongoing secular developments which have been pushing down the unemployment rate over the last 30 years. Our model forecasts strong wage growth to moderate only sluggishly continuing to put upward pressure on inflation in the medium-run. We project underlying inflation to remain 0.5 percentage points above its long-run trend by the end of 2023 even if long-run inflation expectations remain well anchored Given the importance of wage growth for the inflation outlook, we examine detailed micro data on job-filling rates, posted wages for vacant positions, and workers' reservation wages. In particular, we construct a composition-bias free measure of wage growth at the employer-job level using Burning Glass Technologies data and document strong wage growth for both teleworkable and non-teleworkable jobs. Moreover, we find that workers' reservation wages increased substantially after the pandemic. Our empirical analysis suggests that the strong wage growth is likely not a one-time adjustment of additional compensation for jobs that pose health risks to workers but rather reflects a tight labor market accompanied with a changing work-leisure trade-off

     
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    Schriftenreihe: NBER working paper series ; no. w29785
    Schlagworte: Phillips-Kurve; Coronavirus; Inflationserwartung; Natürliche Arbeitslosenquote; Wirtschaftsprognose; USA
    Umfang: 1 Online-Ressource, illustrations (black and white)
    Bemerkung(en):

    Hardcopy version available to institutional subscribers
  10. A unified approach to measuring u
    Autor*in: Crump, Richard K.; Eusepi, Stefano; Giannoni, Marc Paolo; Şahin, Ayşegül
    Erschienen: 19 August 2019
    Verlag:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Schriftenreihe: Array ; DP13939
    Schlagworte: Natürliche Arbeitslosenquote; Messung; Arbeitsmarktstatistik; DSGE-Modell; Phillips-Kurve; Arbeitslosigkeit; USA
    Umfang: 1 Online-Ressource (circa 77 Seiten), Illustrationen
  11. Fundamental disagreement about monetary policy and the term structure of interest rates
    Autor*in: Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel
    Erschienen: [2021]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the... mehr

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    Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds. Longer-horizon short rate disagreement co-moves with term premiums. We estimate an affine term structure model in which investors hold heterogeneous beliefs about the long-run level of rates. Our model fits U.S. Treasury yields and the short rate paths predicted by different groups of professional forecasters very well. About one-third of the variation in term premiums is driven by short rate disagreement.

     
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    hdl: 10419/241127
    Auflage/Ausgabe: Revised August 2021
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 934 (August 2021)
    Schlagworte: disagreement; heterogeneous beliefs; noisy information; speculation; survey forecasts; yield curve; term premium
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  12. Sparse trend estimation
    Autor*in: Crump, Richard K.; Gospodinov, Nikolaj; Wieman, Hunter
    Erschienen: [2023]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    The low-frequency movements of many economic variables play a prominent role in policy analysis and decision-making. We develop a robust estimation approach for these slow-moving trend processes, which is guided by a judicious choice of priors and is... mehr

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    The low-frequency movements of many economic variables play a prominent role in policy analysis and decision-making. We develop a robust estimation approach for these slow-moving trend processes, which is guided by a judicious choice of priors and is characterized by sparsity. We present some novel stylized facts from longer-run survey expectations that inform the structure of the estimation procedure. The general version of the proposed Bayesian estimator with a slab-and-spike prior accounts explicitly for cyclical dynamics. The practical implementation of the method is discussed in detail, and we show that it performs well in simulations against some relevant benchmarks. We report empirical estimates of trend growth for U.S. output (and its components), productivity, and annual mean temperature. These estimates allow policymakers to assess shortfalls and overshoots in these variables from their economic and ecological targets.

     
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    hdl: 10419/272862
    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; no. 1049 (February 2023)
    Schlagworte: slow-moving trends; sparsity; Bayesian inference; latent variable models; trend output growth
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  13. Beta-sorted portfolios
    Autor*in: Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining
    Erschienen: [2023]
    Verlag:  Federal Reserve Bank of New York, [New York, NY]

    Beta-sorted portfolios - portfolios comprised of assets with similar covariation to selected risk factors - are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of... mehr

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    Beta-sorted portfolios - portfolios comprised of assets with similar covariation to selected risk factors - are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to comparable procedures such as two-pass regressions. We formally investigate the properties of beta-sorted portfolio returns by casting the procedure as a two-step nonparametric estimator with a nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm with precise economic and statistical assumptions on the general data generating process. We provide conditions that ensure consistency and asymptotic normality along with new uniform inference procedures allowing for uncertainty quantification and general hypothesis testing for financial applications. We show that the rate of convergence of the estimator is non-uniform and depends on the beta value of interest. We also show that the widely used Fama-MacBeth variance estimator is asymptotically valid but is conservative in general and can be very conservative in empirically relevant settings. We propose a new variance estimator, which is always consistent and provide an empirical implementation which produces valid inference. In our empirical application we introduce a novel risk factor - a measure of the business credit cycle - and show that it is strongly predictive of both the cross-section and time-series behavior of U.S. stock returns.

