Federal Reserve Bank of St. Louis

About: Federal Reserve Bank of St. Louis is a other organization based out in St Louis, Missouri, United States. It is known for research contribution in the topics: Monetary policy & Inflation. The organization has 203 authors who have published 1650 publications receiving 46084 citations.

Time-varying risk premia and the cross section of stock returns

Abstract: This paper develops and estimates a heteroskedastic variant of Campbell’s [Campbell, J., 1993. Intertemporal asset pricing without consumption data. American Economic Review 83, 487–512] ICAPM, in which risk factors include a stock market return and variables forecasting stock market returns or variance. Our main innovation is the use of a new set of predictive variables, which not only have superior forecasting abilities for stock returns and variance, but also are theoretically motivated. In contrast with the early authors, we find that Campbell’s ICAPM performs significantly better than the CAPM. That is, the additional factors account for a substantial portion of the two CAPM-related anomalies, namely, the value premium and the momentum profit.

Frictionless Technology Diffusion: The Case of Tractors

Abstract: Many new technologies display long adoption lags, and this is often interpreted as evidence of frictions inconsistent with the standard neoclassical model We study the diffusion of the tractor in American agriculture between 1910 and 1960—a well-known case of slow diffusion—and show that the speed of adoption was consistent with the predictions of a simple neoclassical growth model The reason for the slow rate of diffusion was that tractor quality kept improving over this period and, more importantly, that only when wages increased did it become relatively unprofitable to operate the alternative, laborintensive, horse technology (JEL L62, N51, N52, N71, N72, O33, Q11) Understanding the determinants of the rate at which new technologies are created and adopted is a critical element in the analysis of growth Even though modeling equilibrium technology creation can be somewhat challenging for standard economic theory, understanding technology adoption should not be Specifically, once the technology is available, the adoption decision is equivalent to picking a point on the appropriate isoquant Dynamic considerations make this calculation more complicated, but they still leave it in the realm of the neoclassical model A simple minded application of the theory of the firm suggests that profitable innovations should be adopted instantaneously, or with some delay depending on various forms of cost of adjustment The evidence on the adoption of new technologies seems to contradict this prediction Jovanovic and Lach (1997) report that, for a group of 21 innovations, it takes 15 years for its diffusion to go from 10 percent to 90 percent, the 10–90 lag They also cite the results of a study by Grubler (1991), covering 265 innovations, who finds that, for most diffusion processes, the 10–90 lag is between 15 and 30 years 1

Measuring Labor Supply and Demand Shocks During Covid-19

Abstract: We measure labor demand and supply shocks at the sector level around the COVID-19 outbreak by estimating a Bayesian structural vector autoregression on monthly statistics of hours worked and real wages. Most sectors were subject to large negative labor supply and demand shocks in March and April 2020, with substantial heterogeneity in the size of shocks across sectors. Our estimates suggest that two-thirds of the drop in the aggregate growth rate of hours in March and April 2020 are attributable to labor supply. We validate our estimates of supply shocks by showing that they are correlated with sectoral measures of telework.