Deepa D. Datta and Nitzan Tzur-IlanTo better understand the stalled progress of women in economics, we construct new data on women’s representation and research output in one of the largest policy institutions—the Federal Reserve System. We document a slight increase in women’s representation over the past 20 years, in line with academic trends.
Mohammad R. Jahan-Parvar, Yuriy Kitsul, Jamil Rahman, and Beth Anne WilsonWe document that foreign economic policy uncertainty (EPUF) has significant incremental predictive power for excess U.S. stock returns in the presence of domestic EPU, both in aggregate and for returns of portfolios constructed on firm characteristics, for 6 to 12-months-ahead horizons.
Travis D. NesmithRisk was first incorporated into monetary aggregation over thirty-five years ago, using a stochastic version of the workhorse money-in-the-utility-function model. Nevertheless, the mathematical foundations of this stochastic model remain shaky. To firm the foundations, this paper employs a slightly richer probability concept than standard Borel-measurability, which enables me to prove the existence of a well-behaved solution and to derive stochastic Euler equations.
Swapan-Kumar Pradhan, Előd Takáts, Judit TemesvaryWe use a rarely accessed BIS database on bilateral cross-border bank claims by bank nationality to examine the interaction of monetary and fiscal policies. We find significant interactions: the transmission of the monetary policies of major currency issuers is significantly influenced by the fiscal stance of source (home) lending banking systems. Fiscal consolidation in a source country amplifies the effect of currency issuers' monetary policy on lending.
Carol Bertaut, Stephanie E. Curcuru, Ester Faia, Pierre-Olivier GourinchasThe allocative efficiency of capital flows is one of the oldest and most contentious questions. We answer it by matching cross-border securities holdings reported in the US external statistics from 1995 to 2022 with the corresponding firm-level measures of allocative efficiency.
Connor M. Brennan, Margaret M. Jacobson, Christian Matthes, Todd B. WalkerDifferent series of high-frequency monetary shocks can have a correlation coefficient as low as 0.3 and the same sign in only one half of observations. Both data and methods drive these differences, which are starkest when the federal funds rate is at its effective lower bound. After documenting differences in monetary shock series, we explore their consequence for inference in several specifications.
Dan Li, Phillip J. Monin, and Lubomir PetrasekConstraints on the supply of credit by prime brokers affect hedge funds' leverage and performance. Using dealer surveys and hedge fund regulatory filings, we identify individual funds' credit supply from the availability of credit under agreements currently in place between a hedge fund and its prime brokers.
Aditya Aladangady, Jacob Krimmel, and Tess ScharlemannRising interest rates in 2022 introduced large moving costs for homeowners with low, fixed-rate mortgages.
Carol C. Bertaut, Stephanie E. Curcuru, Ester Faia, Pierre-Olivier GourinchasWe provide new estimates of the return on US external claims and liabilities using confidential, high-quality, security-level data. The excess return is positive on average, since claims are tilted toward higher-return equities.
Yavuz Arslan, Ahmet Degerli, Bulent Guler, Gazi Kabas, and Burhan KuruscuWe identify and study two mechanisms that can overturn the stabilizing effects of unemployment insurance (UI) policies. First, households in economies with more generous UI reduce their precautionary savings and increase their mortgage debt. Second, the share of mortgages, especially those with higher loan-to-income ratios, increases on bank balance sheets.