     
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    hdl: 10419/284028
    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; no. 1068 (July 2023)
    Schlagworte: beta pricing models; portfolio sorting; nonparametric estimation; partitioning; kernel regression; smoothly varying coefficients
    Umfang: 1 Online-Ressource (circa 103 Seiten), Illustrationen
  14. Deconstructing the yield curve
    Autor*in: Crump, Richard K.; Gospodinov, Nikolaj
    Erschienen: [2019]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    We investigate the factor structure of the term structure of interest rates and argue that characterizing the minimal dimension of the data-generating process is more challenging than currently appreciated. To circumvent these difficulties, we... mehr

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    We investigate the factor structure of the term structure of interest rates and argue that characterizing the minimal dimension of the data-generating process is more challenging than currently appreciated. To circumvent these difficulties, we introduce a novel nonparametric bootstrap that is robust to general forms of time and cross-sectional dependence and conditional heteroskedasticity of unknown form. We show that our bootstrap procedure is asymptotically valid and exhibits excellent finite-sample properties in simulations. We demonstrate the applicability of our results in two empirical exercises: First, we show that measures of equity market tail risk and the state of the macroeconomy predict bond returns beyond the level or slope of the yield curve; second, we provide a bootstrap-based bias correction and confidence intervals for the probability of recession based on the shape of the yield curve. Our results apply more generally to all assets with a finite maturity structure.

     
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    Sprache: Englisch
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    Format: Online
    Weitere Identifier:
    hdl: 10419/210736
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 884 (April 2019)
    Umfang: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  15. On Binscatter
    Autor*in: Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; Feng, Yingjie
    Erschienen: [2019]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    Binscatter is very popular in applied microeconomics. It provides a flexible, yet parsimonious way of visualizing and summarizing "big data" in regression settings, and it is often used for informal testing of substantive hypotheses such as linearity... mehr

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    Binscatter is very popular in applied microeconomics. It provides a flexible, yet parsimonious way of visualizing and summarizing "big data" in regression settings, and it is often used for informal testing of substantive hypotheses such as linearity or monotonicity of the regression function. This paper presents a foundational, thorough analysis of binscatter: We give an array of theoretical and practical results that aid both in understanding current practices (that is, their validity or lack thereof) and in offering theory-based guidance for future applications. Our main results include principled number of bins selection, confidence intervals and bands, hypothesis tests for parametric and shape restrictions of the regression function, and several other new methods, applicable to canonical binscatter as well as higher-order polynomial, covariate-adjusted, and smoothness-restricted extensions thereof. In particular, we highlight important methodological problems related to covariate adjustment methods used in current practice. We also discuss extensions to clustered data. Our results are illustrated with simulated and real data throughout. Companion general-purpose software packages for Stata and R are provided. Finally, from a technical perspective, new theoretical results for partitioning-based series estimation are obtained that may be of independent interest.

     
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    hdl: 10419/210733
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 881 (February 2019)
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  16. A unified approach to measuring u*
    Autor*in: Crump, Richard K.; Eusepi, Stefano; Giannoni, Marc Paolo; Şahin, Ayşegül
    Erschienen: [2019]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    This paper bridges the gap between two popular approaches to estimating the natural rate of unemployment, u*. The first approach uses detailed labor market indicators, such as labor market flows, cross-sectional data on unemployment and vacancies, or... mehr

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    This paper bridges the gap between two popular approaches to estimating the natural rate of unemployment, u*. The first approach uses detailed labor market indicators, such as labor market flows, cross-sectional data on unemployment and vacancies, or various measures of demographic changes. The second approach, which employs reduced-form models and DSGE models, relies on aggregate price and wage Phillips curve relationships. We combine the key features of these two approaches to estimate the natural rate of unemployment in the United States using both data on labor market flows and a forward-looking Phillips curve that links inflation to current and expected deviations of unemployment from its unobserved natural rate. We estimate that the natural rate of unemployment was around 4.0 percent toward the end of 2018 and that the unemployment gap was roughly closed. Identification of a secular downward trend in the unemployment rate, driven solely by the inflow rate, facilitates the estimation of u*. We identify the increase in labor force attachment of women, decline in job destruction and reallocation intensity, and dual aging of workers and firms as the main drivers of the secular downward trend in the inflow rate.

