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
More filters
••
TL;DR: In this paper, the authors investigate whether the tendency for changes in the federal funds rate to be implemented gradually can be explained by the dynamic structure of the economy and the uncertainty surrounding that structure, without recourse to including an ad hoc interest-rate smoothing argument in the Fed's objective function.
281 citations
•
TL;DR: In this article, the authors investigate the use of limited-information estimators as measures of core inflation and find that their estimates of inflation have a higher correlation with past money growth and deliver improved forecasts of future inflation relative to the CPI.
Abstract: In this paper, we investigate the use of limited-information estimators as measures of core inflation. Employing a model of asymmetric supply disturbances, with costly price adjustment, we show how the observed skewness in the cross-sectional distribution of inflation can cause substantial noise in the aggregate price index at high frequencies. The model suggests that limited-influence estimators, such as the median of the cross-sectional distribution of inflation, will provide superior short-run measures of core inflation. We document that our estimates of inflation have a higher correlation with past money growth and deliver improved forecasts of future inflation relative to the CPI. Moreover, unlike the CPI, the limited-influence estimators do not forecast future money growth, suggesting that monetary policy has often accommodated supply shocks that we measure as the difference between core inflation and the CPI. Among the three limited-influence estimators we consider - the CP1 excluding food and energy, the IS-percent trimmed mean, and the median - we find that the median has the strongest relationship with past money growth and provides the most accurate forecast of future inflation. Using the median and several other variables including nominal interest rates and M2, our best forecast is that in the absence of monetary accommodation of any future aggregate supply shocks, inflation will average roughly 3 percent per year over the next five years.
281 citations
••
TL;DR: In this paper, the authors evaluate the empirical success of a variety of financial market instruments in predicting the future path of monetary policy and find that federal funds futures dominate all the other securities in forecasting monetary policy at horizons out to six months.
Abstract: A number of recent articles have used different financial market instruments to measure near-term expectations of the federal funds rate and the high-frequency changes in these instruments around Federal Open Market Committee announcements to measure monetary policy shocks. This article evaluates the empirical success of a variety of financial market instruments in predicting the future path of monetary policy. All of the instruments we consider provide forecasts that are clearly superior to those of standard time series models at all of the horizons considered. Among financial market instruments, we find that federal funds futures dominate all the other securities in forecasting monetary policy at horizons out to six months. For longer horizons, the predictive power of many of the instruments we consider is very similar. In addition, we present evidence that monetary policy shocks computed using the current-month federal funds futures contract are influenced by changes in the timing of policy actions tha...
281 citations
••
TL;DR: The authors assess whether borrowers know their mortgage terms by comparing the distributions of these variables in the household-reported Survey of Consumer Finances (SCF) to the distributions in lender-reported data.
280 citations
••
TL;DR: The authors provide an equilibrium analysis of such situations in light of a key problem: if agents use market prices when deciding on corrective actions, prices adjust to reflect this use and potentially become less revealing.
Abstract: Many economic agents take corrective actions based on information inferred from market prices of firms' securities. Examples include directors and activists intervening in the management of firms and bank supervisors taking actions to improve the health of financial institutions. We provide an equilibrium analysis of such situations in light of a key problem: if agents use market prices when deciding on corrective actions, prices adjust to reflect this use and potentially become less revealing. We show that market information and agents' information are complementary, and discuss measures that can increase agents' ability to learn from market prices. The Author 2009. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oxfordjournals.org, Oxford University Press.
280 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 |