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Economic Research

Liberty Street Economics
End-of-Month Liquidity in the Treasury Market
Trading activity in benchmark U.S. Treasury securities now concentrates on the last trading day of the month. Moreover, this stepped-up activity is associated with lower transaction costs, as shown by a smaller price impact of trades. The authors observe that the high concentration of volume on the last trading day of the month coincides with the growth of passive funds that track index changes, which could help explain these patterns.
By Henry Dyer, Michael Fleming, and Or Shachar
Has Treasury Market Liquidity Improved in 2024?
The author explores current Treasury market liquidity, finding that standard metrics point to an improvement to levels last seen before the start of the current monetary policy tightening cycle. Volatility has also trended down, consistent with improved liquidity. Although at least one market functioning metric has recently worsened, the author argues that measure is an indirect gauge and suggests a far better level of current functioning than at the peak during the global financial crisis.
By Michael Fleming
The New York Fed DSGE Model Forecast—September 2024
The authors present an update of the economic forecasts generated by the Federal Reserve Bank of New York’s dynamic stochastic general equilibrium (DSGE) model. They describe their forecast and its change since June 2024.
By Sophia Cho, Marco Del Negro, Ibrahima Diagne, Pranay Gundam, Donggyu Lee, and Brian Pacula
AI and the Labor Market: Will Firms Hire, Fire, or Retrain?
Artificial intelligence (AI) has the potential to dramatically change the labor market and possibly the nature of work itself. The results of the authors’ August regional business surveys find most firms that expected to use AI in the next six months plan to retrain their workforces, with far fewer reporting adjustments to planned headcounts.
By Jaison R. Abel, Richard Deitz, Natalia Emanuel, and Benjamin Hyman
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Can Professional Forecasters Predict Uncertain Times?
Economic surveys are popular for telling how professional forecasters feel about the economy, but does this information provide any predictive content? The author focuses on the Philadelphia Fed’s Survey of Professional Forecasters (SPF) to ask: when professional forecasters indicate that their uncertainty about future output or inflation is higher, does that mean that output or inflation is actually becoming more uncertain, in the sense that the SPF will have a harder time predicting these variables?
By Marco Del Negro
Are Professional Forecasters Overconfident?
The post-COVID years have not been kind to professional forecasters, whether from the private sector or policy institutions: their forecast errors for both output growth and inflation have increased dramatically relative to pre-COVID. Are forecasters aware of their own fallibility, and can forecasters predict uncertain times? The answer to both questions is “no” for horizons longer than one year but is perhaps surprisingly “yes” for shorter-run forecasts.
By Marco Del Negro
RESEARCH TOPICS
Applied Macroeconomics
and Econometrics Center
The mission of the Applied Macroeconomics and Econometrics Center (AMEC) is to provide intellectual leadership in the central banking community in the fields of macro and applied econometrics.

Data Releases
Global Supply Chain Pressure Index
(Updated: Monthly)

Measuring the Natural Rate of Interest
(Updated: Quarterly)

Multivariate Core Trend Inflation
(Updated: Monthly)

The New York Fed DSGE Model
(Updated: Quarterly)

New York Fed Staff Nowcast
(Updated: Weekly)

Outlook-at-Risk
(Updated: Monthly)

Treasury Term Premia
(Updated: Daily)

Yield Curve as a Leading Indicator
(Updated: Monthly)
Center for Microeconomic Data
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Equitable Growth Indicators (EGIs)   
A measure of disparities across four economic outcomes—inflation, real and nominal earnings, employment, and real and nominal consumer spending.
Corporate Bond Market Distress Index (CMDI)
The CMDI is a summary metric of corporate bond market functioning based on information from multiple sources including measures of primary market issuance and pricing, secondary market pricing and liquidity conditions, and the relative pricing between traded and nontraded bonds. It updates monthly.
Regional Surveys
Monthly surveys conducted by the New York Fed track the sentiment of executives at regional manufacturing and service-sector firms regarding business conditions.

Data Releases
Empire State Manufacturing Survey
(Updated: Monthly)

Business Leaders Survey
(Updated: Monthly)

