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Adrian, Tobias; Boyarchenko, Nina - Federal Reserve Bank of New York - 2014

The growth of wholesale-funded credit intermediation has motivated liquidity regulations. We analyze a dynamic stochastic general equilibrium model in which liquidity and capital regulations interact with the supply of risk-free assets. In the model, the endogenously time-varying tightness of...

Persistent link: https://www.econbiz.de/10010751386

Dynamic prediction pools: an investigation of financial frictions and forecasting performance

Del Negro, Marco; Schorfheide, Frank; Hasegawa, Raiden B. - Federal Reserve Bank of New York - 2014

pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE … evidence of time variation in the pool’s weights, reflecting the fact that the DSGE model with financial frictions produces …

Persistent link: https://www.econbiz.de/10010938565

Job search behavior over the business cycle

Mukoyama, Toshihiko; Sahin, Aysegul; Patterson, Christina - Federal Reserve Bank of New York - 2014

We create a novel measure of job search effort starting in 1994 by exploiting the overlap between the Current Population Survey and the American Time Use Survey. We examine the cyclical behavior of aggregate job search effort using time series and cross-state variation and find that it is...

Persistent link: https://www.econbiz.de/10010890133

Bank heterogeneity and capital allocation: evidence from "fracking" shocks

Plosser, Matthew Charles - Federal Reserve Bank of New York - 2014

This paper empirically investigates banks’ investment allocations over the recent business cycle. I identify unsolicited deposit shocks resulting from unconventional energy development and estimate bank allocations of these deposits. In the pre-recession period, banks lend 38 percent of...

Persistent link: https://www.econbiz.de/10010936676

Monetary tightening cycles and the predictability of economic activity

Estrella, Arturo; Adrian, Tobias - Federal Reserve Bank of New York - 2009

Eleven of fourteen monetary tightening cycles since 1955 were followed by increases in unemployment; three were not. The term spread at the end of these cycles discriminates almost perfectly between subsequent outcomes, but levels of nominal or real interest rates, as well as other interest rate...

Persistent link: https://www.econbiz.de/10008636165

Labor supply heterogeneity and macroeconomic comovement

Eusepi, Stefano; Preston, Bruce - Federal Reserve Bank of New York - 2009

spending shocks and news shocks--are shown to generate economic fluctuations consistent with observed business cycles. …

Persistent link: https://www.econbiz.de/10008636173

Monetary cycles, financial cycles, and the business cycle

Adrian, Tobias; Estrella, Arturo; Shin, Hyun Song - Federal Reserve Bank of New York - 2010

One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real activity. The economic rationale for this forecasting power usually appeals to expectations of future interest rates, which affect the slope of the term structure. In this paper,...

Persistent link: https://www.econbiz.de/10008636190

Financial intermediaries and monetary economics

Adrian, Tobias; Shin, Hyun Song - Federal Reserve Bank of New York - 2009

We reconsider the role of financial intermediaries in monetary economics. We explore the hypothesis that financial intermediaries drive the business cycle by way of their role in determining the price of risk. In this framework, balance sheet quantities emerge as a key indicator of risk appetite...

Persistent link: https://www.econbiz.de/10008636193

Investment shocks and the relative price of investment

Justiniano, Alejandro; Primiceri, Giorgio E.; … - Federal Reserve Bank of New York - 2009

We estimate a New-Neoclassical Synthesis model of the business cycle with two investment shocks. The first, an investment-specific technology shock, affects the transformation of consumption into investment goods and is identified with the relative price of investment. The second shock affects...

Persistent link: https://www.econbiz.de/10008636194

Cúrdia, Vasco; Reis, Ricardo - Federal Reserve Bank of New York - 2010

The dynamic stochastic general equilibrium (DSGE) models used to study business cycles typically assume that exogenous … econometric method that uses conjugate conditionals to allow for feasible and quick estimation of DSGE models with correlated … resolves some conflicts between estimates from DSGE models and those from vector autoregressions and that a key missing …

Persistent link: https://www.econbiz.de/10008553244