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: Rosenberg et al. as mentioned in this paper explored the cross-sectional pricing of volatility risk by decomposing equity market volatility into short and long-run components, finding that prices of risk are negative and significant for both volatility components implies that investors pay for insurance against increases in volatility even if those increases have little persistence.
Abstract: We explore the cross-sectional pricing of volatility risk by decomposing equity market volatility into short- and long-run components. Our finding that prices of risk are negative and significant for both volatility components implies that investors pay for insurance against increases in volatility, even if those increases have little persistence. The short-run component captures market skewness risk, which we interpret as a measure of the tightness of financial constraints. The long-run component relates to business cycle risk. Furthermore, a three-factor pricing model with the market return and the two volatility components compares favorably to benchmark models. WHEN MARKET VOLATILITY IS STOCHASTIC, intertemporal models predict that asset risk premia are not only determined by covariation of returns with the mar ket return, but also by covariation with the state variables that govern market volatility. To study this prediction, we model the log-volatility of the market portfolio as the sum of a short- and a long-run volatility component. This ap proach parsimoniously captures shocks to systematic risk at different horizons. Market volatility is a significant cross-sectional asset pricing factor as shown by Ang et al. (2006).l Their two-factor model with the market return and market volatility reduces pricing errors compared to the capital asset pricing model * Joshua Rosenberg and Tobias Adrian are with the Capital Markets Function of the Research and Statistics Group at the Federal Reserve Bank of New York. We would like to thank Robert Stambaugh (the editor), two anonymous referees, John Campbell, Frank Diebold, Robert Engle, Arturo Estrella, Eric Ghysels, Til Schuermann, Kevin Sheppard, Jiang Wang, and Zhenyu Wang for comments. We also thank seminar participants and discussants at the Federal Reserve Bank of
355 citations
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TL;DR: The authors found that on average 2.6 percent of employed persons change employers each month, a flow more than twice as large as that from employment to unemployment, and that on-the-job search appears an important element in hiring, as nearly two-fifths of new jobs started between 1994 and 2003 represented employer changes.
Abstract: Despite the importance of employer-to-employer (EE) flows to our understanding of labor market and business cycle dynamics, the literature has lacked a comprehensive and representative measure of the size and character of these flows. To construct the first reliable measures of EE flows for the United States, this paper exploits the dependent interviewing techniques introduced in the Current Population Survey in 1994. The paper concludes that EE flows are large: On average 2.6 percent of employed persons change employers each month, a flow more than twice as large as that from employment to unemployment. Indeed, on-the-job search appears to be an important element in hiring, as nearly two-fifths of new jobs started between 1994 and 2003 represented employer changes. EE flows are also markedly procyclical, although the cyclicality is concentrated around the recession: EE flows did not increase as the labor market tightened between 1994 and 2000, but they did drop sharply as the labor market loosened during the period 2001 through 2003. We view the uneven cyclical pattern of EE flows as a pattern to be incorporated into future models.
355 citations
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TL;DR: The toolkit as mentioned in this paper adapts a first-order perturbation approach and applies it in a piecewise fashion to solve dynamic models with occasionally binding constraints, such as a real business cycle model with a constraint on the level of investment and a New Keynesian model subject to the zero lower bound on nominal interest rates.
355 citations
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TL;DR: A number of interest rates and interest rate spreads have been found to be useful in predicting the course of the economy as mentioned in this paper, and the predictive power of some of these suggested interest rate variables for nine indicators of real activity and the inflation rate.
Abstract: A number of interest rates and interest rate spreads have been found to be useful in prediction the course of the economy. We compare the predictive power of some of these suggested interest rate variables for nine indicators of real activity and the inflation rate. Our results are consistent with those of Stock and Watson (1989) and Friedman and Kuttner (1989), who found that the spread between the commercial paper rate and the Treasury bill rate has been a particularly good predictor. We present evidence that this spread is informative not so much because it is a measure of default risk (which has been the usual presumption), but because it is an indicator of the stance of monetary policy; for example, during the "credit crunches" of the l960s aid the 1970s, the commercial paper -- Treasury bill spread typically rose significantly. We also show that, possibly because of charges in monetary policy operating procedures aid in financial markets, this spread appears r to be a less reliable predictor than it used to be.
355 citations
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TL;DR: In this article, the authors employ a variety of simple empirical techniques to identify links between the observed moderation in economic activity and the influence of financial innovation on consumer spending, housing investment, and business fixed investment.
352 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 |