Federal Reserve System

About: Federal Reserve System is a other organization based out in Washington D.C., District of Columbia, United States. It is known for research contribution in the topics: Monetary policy & Inflation. The organization has 2373 authors who have published 10301 publications receiving 511979 citations.

Estimating a Firm's Age-Productivity Profile Using the Present Value of Workers' Earnings

Abstract: In hiring new workers, risk-neutral employers equate the present expected value of each worker's compensation to the present expected value of his/her productivity, Data detailing how present expected compensation varies with the age of hire embed, therefore, information about how productivity varies with age. This paper infers age-productivity profiles using data on the present expected value of earnings of new hires of a Fortune 1000 firm. For each of the five occupation/sex groups considered, productivity falls with age, with productivity exceeding earnings for young workers and vice versa for older workers.

The Impact of Regional and Sectoral Productivity Changes on the U.S. Economy

Abstract: We study the impact of regional and sectoral productivity changes on the U.S. economy. To that end, we consider an environment that captures the eects of interregional and intersectoral trade in propagating disaggregated productivity changes at the level of a sector in a given U.S. state to the rest of the economy. The quantitative model we develop features pairwise interregional trade across all 50 U.S. states, 26 traded and non-traded industries, labor as a mobile factor, and structures and land as an immobile factor. We allow for sectoral linkages in the form of an intermediate input structure that matches the U.S. input-output matrix. Using data on trade ‡ows by industry between states, as well as other regional and industry data, we obtain the aggregate, regional and sectoral elasticities of measured TFP, GDP, and employment to regional and sectoral productivity changes. We …nd that such elasticities can vary signi…cantly depending on the sectors and regions aected and are importantly determined by the spatial structure of the US economy. We highlight the role of these elasticities by tracing out the eects of productivity gains in California in the Computers and Electronics industry between 2002 and 2007 on all other U.S. sectors and regions.

Measuring Income and Wealth at the Top Using Administrative and Survey Data

Abstract: Most available estimates of U.S. wealth and income concentration indicate that the top shares are high and have been rising in recent decades, but there is some disagreement about specific levels and trends. Household surveys are the traditional data source used to measure the top shares, but recent studies using administrative tax records suggest that these survey-based top share estimates may not be capturing all of the increasing concentration. In this paper, we reconcile the divergent top share estimates, showing how the choices of data sets and methodological decisions affect levels and trends. Relative to the new and most widely cited top share estimates based on administrative tax data alone, our preferred estimates for both wealth and income concentration are lower and have been rising less rapidly in recent years.

Risk-based capital requirements for mortgage loans

Abstract: We contribute to the debate over the reform of the Basel Accord by developing risk-based capital requirements for mortgage loans held in portfolio by financial intermediaries. Our approach employs simulation of both economic variables that affect default incidence and conditional loss probability distributions. Results indicate that appropriate capital charges for credit risk vary substantially with loan characteristics and portfolio geographic diversification. Hence, rules that offer little risk differentiation, including the current Basel I regime and “standardized” approach proposed in Basel II result in significant divergence between regulatory and economic capital. These results highlight the incentive problems inherent in simplified methods of capital regulation.

A Comparison of Forecast Performance Between Federal Reserve Staff Forecasts, Simple Reduced-Form Models, and a DSGE Model

Abstract: This paper considers the forecast performance of the Federal Reserve staff, five atheoretical reduced-form models, and an estimated dynamic stochastic general equilibrium (DSGE) model, focusing on the late 1990s through 2001. Our analysis finds that the DSGE model and atheoretical models forecast real GDP growth better than the Federal Reserve staff during this period by an economically significant margin; we find smaller differences across each method in the quality of inflation forecasts over this period. These results provide some support to the notion that richly specified DSGE models such the one used in this paper belong in the forecasting toolbox of a central bank. � Rochelle M. Edge (rochelle.m.edge@frb.gov), Michael T. Kiley (michael.t.kiley@frb.gov), and JeanPhilippe Laforte (jean-philippe.laforte@frb.gov) are affiliated with the Macroeconomic and Quantitative Studies Section at the Board of Governors of the Federal Reserve System. This paper represents ongoing work in the section on developing DGE models that can be useful for policy analysis; nevertheless, any views expressed in this paper remain solely those of the authors and do not necessarily reflect those of the Board of Governors of the Federal Reserve System or it staff. All errors are our own.