Institution
Federal Reserve System
Other•Washington 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.
Topics: Monetary policy, Inflation, Interest rate, Market liquidity, Debt
Papers published on a yearly basis
Papers
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TL;DR: In this article, the authors explore the dynamics of the relation between institutional trading and stock returns and find that stock returns Granger-cause institutional trading on a quarterly basis, that is, institutions buy more popular stocks after market rises.
Abstract: In this study, we explore the dynamics of the relation between institutional trading and stock returns. We find that stock returns Granger-cause institutional trading (especially purchases) on a quarterly basis. The robust and significant causality from equity returns to institutional trading can be largely explained by the time-series variation of market returns, that is, institutions buy more popular stocks after market rises. Stock returns appear to be negatively related to lagged institutional trading. An analysis of the behavior of trading and the returns of the traded stocks reveals evidence that stocks with heavy institutional buying (selling) experience positive (negative) excess returns over the previous 12 months.
119 citations
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TL;DR: This article found that steep recoveries follow deep recessions and that recessions associated with financial crises are generally followed by rapid recoveries, and that the recovery after the recession of the early 1990s and the present recovery are strikingly more tepid than the 1990s.
Abstract: Do steep recoveries follow deep recessions? Does it matter if a credit crunch or banking panic accompanies the recession? Moreover, does it matter if the recession is associated with a housing bust? We look at the American historical experience in an attempt to answer these questions. The answers depend on the definition of a financial crisis and on how much of the recovery is considered. But in general recessions associated with financial crises are generally followed by rapid recoveries. We find three exceptions to this pattern: the recovery from the Great Contraction in the 1930s; the recovery after the recession of the early 1990s and the present recovery. The present recovery is strikingly more tepid than the 1990s. One factor we consider that may explain some of the slowness of this recovery is the moribund nature of residential investment, a variable that is usually a key predictor of recessions and recoveries.
119 citations
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TL;DR: In this article, the authors measured the relative importance of credit-, income-, and wealth-based constraints and estimated how the effects of these constraints have evolved over the past decade. But, the authors did not consider the impact of credit quality on home buyers' decision-making process.
119 citations
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TL;DR: In this paper, the authors use data from the 1984 Survey of Income and Program Participation (SIPP) to investigate whether employer-provided health insurance reduced worker mobility, a phenomenon termed "job-lock".
Abstract: The authors use data from the 1984 Survey of Income and Program Participation (SIPP) to investigate whether employer-provided health insurance reduced worker mobility (a phenomenon termed "job-lock"). The SIPP provides information on variables-particularly pension receipt, job tenure, and spouse job change-that were omitted from previous studies and are, the authors argue, key to the estimation of welldefined mobility models. For dual-earner married men and women, the authors estimate a model that accounts for the interaction between husbands' and wives' job change decisions. For both married and single individuals, the results provide fairly strong evidence ofjob-lock among women, but only weak indications of job-lock among men. The authors speculate that this finding reflects higher health care use by women than by men.
119 citations
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TL;DR: In this paper, the authors quantified how variation in real economic activity and inflation in the U.S. influenced the market prices of level, slope, and curvature risks in U. S. Treasury markets.
Abstract: This paper quantifies how variation in real economic activity and inflation in the U.S. influenced the market prices of level, slope, and curvature risks in U.S. Treasury markets. We develop a novel arbitrage-free dynamic term structure model in which bond investment decisions are influenced by real output and inflation risks that are unspanned by (imperfectly correlated with) information about the shape of the Treasury yield curve. Our model reveals that, over the period 1985-2007, these unspanned macro risks accounted for a large portion of the variation in forward terms premiums, and there was pronounced cyclical variation in the market prices of level and slope risks. We compare fitted term premiums for the post-2007 crisis period to those from a model with spanned macro risks, and use our findings to reassess some of Chairman Bernanke's remarks on the interplay between term premiums, the shape of the yield curve, and the macroeconomy.
119 citations
Authors
Showing all 2412 results
Name | H-index | Papers | Citations |
---|---|---|---|
Ross Levine | 122 | 398 | 108067 |
Francis X. Diebold | 110 | 368 | 74723 |
Kenneth Rogoff | 107 | 390 | 75971 |
Allen N. Berger | 106 | 382 | 65596 |
Frederic S. Mishkin | 100 | 372 | 34898 |
Thomas J. Sargent | 96 | 370 | 39224 |
Ben S. Bernanke | 96 | 446 | 76378 |
Stijn Claessens | 96 | 462 | 42743 |
Andrew K. Rose | 88 | 374 | 42605 |
Martin Eichenbaum | 87 | 234 | 37611 |
Lawrence J. Christiano | 85 | 253 | 37734 |
Jie Yang | 78 | 532 | 20004 |
James P. Smith | 78 | 372 | 23013 |
Glenn D. Rudebusch | 73 | 226 | 22035 |
Edward C. Prescott | 72 | 235 | 55508 |