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Economic Research

Liberty Street Economics
Just Released: The New York Fed’s New Regional Economy Website
The New York Fed unveils a newly designed website on the regional economy that offers convenient access to a wide array of regional data, analysis, and research. The new site also features information about the Bank’s community engagement and outreach efforts across the Second District of the Federal Reserve, which includes New York State, Northern New Jersey, Southwestern Connecticut, Puerto Rico, and the U.S. Virgin Islands.
By Jaison R. Abel, Jason Bram, Richard Deitz, and Jonathan Hastings
Is the Recent Tax Reform Playing a Role in the Decline of Home Sales?
The average interest rate on thirty-year fixed-rate mortgages rose from 3.9 percent to 4.6 percent, from the fourth quarter of 2017 through the third quarter of 2018. During the same period, there was a broad-based slowdown in housing market activity. Our researchers find evidence that suggests changes in federal tax laws enacted in December of 2017 also contributed to the slowing of housing market activity through much of 2018.
Richard Peach and Casey McQuillan
The Sustainability of First-Time Homeownership
Our bloggers close their series on first-time homebuyers by examining the sustainability of homeownership for this group. They introduce a sustainability scorecard as an illustration of how to evaluate the effectiveness of different mortgage programs intended to promote sustainable homeownership for first-time buyers. This scorecard shows that the FHA/VA programs, on average, produce lower sustainability rates even when differences in borrower characteristics are taken into account.
By Donghoon Lee and Joseph Tracy
Who’s on First? Characteristics of First-Time Homebuyers
An accurate assessment of first-time homebuyers is important because the aim of many housing policies is to support the transition from renting to owning. In this post, our bloggers examine the characteristics of first-time homebuyers. Among their findings: the share of first-time buyers has been slowly increasing since 2014 despite a decline in the average zip code income for these buyers.
By Donghoon Lee and Joseph Tracy
A Better Measure of First-Time Homebuyers
Our bloggers open a series of three posts on first-time homebuyers by introducing a better measure of the share of first-time buyers in the market. They also examine the dynamics of first-time buyers over the past seventeen years. Their research shows that despite ups and downs resulting from the housing boom and bust, the share of first-time homebuyers in 2016 is similar to its level in the early 2000s.
By Donghoon Lee and Joseph Tracy
Recent Publications
Tick Size Change and Market Quality in the U.S. Treasury Market
Tick size, or the minimum price increment, influences trading strategies and market outcomes. The authors study a recent tick size reduction in the U.S. Treasury securities market and identify the effects on the market's liquidity and price efficiency. Among their findings: Based on difference-in-difference regressions, the bid-ask spread narrows significantly, even for large trades, coupled with increased trading activity. Overall, the authors conclude that the tick size reduction improves market quality.
Michael Fleming, Giang Nguyen, and Francisco Ruela, Staff Report 886, April 2019
Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed since the Crisis?
This article studies the relationship between the business cycle and financial intermediation in the euro area. The authors establish stylized facts and study their stability during the global financial crisis and the European sovereign debt crisis. Long-term interest rates have been exceptionally high, and long-term loans and deposits have been exceptionally low, since the Lehman collapse. However, short-term interest rates and short-term loans and deposits did not show abnormal dynamics in the course of the financial and sovereign debt crisis.
Domenico Giannone, Michele Lenza, and Lucrezia Reichlin, Staff Report 885, April 2019
Why Are Some Places So Much More Unequal Than Others?
This study examines the magnitude and sources of regional wage inequality in the United States. The authors find that, as in the nation as a whole, wage inequality has increased in nearly every metropolitan area since the early 1980s, though there is significant variation among places in both the degree of wage inequality and the pace at which it has risen.
Jaison R. Abel and Richard Deitz, Economic Policy Review, Forthcoming
Deconstructing the Yield Curve
The authors propose a new method for resampling the yield curve that is agnostic to the true underlying factor structure and the correct specification of the pricing model, and robust to unknown forms of serial correlation, conditional heteroskedasticity, cross-sectional dependence, and measurement error. They show the applicability of their results for (i) predicting bond returns, beyond the level and slope of the yield curve, by macro variables and equity tail risk measures, and (ii) computing the bias-corrected probability of recession based on the term spread.
Richard K. Crump and Nikolay Gospodinov, Staff Report 884, April 2019
Understanding Migration Aversion Using Elicited Counterfactual Choice Probabilities
Residential mobility rates in the United States have fallen considerably over the past three decades. The cause of the long-term decline remains largely unexplained. In this paper, the authors investigate the relative importance of alternative drivers of residential mobility, including job opportunities, neighborhood and housing amenities, social networks, and housing and moving costs, using data from two administrations of the New York Fed’s Survey of Consumer Expectations.
Gizem Koşar, Tyler Ransom, and Wilbert van der Klaauw, Staff Report 883, April 2019
Trends in Household Debt and Credit
The authors examine trends in household debt before, during, and since the financial crisis and Great Recession, using data from the New York Fed Consumer Credit Panel. Their analysis shows that although total household debt has recovered to its pre-recession level in nominal terms, its composition and characteristics have changed dramatically along many dimensions.
Andrew Haughwout, Donghoon Lee, Joelle Scally, Lauren Thomas, and Wilbert van der Klaauw, Staff Report 882, April 2019
On Binscatter
This paper presents the first foundational study of binscatter—a very popular methodology for approximating the conditional expectation function in applied microeconomics. The authors provide several theoretical and practical results, which aid both in understanding the validity, or the lack thereof, of current practices, and in offering principled guidance for future applications. Their results are illustrated with simulated and real data throughout. Companion general-purpose software packages for Stata and R are provided.
Matias D. Cattaneo, Richard K. Crump, Max H. Farrell, and Yingjie Feng, Staff Report 881, February 2019