The authors provide a detailed exploration of two aspects of forecast behavior—uncertainty and disagreement. Using data from the European Central Bank’s Survey of Professional Forecasters (ECB-SPF), they derive individual measures of uncertainty and disagreement from reported point and density forecasts. Their empirical analysis indicates substantial heterogeneity in respondents’ uncertainty and disagreement.
By Robert Rich and Joseph Tracy, Staff Reports 808, February 2017
The authors examine the local long-run net impact of Hurricane Katrina and the subsequent policy response on New Orleans residents. They find that, ten years after the storm, inundated city residents have higher rates of insolvency and lower homeownership than their non-flooded neighbors, and that residents of the Gulf Opportunity Zone obtained net financial benefits.
By Zachary Bleemer and Wilbert van der Klaauw, Staff Reports 807, February 2017
Thirty years has marked the outer limit of Treasury bond maturities ever since the emergence of regular and predictable issuance of coupon-bearing Treasury debt in the 1970s. However, seven longer-term bonds, including one with a forty-year maturity, were issued between 1955 and 1963. The author examines the circumstances that led to the issuance of those seven bonds.
By Kenneth D. Garbade, Staff Reports 806, January 2017
For most mortgage transactions in the United States, intermediaries connect borrowers with capital market investors through the market for mortgage-backed securities. The authors show that during the 2008-14 period the price of intermediation was high and volatile. They explore the drivers of this variation and study its implications for the pass-through of monetary policy.
By Andreas Fuster, Stephanie H. Lo, and Paul S. Willen, Staff Reports 805, January 2017
The authors show that a classic Taylor rule exacerbates downside risk of GDP growth relative to an optimal Taylor rule, thus generating welfare losses associated with negative skewness of GDP growth.
By Tobias Adrian and Fernando Duarte, Staff Reports 804, December 2016
Do regulations decrease dealer incentives to intermediate trades? Using a unique data set of bond transactions linked to the balance sheets of individual institutions, the authors study the relationship between corporate bond market liquidity and dealer balance sheets, and track how this relationship changes over time.
By Tobias Adrian, Nina Boyarchenko, and Or Shachar, Staff Reports 803, December 2016
The authors have developed a model with banks that face occasionally binding leverage constraints, and in which bank’s equity interest is endogenous. In the model, they find that macroprudential policy designed to enhance the incentive for banks to issue equity lowers the probability of a financial crisis and increases welfare.
By Ozge Akinci and Albert Queralto, Staff Reports 802, November 2016