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.

Microeconomic Evidence on Price-Setting

Abstract: The last decade has seen a burst of micro price studies. Many studies analyze data underlying national CPIs and PPIs. Others focus on more granular subnational grocery store data. We review these studies with an eye toward the role of price setting in business cycles. We summarize with ten stylized facts: prices change at least once a year, with temporary price discounts and product turnover often playing an important role. After excluding many short-lived prices, prices change closer to once a year. The frequency of price changes differs widely across goods, however, with more cyclical goods exhibiting greater price flexibility. The timing of price changes is little synchronized across sellers. The hazard (and size) of price changes does not increase with the age of the price. The cross-sectional distribution of price changes is thick-tailed, but contains many small price changes too. Finally, strong linkages exist between price changes and wage changes.

Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis

Abstract: We consider using out-of-sample mean squared prediction errors (MSPEs) to evaluate the null that a given series follows a zero mean martingale difference against the alternative that it is linearly predictable. Under the null of zero predictability, the population MSPE of the null "no change" model equals that of the linear alternative. We show analytically and via simulations that despite this equality, the alternative model's sample MSPE is expected to be greater than the null's. We propose and evaluate an asymptotically normal test that properly accounts for the upward shift of the sample MSPE of the alternative model. Our simulations indicate that our proposed procedure works well.

Credit Supply and the Price of Housing

Abstract: We show that since 1994, branching deregulations in the U.S have signi…cantly af- fected the supply of mortgage credit, and ultimately house prices. With deregulation, the number and volume of originated mortgage loans increase, while denial rates fall. But the deregulation has no eect on a placebo sample, formed of mortgage compa- nies that should not be aected by the regulatory change. This sharpens the causal interpretation of our results. Deregulation acts to relax access to mortgage credit, and pushes the demand for house ownership outwards. Interestingly, the fraction of securi- tized mortgage loans remains unchanged through the process. We …nd evidence house prices rise with branching deregulation, and particularly in Metropolitan Areas where construction is inelastic for topographic reasons. We document these results in a large sample of counties across the U.S. We also focus on a reduced cross-section formed by counties on each side of a state border, where a regression discontinuity approach is possible. Our conclusions are strengthened. JEL Classi…cation Numbers: G21, G10, G12