In their influential work on the consumption-wealth relationship, Lettau and Ludvigson found that while consumption responds to permanent changes in wealth in the expected manner, most changes in wealth are transitory with no effect on consumption. We investigate the robustness of these results...

This paper develops a new approach to change-point modeling that allows for an unknown number of change points in the observed sample. Our model assumes that regime durations have a Poisson distribution. The model approximately nests the two most common approaches: the time-varying parameter...

This paper discusses Bayesian inference in change-point models. Current approaches place a possibly hierarchical prior over a known number of change points. We show how two popular priors have some potentially undesirable properties, such as allocating excessive prior weight to change points...

Methods of monetary policy implementation continue to change. The level of reserve supply - scarce, abundant, or somewhere in between - has implications for the efficiency and effectiveness of an implementation regime. The money market events of September 2019 highlight the need for an...

Methods of monetary policy implementation continue to change. The level of reserve supply - scarce, abundant, or somewhere in between - has implications for the efficiency and effectiveness of an implementation regime. The money market events of September 2019 highlight the need for an...

Methods of monetary policy implementation continue to change. The level of reserve supply-scarce, abundant, or somewhere in between-has implications for the efficiency and effectiveness of an implementation regime. The money market events of September 2019 highlight the need for an analytical...

We offer a parsimonious model of the reserve demand to study the tradeoffs associated with various monetary policy implementation frameworks. Prior to the 2007-09 financial crisis, many central banks supplied scarce reserves to execute their interest-rate policies. In response to the crisis,...

This paper documents macroeconomic forecasting during the global financial crisis by two key central banks: the European Central Bank and the Federal Reserve Bank of New York. The paper is the result of a collaborative effort between staff at the two institutions, allowing us to study the...

Monetary policymakers and long-term investors would benefit greatly from a measure of underlying inflation that uses all relevant information, is available in real time, and forecasts inflation better than traditional underlying inflation measures such as core inflation measures. This paper...

This paper documents macroeconomic forecasting during the global financial crisis by two key central banks: the European Central Bank and the Federal Reserve Bank of New York. The paper is the result of a collaborative effort between the two institutions, allowing us to study the time-stamped...