     
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    hdl: 10419/210741
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 889 (May 2019)
    Schlagworte: Natürliche Arbeitslosenquote; Messung; Arbeitsmarktstatistik; DSGE-Modell; Phillips-Kurve; Arbeitslosigkeit; USA
    Umfang: 1 Online-Ressource (circa 76 Seiten), Illustrationen
  17. Beta-sorted portfolios
    Autor*in: Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining
    Erschienen: [2023]
    Verlag:  Cemmap, Centre for Microdata Methods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL, [London]

    Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of... mehr

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    Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to comparable procedures such as two-pass regressions. We formally investigate the properties of beta-sorted portfolio returns by casting the procedure as a two-step nonparametric estimator with a nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm with precise economic and statistical assumptions on the general data generating process. We provide conditions that ensure consistency and asymptotic normality along with new uniform inference procedures allowing for uncertainty quantification and general hypothesis testing for financial applications. We show that the rate of convergence of the estimator is non-uniform and depends on the beta value of interest. We also show that the widely-used Fama-MacBeth variance estimator is asymptotically valid but is conservative in general, and can be very conservative in empirically-relevant settings. We propose a new variance estimator which is always consistent and provide an empirical implementation which produces valid inference. In our empirical application we introduce a novel risk factor - a measure of the business credit cycle - and show that it is strongly predictive of both the cross-section and time-series behavior of U.S. stock returns.

     
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    hdl: 10419/284142
    Schriftenreihe: Cemmap working paper ; CWP23, 18
    Schlagworte: Beta pricing models; portfolio sorting; nonparametric estimation; partitioning; kernel regression; smoothly-varying coefficients
    Umfang: 1 Online-Ressource (circa 102 Seiten), Illustrationen
  18. Estimating natural rates of unemployment
    a primer
    Autor*in: Bok, Brandyn; Crump, Richard K.; Nekarda, Christopher J.; Petrosky-Nadeau, Nicolas
    Erschienen: [2023]
    Verlag:  Federal Reserve Bank of San Francisco, [San Francisco, CA]

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    Schriftenreihe: Working papers series / Federal Reserve Bank of San Francisco ; 2023, 25 (August 2023)
    Schlagworte: unemployment; business cycles; natural rates
    Umfang: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  19. The unemployment-inflation trade-off revisited
    the Phillips curve in COVID times
    Autor*in: Crump, Richard K.; Eusepi, Stefano; Giannoni, Marc Paolo; Şahin, Ayşegül
    Erschienen: [2024]
    Verlag:  Federal Reserve Bank of New York, [New York, NY]

    Using a New Keynesian Phillips curve, we document the rapid and persistent increase in the natural rate of unemployment, ∗ , in the aftermath of the pandemic and characterize its implications for inflation dynamics. While the bulk of the inflation... mehr

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    Using a New Keynesian Phillips curve, we document the rapid and persistent increase in the natural rate of unemployment, ∗ , in the aftermath of the pandemic and characterize its implications for inflation dynamics. While the bulk of the inflation surge is attributed to temporary supply factors, we also find an important role for current and expected negative unemployment gaps. Through the lens of the model, the 2022-23 disinflation was driven by the expectation that the unemployment gap will close through a progressive decline in ∗ and a rise in the unemployment rate. This implies that convergence to long-run price stability depends critically on expectations about labor market tightness. Using a variety of cross-sectional data sources, we provide corroborating evidence of unusually tight labor market conditions, consistent with our estimated rise in ∗ .

     
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    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; no. 1086 (March 2024)
    Schlagworte: Phillips curve; unemployment; inflation; natural rate of unemployment; expectations
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  20. Changing risk-return profiles
    Autor*in: Crump, Richard K.; Giannone, Domenico; Hundtofte, Sean
    Erschienen: [2018]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    We show that realized volatility, especially the realized volatility of financial sector stock returns, has strong predictive content for the future distribution of market returns. This is a robust feature of the last century of U.S. data and, most... mehr

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    We show that realized volatility, especially the realized volatility of financial sector stock returns, has strong predictive content for the future distribution of market returns. This is a robust feature of the last century of U.S. data and, most importantly, can be exploited in real time. Current realized volatility has the most information content on the uncertainty of future returns, whereas it has only limited content about the location of the future return distribution. When volatility is low, the predicted distribution of returns is less dispersed and probabilistic forecasts are sharper. Given this finding on the importance of financial sector volatility not just to financial equity return uncertainty but to the broader market, we test for changes in the realized volatility of banks over a $50 billion threshold associated with more stringent Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank) requirements. We find that the equity volatility of these large banks is differentially lower by 9 percentage points after Dodd-Frank compared to pre-crisis levels, controlling for changes over the same period for all banks and all large firms.

