Federal Reserve

FEDS Paper: Duration of Capital Market Exclusion: An Empirical Investigation

12/06/2024 Federal Reserve Central banks

Daniel A. Dias, Christine Richmond, and Grant WestfahlThis paper investigates the duration of market exclusion following a sovereign default and its resolution. We employ multiple definitions of market access, differentiating between gross versus net borrowing and partial versus full access, to measure the time it takes for countries to regain entry into international capital markets following a sovereign default and resolution.

FEDS Paper: Measuring Inclusion: Gender and Coauthorship at the Federal Reserve Board

12/05/2024 Federal Reserve Central banks

Deepa D. Datta and Robert J. VigfussonRelative to diversity, inclusion is much harder to measure. We measure inclusion of women in economics using novel data on coauthoring relationships among Federal Reserve Board economists. Individual coauthoring relationships are voluntary, yet inclusion in coauthoring networks can be central to research productivity and career success.

IFDP Paper: Foreign economic policy uncertainty and U.S. equity returns

12/03/2024 Federal Reserve Central banks

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.

FEDS Paper: Revisiting Risky Money

11/26/2024 Federal Reserve Central banks

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.

IFDP Paper: How Does Fiscal Policy affect the Transmission of Monetary Policy into Cross-border Bank Lending? Cross-country Evidence

11/25/2024 Federal Reserve Central banks

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.

FEDS Paper: Monetary Policy Shocks: Data or Methods?(Revised)

11/21/2024 Federal Reserve Central banks

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.

FEDS Paper: Credit Supply and Hedge Fund Performance: Evidence from Prime Broker Surveys

11/21/2024 Federal Reserve Central banks

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.

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