Working Papers - Federal Reserve Bank of Atlanta - FRB Atlanta Several series of papers presenting the scholarly research of Atlanta Fed staff economists and visiting scholars. Community Affairs discussion papers address topical issues in community development. en-us Atlanta Fed Logo Consumer Use of Multiple Payment Methods 9A31C37C-4F6D-4018-8A69-43AB051D9FBE Mon, 07 Oct 2019 07:30:00 EST The author applies concentration measures to investigate the degree to which buyers choose to diversify their use of payment methods among cash, credit cards, and debit cards for in-person purchases. The author also investigates which buyers use only one payment instrument. Synergizing Ventures 9C1F9F6F-EE7E-4B38-B0EB-5911C18A1364 Mon, 09 Sep 2019 10:52:00 EST The authors show empirically that venture capitalists (VCs) disproportionately back promising young startups and nurture them into superstar firms. A macroeconomic model highlights these synergies between VCs and startups in explaining the significant impact of VC on aggregate growth. Leverage over the Firm Life Cycle, Firm Growth, and Aggregate Fluctuations 2BAA3AAC-DA04-48B4-AEEB-42173632C1A6 Mon, 09 Sep 2019 10:59:00 EST Atlanta Fed research looks at the leverage of U.S. firms over their life cycles, finding that firm age and size are related to leverage for private firms but not for public firms. Driven from Work: Graduated Driver License Programs and Teen Labor Market Outcomes -driver-license-programs-and-teen-labor-market -outcomes?item=15AF251F-40D0-4273-BAA0-9F4F72F39B16 15AF251F-40D0-4273-BAA0-9F4F72F39B16 Thu, 25 Jul 2019 07:00:00 EST In response to a high incidence of motor vehicle accidents among teens, states have adopted policies that broadly mandate restrictions on novice teen drivers. The authors explore the unintended consequences of these restrictions on the labor/leisure tradeoff of teens. Common Ownership Does Not Have Anti-Competitive Effects in the Airline Industry 87AD07F8-43CB-4969-8353-236CD4CF391A Mon, 08 Jul 2019 06:00:00 EST Institutional investors often own equity in firms competing in the same product market, and these owners may have an incentive to take actions leading to anti-competitive pricing. The authors use data on airline ticket prices to test whether common owners induce anti-competitive pricing behavior. Delayed Collection of Unemployment Insurance in Recessions 089DC7C2-6DDB-4319-BEB3-35934EE49594 Mon, 24 Jun 2019 13:27:00 EST The author shows that allowing delayed unemployment benefit collection can increase unemployed workers' willingness to work, even though more benefits reduce work incentives. She offers evidence using policy variations over time and across states and quantifies the policy effect in a dynamic model. The Evolution of Health over the Life Cycle CE9E34BF-D2D8-4FC7-AB9E-B1D2017B2184 Mon, 17 Jun 2019 06:00:00 EST Atlanta Fed research examines the evolution of health over an individual's life cycle using the frailty index, a unified and objective measure of health status. Surveying Business Uncertainty 29CCC36D-549B-40FF-BCCA-7E7FAE48A007 Mon, 17 Jun 2019 07:00:00 EST New research examines the Survey of Business Uncertainty, which measures expected outcomes for sales, employment, and investment and the uncertainty surrounding those expectations. Cashless Stores and Cash Users EA6FC237-49C1-46FA-860A-C82745245ECE Wed, 01 May 2019 14:30:00 EST Cashless stores' emergence has led some governments to ban them. This paper considers consumers who pay cash for in-person purchases and consumers who lack credit or debit cards. The author's model estimates the drop in average per-payment consumer surplus if all stores became cashless. Search Complementarities, Aggregate Fluctuations, and Fiscal Policy 06CC16BF-D444-4460-923F-27718DC1DCDD Mon, 29 Apr 2019 14:00:00 EST The authors develop a business cycle model that includes various types of equilibria. They consider an active equilibrium and a passive equilibrium and how government intervention affects economic recovery in both in periods of protracted economic downturns. Intellectual Property, Tariffs, and International Trade Dynamics BD38CE3D-BF73-4365-9E1D-C0753FBE0877 Mon, 29 Apr 2019 14:30:00 EST Atlanta Fed research examines the U.S.