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Economic Research

Liberty Street Economics
What Is Corporate Bond Market Distress?
In a February 2021 Liberty Street Economics post, the authors introduced a unified measure of corporate bond market distress, the Corporate Bond Market Distress Index (CMDI). Today they are launching the CMDI as a regularly produced data series with new readings to be published each month. In this post, they describe what constitutes corporate bond market distress and what motivates the construction of the CMDI, and argue that secondary market measures alone are insufficient to capture market functioning.
By Nina Boyarchenko, Richard Crump, Anna Kovner, and Or Shachar
The First Global Credit Crisis
June 2022 marks the 250th anniversary of the outbreak of the 1772-3 credit crisis. Although not widely known today, it was arguably the first modern global financial crisis in terms of the role that private-sector credit and financial products played, in the paths of financial contagion that propagated the initial shock, and in the way authorities intervened to stabilize markets. In this post, the authors describe these developments and note the parallels with modern financial crises.
By Stein Berre, Paul Kosmetatos, and Asani Sarkar
The New York Fed DSGE Model Forecast—June 2022
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 March 2022.
By Marco Del Negro, Aidan Gleich, Shlok Goyal, Alissa Johnson, and Andrea Tambalotti
How Is the Corporate Bond Market Responding to Financial Market Volatility?
The Russian invasion of Ukraine increased uncertainty around the world. Although U.S. companies have limited direct exposure to Ukrainian and Russian trading partners, increased global uncertainty may still have an indirect effect on funding conditions through tightening financial conditions. The authors examine how conditions in the U.S. corporate bond market have evolved since the start of the year through the lens of the U.S. Corporate Bond Market Distress Index (CMDI).
By Nina Boyarchenko, Richard Crump, Anna Kovner, and Or Shachar
Does China’s Zero Covid Strategy Mean Zero Economic Growth?
The Chinese government has followed a “zero covid strategy” (ZCS) ever since ending its first round of lockdowns in March/April 2020. While this strategy has been effective at maintaining low infection levels and strong manufacturing and export activity, its viability is being severely strained by the spread of increasingly infectious coronavirus variants. As a result, the authors find that there now appears to be a fundamental incompatibility between the ZCS and the government’s economic growth objectives.
By Hunter Clark and Lawrence Lin
RESEARCH EVENT
July 13 Workshop: Inflation, Unemployment, and Monetary Policy
We would like to invite educators from schools in the Second District to a professional development workshop.

Educators will learn pedagogical strategies for demystifying the topics of inflation and unemployment in the classroom. Those who complete the requirements for the workshop will receive 1.5 hours of Continuing Education/CTLE credit.

REGISTER
Wednesday, July 13
online via WebEx
10:00-11:30 am
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)

The New York Fed DSGE Model
(Updated: Quarterly)

Treasury Term Premia
(Updated: Daily)

Underlying Inflation Gauge
(Updated: Monthly)

Yield Curve as a Leading Indicator
(Updated: Monthly)

Weekly Economic Index (WEI)
(Updated: Weekly)
Center for Microeconomic Data
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
U.S. Economy in a Snapshot
U.S. Economy in a Snapshot is a monthly presentation designed to give you a quick and accessible look at developments in the economy.
Oil Price Dynamics Report
Our oil price decomposition, reported weekly, examines what’s behind recent fluctuations in oil prices: demand factors, supply factors, or some combination of the two?
Empire State Manufacturing Survey
Business activity was little changed in New York State, according to firms responding to the June 2022 Empire State Manufacturing Survey.
Business Leaders Survey
Growth stalled in the region’s service sector, according to firms responding to the Federal Reserve Bank of New York’s June 2022 Business Leaders Survey.
Supplemental Survey Report
Supplementary questions to the May Empire State Manufacturing Survey and Business Leaders Survey focused on businesses’ short- and longer-term expectations for inflation (as measured by the Consumer Price Index—CPI), as well as recent and expected changes in their own selling prices (the prices they receive from their customers).
The Labor Market for Recent College Graduates
Recent college graduates increasingly found jobs in early 2022 as the unemployment rate dropped to 4.0 percent, its lowest level since the pandemic began. While the underemployment rate edged up to 41.4 percent, it has now returned to its pre-pandemic level.
Nowcasting Report
Weekly report tracks the evolution of the New York Fed Staff Nowcast of GDP growth and the impact of new macroeconomic data releases on the forecast.
Measuring the Natural Rate of Interest
The Laubach-Williams and Holston-Laubach-Williams models provide estimates of the natural rate of interest, or r-star, and related variables for the United States and other advanced economies. We share quarterly estimates as well as the replication code and documentation for both models.
Recent Publications
Special Issue:
Policy Actions in Response to the COVID-19 Pandemic
In response to the economic dislocations brought about by the COVID-19 pandemic, the Federal Reserve, along with other players in the official sector—including institutions like the Treasury and Congress—launched a number of facilities and other policy interventions to support market functioning and the flow of credit to households and businesses. Ten new articles focus on those facilities, offering background on the market conditions that led to their establishment, details on the facilities’ design, and assessments of their impact.

