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Institution

Federal Reserve System

OtherWashington D.C., District of Columbia, United States
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.


Papers
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Journal ArticleDOI
TL;DR: This article applied the Kalman filter to estimate jointly time-varying natural rates of interest and output and trend growth, finding a close link between the natural rate and the trend growth rate, as predicted by theory.
Abstract: The natural rate of interest—the real interest rate consistent with output equaling its natural rate and stable inflation—plays a central role in macroeconomic theory and monetary policy. Estimation of the natural rate of interest, however, has received little attention. We apply the Kalman filter to estimate jointly time-varying natural rates of interest and output and trend growth. We find a close link between the natural rate of interest and the trend growth rate, as predicted by theory. Estimates of the natural rate of interest, however, are very imprecise and subject to considerable real-time measurement error.

759 citations

Journal ArticleDOI
TL;DR: In this article, the authors test the home bias in equity holdings using high quality cross-border holdings data and quantitative measures of barriers to international investment and find that countries whose firms do not alleviate information costs by opting into the US regulatory environment are more severely underweighted in US equity portfolios.

755 citations

Journal ArticleDOI
TL;DR: In this article, a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements) was used to characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and Euro.
Abstract: Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and the Euro. In particular, we find that announcement surprises (that is, divergences between expectations and realizations, or 'news') produce conditional mean jumps; hence high-frequency exchange rate dynamics are linked to fundamentals. The details of the linkage are intriguing and include announcement timing and sign effects. The sign effect refers to the fact that the market reacts to news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical work on information processing and price discovery.

749 citations

Journal ArticleDOI
TL;DR: This article analyzed the efficiency of Chinese banks over 1994-2003 and found that Big Four banks are by far the least efficient; foreign banks are most efficient; and minority foreign ownership is associated with significantly improved efficiency.
Abstract: China is reforming its banking system, partially privatizing and taking on minority foreign ownership of three of its dominant “Big Four” state-owned banks. This paper helps predict the effects by analyzing the efficiency of Chinese banks over 1994–2003. Findings suggest that Big Four banks are by far the least efficient; foreign banks are most efficient; and minority foreign ownership is associated with significantly improved efficiency. We present corroborating robustness checks and offer several credible mechanisms through which minority foreign owners may increase Chinese bank efficiency. These findings suggest that minority foreign ownership of the Big Four will likely improve performance significantly.

748 citations

Journal ArticleDOI
TL;DR: This paper showed that ratings-based capital rules, including both the current Basel Accord and its proposed revision, can be reconciled with the general class of credit value-at-risk models.

728 citations


Authors

Showing all 2412 results

NameH-indexPapersCitations
Ross Levine122398108067
Francis X. Diebold11036874723
Kenneth Rogoff10739075971
Allen N. Berger10638265596
Frederic S. Mishkin10037234898
Thomas J. Sargent9637039224
Ben S. Bernanke9644676378
Stijn Claessens9646242743
Andrew K. Rose8837442605
Martin Eichenbaum8723437611
Lawrence J. Christiano8525337734
Jie Yang7853220004
James P. Smith7837223013
Glenn D. Rudebusch7322622035
Edward C. Prescott7223555508
Network Information
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Performance
Metrics
No. of papers from the Institution in previous years
YearPapers
202317
202247
2021303
2020448
2019356
2018316