Regional Business Surveys:
Special Topics
(Updated: Quarterly)
Regional Employment Trends
These interactive charts track employment in state and metro regions in the Federal Reserve’s Second District, utilizing the New York Fed’s early benchmarks of payroll employment data. It updates monthly.
Mapping Home Price Changes
Explore year-over-year changes in home prices since 2003, both regionally and nationally, using this dynamic map — updated with new home price index data on a monthly basis. Hover over a county for granular data.
Early Benchmarked Employment Data
Monthly releases of early benchmarked employment figures for New York State, New Jersey, Puerto Rico, and the U.S. Virgin Islands, as well as the metropolitan areas in New York and Northern New Jersey
The Labor Market for Recent College Graduates
Labor market conditions improved slightly for recent college graduates in the second quarter of 2024. The unemployment rate edged down to 4.5 percent and the underemployment rate inched lower to 40.5 percent.
Recent Publications
Climate-Related Financial Stability Risks for the United States: Methods and Applications
Policymakers are keenly interested in assessing the resilience of the financial system in relation to climate change, leading to a surge of academic research on policy options. The authors review the burgeoning literature on climate-related risks, focusing especially on existing methodologies that have been used to study U.S. climate-related financial stability risks. They suggest ways these methodologies could be combined to obtain a more complete understanding of climate risks and vulnerabilities.
Celso Brunetti, Matteo Crosignani, Benjamin Dennis, Gurubala Kotta, Donald P. Morgan, Chaehee Shin, and Ilknur Zer, Economic Policy Review 30, no. 1, October 2024.
Need for Speed: Quality of Innovations and the Allocation of Inventors
The slowdown in productivity growth has become a central academic and policy discussion. The authors study how the tradeoff between speed and quality in innovation interacts with firm dynamics, concentration, and economic growth. They develop an endogenous growth model that incorporates the speed-quality tradeoff and show that allocating less labor toward speed increases growth, particularly in the presence of private benefits to innovation and spillovers in innovation.
Santiago Caicedo and Jeremy Pearce, Staff Report 1127, October 2024
Do Cost-of-Living Shocks Pass Through to Wages?
When firms set both prices and wages, how do workers’ wages respond to cost-of-living shocks, and how large is this response? To answer this, the authors develop a novel, tractable New Keynesian model that implies that the quits rate is the dominant predictor of nominal wage growth in the wage Phillips curve, consistent with recent U.S. data. They analyze the propagation of cost-of-living shocks in the model economy.
Justin Bloesch, Seung Joo Lee, and Jacob P. Weber, Staff Report 1126, October 2024
Inequality Within Countries is Falling: Underreporting Robust Estimates of World Poverty, Inequality, and the Global Distribution of Income
Household surveys suffer from persistent and growing underreporting. The authors seek to adjust household survey inequality measures to make them comparable to and consistent with more reliable national accounts data to accurately measure economic growth. They propose a methodology that enables them to infer the degree of adjustment required by comparing the regional distributions of national accounts aggregates and of household survey means.
Maxim Pinkovskiy, Xavier Sala-i-Martin, Kasey Chatterji-Len, and William Nober. Staff Report 1125, September 2024
The Pay and Non-Pay Content of Job Ads
How informative are job ads about the actual pay and amenities offered by employers? Using a comprehensive database of job ads posted by Norwegian employers, the authors develop a methodology to systematically classify the information on both pay and non-pay job attributes advertised in vacancy texts. Their findings suggest that publicly advertised job attributes are meaningful predictors of employer attractiveness, and non-pay attributes are about as predictive as pay-related attributes.
Richard Audoly, Manudeep Bhuller, and Tore Adam Reiremo, Staff Report 1124, September 2024
Payout Restrictions and Bank Risk-Shifting
What are the effects of payout restrictions on bank risk-shifting? To answer this question, the authors examine the restrictions imposed on U.S. banks during the COVID crisis. Using a high-frequency differences-in-differences empirical strategy, they show that when share buybacks are banned and dividends restricted, banks’ equity prices fall while their credit default swap spreads and bond yields decline. These results indicate that payout restrictions shift risk from debt holders to equity holders.
Fulvia Fringuellotti and Thomas Kroen, Staff Report 1123, September 2024
Financial System Architecture and Technological Vulnerability
The authors present a framework to study the technological resiliency of financial system architecture. Financial market infrastructures, or platforms, compete with critical functions along various stages in the lifecycle of a trade, and make investments in technological resiliency to guard against attackers seeking to exploit system weaknesses. The authors propose a theory of financial system architecture in which market structure and the technological vulnerabilities of its underlying infrastructure are endogenously determined by competition between these platforms.
Selman Erol and Michael Junho Lee, Staff Report 1122, September 2024
Optimal Design of Tokenized Markets
The authors explore the potential for a settlement system based on distributed ledger technology, through security tokenization, as a technological solution for traditional financial markets. Security tokenization refers to the representation of traditional financial assets and collateral on a distributed ledger. The main innovation of tokenization they focus on is the programmability of assets. Programmability allows traders to commit to settlement, thereby eliminating the potential for fails.
Michael Junho Lee, Antoine Martin, and Robert M. Townsend, Staff Report 1121, September 2024
RESEARCH SERIES
Economic Inequality
This ongoing Liberty Street Economics series analyzes disparities in economic and policy outcomes by race, gender, age, region, income, and other factors.
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