-China trade relationship through the prism of tariffs' effects on protections for U.S. intellectual property. Did the 2017 Tax Reform Discriminate against Blue State Voters? DEBA4B62-DF5C-447D-9207-4ED4C91EE9A2 Wed, 10 Apr 2019 14:31:00 EST New Atlanta Fed research looks at how the 2017 tax reform affected different states in different ways. The Two-Pillar Policy for the RMB 73C8E542-F018-4C17-BFC4-A85DCF6D8739 Wed, 10 Apr 2019 14:35:00 EST Atlanta Fed research examines the renminbi, finding a policy seeking to balance the currency's index stability and exchange rate flexibility. Is Stricter Regulation of Incentive Compensation the Missing Piece? 16DD1E61-4C2F-4AD4-A45A-FBCFCB543D73 Wed, 27 Mar 2019 14:39:00 EST New Atlanta Fed research asks if regulation of incentive compensation would enhance financial system stability. Intermediation in Markets for Goods and Markets for Assets 4B946757-C994-402D-9DD7-9AAC86B8A875 Wed, 27 Mar 2019 14:38:00 EST New Atlanta Fed research examines intermediation in financial markets, finding that it is more prone to instability than in goods markets. A Theory of Housing Demand Shocks E54FAFD7-7915-4153-A37E-B3E5A11A480D Mon, 25 Mar 2019 11:20:00 EST New Atlanta Fed research provides a microeconomic foundation that accounts for volatile price-to-rent ratios in house prices. Bayesian Nonparametric Learning of How Skill Is Distributed across the Mutual Fund Industry B283EC8A-F35C-4594-9419-F076B3F2F3F2 Thu, 07 Mar 2019 10:42:00 EST New Atlanta Fed research estimates the skill of actively managed mutual funds. How Currency Denomination and the ATM Affect the Way We Pay E1333DBE-CE21-48D1-9BDD-1837D1CF302C Mon, 25 Feb 2019 16:09:00 EST New Atlanta Fed research examines how denominations dispensed by ATMs affect consumers' purchasing decisions. Migration Constraints and Disparate Responses to Changing Job Opportunities 84226755-50CC-4671-BC17-4DF8FEDC206A Fri, 08 Feb 2019 14:30:00 EST New Atlanta Fed research examines the role constraints to migration might play in explaining racial/ethnic disparities in the labor market. Inference in Bayesian Proxy-SVARs 0C403088-25D8-433B-A502-AAD7A805B633 Thu, 06 Dec 2018 12:09:00 EST New Atlanta Fed research examines the use of external instruments in identifying structural vector autoregressions. Ambiguity Aversion and Variance Premium E240AC13-4C02-4C3F-AB21-147C123C3F40 Wed, 05 Dec 2018 15:00:00 EST New Atlanta Fed research examines the ambiguity-based interpretation of variance premium. Financial Intermediation Chains in an OTC Market 4DF5B560-D086-497B-8105-AB14272C783C Wed, 05 Dec 2018 15:14:00 EST New Atlanta Fed research examines financial intermediation chains in a search model with an endogenous intermediary sector. Can the U.S. Interbank Market Be Revived? 8D4C382F-5E95-4A0C-9E63-F9117043EB7B Mon, 26 Nov 2018 10:50:00 EST New Atlanta Fed research examines the diminished interstate banking market and whether it can be revived. Macroeconomic Effects of China's Financial Policies DBBA5FB3-1490-463A-B6A3-E9044AAF026B Fri, 16 Nov 2018 09:24:00 EST New Atlanta Fed research studies the impacts of various Chinese financial policies over several decades. Technological Change and Financial Innovation in Banking: Some Implications for Fintech 30EDB069-0618-4BC7-961F-3BEE7FCB2DE1 Tue, 02 Oct 2018 11:37:00 EST New Atlanta Fed research studies the implications of technological change on financial innovation. Villains or Scapegoats? The Role of Subprime Borrowers in Driving the U.S. Housing Boom EBAA6021-7783-46A8-B229-C83E9F7E0C67 Tue, 28 Aug 2018 09:57:00 EST New Atlanta Fed research examines the effect that subprime borrowing had on the housing boom. Decentralization and Overborrowing in a Fiscal Federation 1B36C8AD-7518-4305-AEB7-A76D7AC4F68F Wed, 15 Aug 2018 09:25:00 EST New Atlanta Fed research examines how quantitative easing influenced the behavior of Agency mortgage REITs. Bank Runs without Sequential Service 