This paper examines the history of mREITs and their broader role in the REIT industry. Additionally, it reviews how mREITs operate, how they are regulated, the risks they face, how they manage these risks, and the dangers they pose for the broader financial system

Expected returns are what we expect to earn over the next year if we choose to invest today. The expected return is not plucked out of thin air, but is modeled by our hero: The Econometrician. In scholastic seminars, he explains how to interpret expected bond returns, and in client emails, the...

The addition of the St. Louis Fed's Archival Publications database, FRASER, provides a unique opportunity for the world of economic research. This white paper describes the detail behind a new set of series made possible by FRASER: A monthly database on Foreign Purchases and Sales of Long-term...

This paper lists the contents of the Capital Markets Data Project monthly database, CMD-MD. A subset of the database is free to download and complements the economic content of the FRED monthly database. CMD-MD contains 367 series centered around the capital markets and is available for download

This brief note builds on Sabol (2015) by describing ways to account for forecasting errors made about the expected path of short-term interest rates in a model of expected bond returns. I consider the Cieslak and Povala (2014) model of monetary policy expectations frictions as one such measure...

Guillaume, Rebonato and Pogudin (2010) established that rate volatility or the amount an interest rate can move is related to the initial level of the yield. In this brief note, I take their analysis one step further to show that this level dependence is related to inflation volatility being...

Barnichon and Nekarda (2012) have brought attention to forecasting the labor market using the bathtub model. In addition Diebold and Yilmaz (2009) have made substantial advances to the spillover literature by introducing connectedness tables and plots. We blend the two works to answer two...

Cieslak and Povala (2011) discovered that conditioning levels of interest rates on trend inflation helps to forecast bond returns. This note explores that theme using other measures of trend including trend GDP growth. I find that a model free de-trending of rates by trend GDP performs as well...