     
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    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 850 (June 2018)
    Umfang: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  21. Generalized jackknife estimators of weighted average derivatives
    Autor*in: Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael
    Erschienen: 2011
    Verlag:  School of Economics and Management, Aarhus

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    Schriftenreihe: CREATES research paper ; 2011,12
    Schlagworte: Schätztheorie; Nichtparametrisches Verfahren; Systematischer Fehler; Theorie
    Umfang: Online-Ressource (45 S.)
  22. Bootstrapping density-weighted average derivatives
    Autor*in: Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael
    Erschienen: 2010
    Verlag:  Federal Reserve Bank of New York, New York, NY

    Employing the “small-bandwidth” asymptotic framework of Cattaneo, Crump, and Jansson (2009), this paper studies the properties of several bootstrap-based inference procedures associated with a kernel-based estimator of density-weighted average... mehr

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    Employing the “small-bandwidth” asymptotic framework of Cattaneo, Crump, and Jansson (2009), this paper studies the properties of several bootstrap-based inference procedures associated with a kernel-based estimator of density-weighted average derivatives proposed by Powell, Stock, and Stoker (1989). In many cases, the validity of bootstrap-based inference procedures is found to depend crucially on whether the bandwidth sequence satisfies a particular (asymptotic linearity) condition. An exception to this rule occurs for inference procedures involving a studentized estimator that employs a “robust” variance estimator derived from the “small-bandwidth” asymptotic framework. The results of a small-scale Monte Carlo experiment are found to be consistent with the theory and indicate in particular that sensitivity with respect to the bandwidth choice can be ameliorated by using the “robust” variance estimator. -- Averaged derivatives ; bootstrap ; small-bandwidth asymptotics

     
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    hdl: 10419/60834
    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; 452
    Umfang: Online-Ressource (29 S.), graph. Darst.
  23. Bootstrapping censity-weighted average derivatives
    Autor*in: Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael
    Erschienen: 2010
    Verlag:  School of Economics and Management, Århus

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    Schriftenreihe: CREATES research paper ; 2010,23
    Schlagworte: Statistischer Test; Nichtparametrisches Verfahren; Bootstrap-Verfahren; Schätztheorie
    Umfang: Online-Ressource (32 S.)
  24. Robust data-driven inference for density-weighted average derivatives
    Autor*in: Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael
    Erschienen: 2009
    Verlag:  School of Economics and Management, Århus

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    Schriftenreihe: CREATES research paper ; 2009,46
    Schlagworte: Nichtparametrisches Verfahren; Statistischer Test; Robustes Verfahren; Schätztheorie
    Umfang: Online-Ressource (38 S.)
  25. Efficient, regression-based estimation of dynamic asset pricing models
    Autor*in: Adrian, Tobias; Crump, Richard K.; Mönch, Emanuel
    Erschienen: 2011
    Verlag:  Federal Reserve Bank of New York, New York, NY

    We study regression-based estimators for beta representations of dynamic asset pricing models with affine and exponentially affine pricing kernel specifications. These estimators extend static cross-sectional asset pricing estimators to settings... mehr

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    We study regression-based estimators for beta representations of dynamic asset pricing models with affine and exponentially affine pricing kernel specifications. These estimators extend static cross-sectional asset pricing estimators to settings where prices of risk vary with observed state variables. We identify conditions under which four-stage regression-based estimators are efficient and also present alternative, closed-form linearized maximum likelihood (LML) estimators. We provide multi-stage standard errors necessary to conduct inference for asset pricing tests. In empirical applications, we find that time-varying prices of risk are pervasive, thus favoring dynamic cross-sectional asset pricing models over standard unconditional specifications. -- dynamic asset pricing ; Fama-MacBeth regressions ; financial econometrics

     
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    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; 493
    Umfang: Online-Ressource (PDF-Datei: 47 S.,441 KB)