4C8F358D-5C66-44A2-8937-89D24D6D6CCF Fri, 03 Aug 2018 09:00:00 EST New Atlanta Fed research examines the information needed to help explain the bank runs observed during the recent financial crisis. Unconventional Monetary Policy and Risk-Taking: Evidence from Agency Mortgage REITs 64C12994-17BC-4345-AC05-F6180F1106C2 Fri, 03 Aug 2018 09:30:00 EST New Atlanta Fed research examines how quantitative easing influenced the behavior of Agency mortgage REITs. Fiscal Implications of the Federal Reserve's Balance Sheet Normalization D91C2C35-2C26-4FEB-8E85-008540778439 Fri, 03 Aug 2018 09:15:00 EST New Atlanta Fed research examines different scenarios for the Federal Reserve's longer-run balance sheet on its earnings remittances to the U.S. Treasury. In-migration and Dilution of Community Social Capital E89ACA04-0318-422A-8C4E-F2B0A3FDACD0 Tue, 03 Jul 2018 10:30:00 EST New Atlanta Fed research examines the diluting role of high levels of in-migration on a community's social capital. State Merit Aid Programs and Youth Labor Market Attachment DF24C8BA-7A79-499B-AF82-B0B9BF70C38F Thu, 28 Jun 2018 14:10:00 EST New Atlanta Fed research examines trends in youth labor market attachment and the role of state merit aid programs. Individual Social Capital and Migration 73DF97E9-5CD9-420D-BA18-8A64931978DA Fri, 16 Mar 2018 16:19:00 EST New Atlanta Fed research examines the role of social capital in migration decisions. Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors 9BA94931-CF1F-445B-8C2B-3C89FB1862EA Thu, 22 Feb 2018 13:25:00 EST New Atlanta Fed research studies innovative models using Bayesian inference. Some Like It Hot: Assessing Longer-Term Labor Market Benefits from a High-Pressure Economy D246D113-F1E5-4ABD-8CBB-C0E3AD12C1D0 Tue, 30 Jan 2018 12:59:00 EST New Atlanta Fed research studies economic effects of low unemployment. Overconfidence, Subjective Perception, and Pricing Behavior 4BBD8D8D-7092-461C-B3DC-BC7AF0926E68 Tue, 28 Nov 2017 12:48:00 EST New Atlanta Fed research studies price setting and overconfidence. A Tax Plan for Endogenous Innovation 4EECF82E-6331-4719-819F-A9C8B71B5EB3 Thu, 16 Nov 2017 13:00:00 EST New Atlanta Fed research studies fiscal incentives to boost innovation. Optimal Time-Consistent Taxation with Default F5BBCE6D-B938-4D33-8D7D-FCC4A0729493 Thu, 16 Nov 2017 12:30:00 EST New research studies optimal time-consistent distortionary taxation. Asset Co-movements: Features and Challenges 6E31C382-1068-44C9-8A65-536224041F6A Thu, 16 Nov 2017 12:00:00 EST New research studies U.S. and international asset co-movements. General Aggregation of Misspecified Asset Pricing Models 06A32D9F-CE6B-40B6-9DA9-C4FDB7E43CB8 Thu, 16 Nov 2017 11:30:00 EST Research studies the general aggregation of misspecified asset pricing models. Too Good to Be True? Fallacies in Evaluating Risk Factor Models 6EBAEA45-47D2-4FB8-98D2-557B13EF75F8 Thu, 16 Nov 2017 11:00:00 EST New Atlanta Fed research studies fallacies in evaluating risk factor models. Taxes and Market Hours: The Role of Gender and Skill 4629A9AF-EFB8-41D2-862E-D4B3AB894824 Mon, 25 Sep 2017 08:38:00 EST Cross-country differences in market hours are mainly due to the hours of women, especially low-skilled women. Taxes and family-care subsidies can account for a substantial fraction of the cross-country differences in market hours by gender and skill. Family Welfare and the Cost of Unemployment 21435B34-552D-452F-B7B7-879A7B61D508 Mon, 18 Sep 2017 15:51:00 EST For families overall, the authors find that an unemployment rate increase of 1 percentage point and a 1.8 percent rise in the price level diminish family welfare about as much as a loss of $1,000 in nonlabor income. Losing Public Health Insurance: TennCare Disenrollment and Personal Financial Distress 559E1DC2-C2BE-47C3-A1C9-F6CC7AC5681C Thu, 31 Aug 2017 12:13:00 EST In 2005, about 200,000 people were disenrolled from TennCare, Tennessee's Medicaid program. Examining the effects, the authors provide the first evidence of the impact of the loss of government-sponsored health insurance on individuals' financial well-being. An Early Experiment