The vast collections 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 monthly series made possible by FRASER and FRED: U.S. imports and exports by country and...

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...

There has never been a thorough analysis of Treasury spline errors. All that is known is the consequence of assumption. Measurement without theory ruffles the waters surrounding theories of liquidity risk in Treasury markets. A central question posited by this paper is: Is the on-off spread...

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

I study the relationship between two old bond topics: The Government bond dealer and new-seasoned bond spreads. I establish empirical support for the Gaines (1962) 'amplification hypothesis' that changes in net positions have a causal effect on the spreads offered by primary dealers: net...

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...