View the individual articles
View the full issue
When It Rains, It Pours: Cyber Risk and Financial Conditions
The authors explore how systemic cyber risk is related to financial system disruptions, to see whether it’s appropriate to continue to view cyber and other financial shocks as uncorrelated vulnerabilities. In other words, when it rains and negative shocks lead to financial market dislocations, does it also pour by increasing the risks posed by a cyber attack?
Thomas M. Eisenbach, Anna Kovner, and Michael Junho Lee, Staff Report 1022, June 2022
Income Inequality and Job Creation
Since the 1970s the share of income accruing to high-income households in the United States has increased substantially. Today the top 10 percent income share stands at around 50 percent, and addressing inequality has become a central issue for policy makers. The authors establish a link between top income shares and job creation at firms of different sizes. They propose a novel mechanism through which rising top income shares alter the relative availability of funding between small and large firms, and thereby affect their job creation.
Donggyu Lee, Sebastian Doerr, and Thomas Drechsel, Staff Report 1021, June 2022
A Robust Test for Weak Instruments with Multiple Endogenous Regressors
First-stage tests—as those proposed in Stock and Yogo (2005), or more recently Montiel Olea and Pflueger (2013)—are a widely used diagnostic tool to assess instrument relevance in empirical applications that involve instrumental variables. When researchers are not comfortable imposing homoskedasticity assumptions for second-stage inference, they should also avoid imposing such assumptions in first-stage testing procedures. In this paper, the authors generalize the testing approach of Montiel, Olea, and Pflueger (2013) to provide a first-stage test that is valid under heteroskedasticity and autocorrelation regardless of the number of endogenous regressors.
Daniel J. Lewis and Karel Mertens, Staff Report 1020, June 2022
Government Procurement and Access to Credit: Firm Dynamics and Aggregate Implications
A government’s purchase of goods and services is done by awarding public procurement contracts to private firms. The authors employ a newly created panel data set of administrative data that merges Spanish credit register loan data, quasi-census firm-level data, and public procurement projects to study firm selection into procurement and the effects of procurement on credit growth and firm growth.
Julian di Giovanni, Manuel-García Santana, Priit Jeenas, Enrique Moral-Benito, and Josep Pijoan-Mas, Staff Report 1006, February 2022
Scarce, Abundant, or Ample? A Time-Varying Model of the Reserve Demand Curve
Does the federal funds rate respond to shocks when aggregate reserves are in the trillions of dollars? Has banks’ demand for reserves moved over time? The authors provide a structural time-varying estimate of the slope of the reserve demand curve over 2010-21. Consistent with economic theory, their estimates show a nonlinear demand function that exhibits a negative slope in 2010-11 and 2018-19 but is flat over 2012-17 and after mid-2020. They also find that the curve has moved outward, both vertically and horizontally.
Gara Afonso, Domenico Giannone, Gabriele La Spada, and John C. Williams, Staff Report 1019, May 2022
Expectations Data in Structural Microeconomic Models
Across a wide range of applied research areas in economics, structural models are used to understand the decision making of economic agents and to evaluate the effects of counterfactual policies. In almost all cases, these models have been estimated using data on the choices agents make. A burgeoning literature, however, uses data on expectations instead of, or in addition to, data on observed choices. Expectations data can refer to data on how an economic agent believes some uncertain feature of reality will evolve or what choices the agents predict they will make in the future. The authors review this literature, with an emphasis on models of individual and household behavior.
Gizem Kosar and Cormac O'Dea, Staff Report 1018, May 2022
The GSCPI: A New Barometer of Global Supply Chain Pressures
The authors propose a novel indicator to capture pressures that arise at the global supply chain level, the Global Supply Chain Pressure Index (GSCPI). The authors assess the GSCPI's capacity to explain inflation outcomes, using the local projection method. Their analysis shows that recent inflationary pressures are closely related to the behavior of the GSCPI, especially at the level of producer price inflation in the United States and the euro area.
Gianluca Benigno, Julian di Giovanni, Jan J.J. Groen, and Adam I. Noble, Staff Report 1017, May 2022
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