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 paper, the response of aggregate lending to monetary policy is stronger in state banking markets where financially constrained banks have more market share, implying that the aggregate elasticity of output to bank lending is very small, if not zero.
Abstract: The response of aggregate lending to monetary policy is stronger in state banking markets where financially constrained banks have more market share. On the other hand, there is little difference in the response of state output across the market share financially constrained banks, implying that the aggregate elasticity of output to bank lending is very small, if not zero. I conclude that while small firms might view bank loans as special, they are not special enough for the lending channel to be an important part of how monetary policy works.
408 citations
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TL;DR: In this paper, a simultaneous equation framework is used to test hypotheses about the interrelationships among bank interest rate and credit risk-taking, capitalization, and operating efficiency, and a U-shaped relationship is detected between inefficiency and loan growth, indicating that operating efficiency improves at a decreasing rate as loan growth rate increases.
Abstract: A simultaneous equation framework is used to test hypotheses about the interrelationships among bank interest rate and credit risk-taking, capitalization, and operating efficiency A positive effect of inefficiency on risk-taking was found and supports the moral hazard hypothesis that poor performers are more vulnerable to risk-taking than high performance banking organizations A positive effect of inefficiency on the level of capital is attributable to regulatory pressure on underperforming institutions At the same time, firms with more capital are found to operate more efficiently than less well-capitalized banking organizations A U-shaped relationship is detected between inefficiency and loan growth, indicating that operating efficiency improves at a decreasing rate as loan growth rate increases This supports the hypothesis that entrenched managers who pursue a growth objective to enhance their own wealth tend to operate inefficiently
407 citations
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TL;DR: This article showed that an optimization-based DGE model with four-quarter price and wage contracts can generate highly persistent inflation and output responses when the private sector must use signal extraction to make inferences about the central bank's inflation target based on only observing the policy instrument.
Abstract: Contract structures typically embedded in a recent generation of models with nominal inertia have been criticized for a failure to generate persistent responses of output and inflation to nominal shocks. In this paper, we argue that this failure does not reflect an inherent limitation of the contract structure, but rather, very strong assumptions about central bank credibility. We show that an optimization-based DGE model with four-quarter price and wage contracts can generate highly persistent inflation and output responses when the private sector must use signal extraction to make inferences about the central bank's inflation target based on only observing the policy instrument. In particular, we consider the disinflation experiences of the United States and several other industrial countries in the early 1980s, and we demonstrate that the model matches the dynamics of both expected and actual inflation and generates sacrifice ratios which are roughly in line with empirical estimates.
407 citations
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TL;DR: This article studied the impact of algorithmic trading in the foreign exchange market using a long time series of high-frequency data that identify computer-generated trading activity and found that the reduction in arbitrage opportunities is associated primarily with computers taking liquidity.
Abstract: We study the impact of algorithmic trading (AT) in the foreign exchange market using a long time series of high-frequency data that identify computer-generated trading activity. We find that AT causes an improvement in two measures of price efficiency: the frequency of triangular arbitrage opportunities and the autocorrelation of high-frequency returns. We show that the reduction in arbitrage opportunities is associated primarily with computers taking liquidity. This result is consistent with the view that AT improves informational efficiency by speeding up price discovery, but that it may also impose higher adverse selection costs on slower traders. In contrast, the reduction in the autocorrelation of returns owes more to the algorithmic provision of liquidity. We also find evidence consistent with the strategies of algorithmic traders being highly correlated. This correlation, however, does not appear to cause a degradation in market quality, at least not on average.
407 citations
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TL;DR: In this article, the authors model the dynamic portfolio choice problem facing banks, calibrate the model using empirical data from the banking industry for 1984-1993, and assess quantitatively the impact of recent regulatory developments related to bank capital.
406 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 |