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The Low Frequency Effects of Macroeconomic News on Government Bond Yields
Altavilla, Carlo; Giannone, Domenico; Modugno, Michele - Federal Reserve Board (Board of Governors of the … - 2014
This study analyzes the reaction of the U.S. Treasury bond market to innovations in macroeconomic fundamentals. We identify these innovations with macroeconomic news, defined as differences between the actual releases and their market expectations. We show that macroeconomic news explain about...
Persistent link: https://www.econbiz.de/10010886226
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Inflation Dynamics During the Financial Crisis
Gilchrist, Simon; Schoenle, Raphael; Sim, Jae W.; … - Federal Reserve Board (Board of Governors of the … - 2015
Firms with limited internal liquidity significantly increased prices in 2008, while their liquidity unconstrained counterparts slashed prices. Differences in the firms' price-setting behavior were concentrated in sectors likely characterized by customer markets. We develop a model, in which...
Persistent link: https://www.econbiz.de/10011255348
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Financing Constraints and Unemployment: Evidence from the Great Recession
Duygan-Bump, Burcu; Leykov, Alexey; Montoriol-Garriga, Judit - Federal Reserve Board (Board of Governors of the … - 2014
Exploiting the differential financing needs across industrial sectors, this paper shows that financing constraints of small businesses in the United States are one of the drivers explaining the unemployment dynamics during the Great Recession. We show that workers in small firms are more likely...
Persistent link: https://www.econbiz.de/10011075116
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Macroeconomic Policy Games
Bodenstein, Martin; Guerrieri, Luca; LaBriola, Joe - Federal Reserve Board (Board of Governors of the … - 2014
Strategic interactions between policymakers arise whenever each policymaker has distinct objectives. Deviating from full cooperation can result in large welfare losses. To facilitate the study of strategic interactions, we develop a toolbox that characterizes the welfare-maximizing cooperative...
Persistent link: https://www.econbiz.de/10011075124
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Financial Frictions, Financial Shocks, and Aggregate Volatility
Fuentes-Albero, Cristina - Federal Reserve Board (Board of Governors of the … - 2014
an easier access to credit, while a higher exposure to financial risk determines the immoderation of balance sheet …
Persistent link: https://www.econbiz.de/10011075129
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Financial Frictions and Macroeconomic Fluctuations in Emerging Economies
Akinci, Ozge - Federal Reserve Board (Board of Governors of the … - 2014
Estimated dynamic models of business cycles in emerging markets deliver counterfactual predictions for the country risk … which a time-varying country risk premium emerges endogenously. In the proposed model, a firm's borrowing rate adjusts … model and find that it can account for the volatility and the countercyclicality of country risk premium as well as for …
Persistent link: https://www.econbiz.de/10011075149
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Financial Business Cycles
Iacoviello, Matteo - Federal Reserve Board (Board of Governors of the … - 2014
Using Bayesian methods, I estimate a DSGE model where a recession is initiated by losses suffered by banks and exacerbated by their inability to extend credit to the real sector. The event triggering the recession has the workings of a redistribution shock: a small sector of the economy --...
Persistent link: https://www.econbiz.de/10010892324
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Firm Entry and Employment Dynamics in the Great Recession
Siemer, Michael - Federal Reserve Board (Board of Governors of the … - 2014
The 2007-2009 recession is characterized by: a large drop in employment, an unprecedented decline in firm entry, and a slow recovery. Using confidential firm-level data, I show that financial constraints reduced employment growth in small relative to large firms by 4.8 to 10.5 percentage points....
Persistent link: https://www.econbiz.de/10010886223
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Assessing Targeted Macroprudential Financial Regulation: The Case of the 2006 Commercial Real Estate Guidance for Banks
Bassett, William F.; Marsh, Blake - Federal Reserve Board (Board of Governors of the … - 2014
In the mid-2000s, federal bank regulatory agencies became alarmed by steadily increasing concentrations of commercial real estate (CRE) loans at many banks, particularly loans used to finance construction and land development (CLD). In January 2006, they issued guidance that required banks with...
Persistent link: https://www.econbiz.de/10010886224
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Unspanned macroeconomic factors in the yield curve
Coroneo, Laura; Giannone, Domenico; Modugno, Michele - Federal Reserve Board (Board of Governors of the … - 2014
In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of...
Persistent link: https://www.econbiz.de/10010886225