with "Permazero" 4C40F1A4-C164-4EA0-9C3C-9BBF786FAFAD Mon, 08 May 2017 12:29:00 EST The authors examine a monetary regime of the Bank of Amsterdam in the eighteenth century that held policy interest rates near zero for more than a century. They find that the Bank's inability to stabilize large shocks brought adverse results. Fracking and Mortgage Default E843FD73-5BB7-4EF2-853A-77F8966E5681 Wed, 29 Mar 2017 13:43:00 EST Examining the effects of hydraulic fracturing, or "fracking," on mortgage default, the authors consider homes along the Marcellus Formation in Pennsylvania. Using the underlying geology to predict drilling activity, and looking only at mortgages originated before the fracking boom, they find that fracking appears to lower the likelihood of default, most likely by increasing employment. Old, Frail, and Uninsured: Accounting for Puzzles in the U.S. Long-Term Care Insurance Market 990473C2-3F4B-41F8-B990-151935118B49 Tue, 21 Mar 2017 10:58:00 EST Half of elderly individuals will experience a nursing home stay, and the risk of out-of-pocket expenses that exceed $200,000 is significant. Yet only 10 percent of them have private long-term care insurance, and many applications are rejected. We attribute these observations to adverse selection, insurers’ overhead costs, and Medicaid. Foreign Investment, Regulatory Arbitrage, and the Risk of U.S. Banking Organizations E393AC1E-F46E-4675-B7BB-AB6949D4EFD4 Tue, 21 Mar 2017 10:56:00 EST Investigating how cross-country differences in banking regulation and supervision affect international banking flows, the authors find that U.S. bank holding companies are more likely to operate subsidiaries in countries with weaker regulation and supervision. Agency Conflicts in Residential Mortgage Securitization: What Does the Empirical Literature Tell Us? 5596A0E3-6E95-4349-883D-A68CE662BD0B Tue, 21 Mar 2017 10:55:00 EST Conflicts of interest in securitization are believed to have contributed to the recent housing crisis. The author reviews existing empirical research and finds little support for this conclusion, except in the case of low-documentation mortgages. Narrative Sign Restrictions for SVARs 351EEFC3-A16F-43C1-8317-CBE9DFD8830E Tue, 13 Dec 2016 10:18:00 EST The authors identify structural vector autoregressions (SVARs) using narrative sign restrictions. They show that narrative sign restrictions are highly informative and that adding a single narrative sign restriction sharpens inference of SVARs originally identified via traditional sign restrictions. The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure DDC0E0C1-4746-4D6D-B5A2-76C192D887DD Tue, 13 Dec 2016 10:14:00 EST The authors examine the effects of monetary policy shocks using structural vector autoregressions (SVARs). They consistently find that an increase in the fed funds rate induces a contraction in output. Killer Debt: The Impact of Debt on Mortality E3E137E5-80CE-4689-942C-5C5FD5B717BB Wed, 30 Nov 2016 10:38:00 EST The authors explore the impact of severely delinquent debt and creditworthiness on health. They find that delinquent debt resulting from a financial crisis has lasting effects on health that are substantial enough to increase mortality rates. The Usefulness of the Median CPI in Bayesian VARs Used for Macroeconomic Forecasting and Policy FF598C93-A0BA-4462-B741-885BA58C4FC7 Wed, 16 Nov 2016 15:27:00 EST Investigating the forecasting performance of the median Consumer Price Index (CPI) in a set of statistical models often used in a monetary policy setting, the authors find including the median CPI improves the forecasting accuracy of inflation and the central bank's primary instrument for monetary policy the federal funds rate. Wage Determination in Social Occupations: The Role of Individual Social Capital 1609F6E1-ACAE-4C85-AFC1-FB57CB5B8F97 Thu, 03 Nov 2016 16:45:00 EST The authors examine factors explaining the difference in wages observed between social and nonsocial occupations. Much of the difference is explained by unobserved ways workers in those occupations differ from one another. A Quantitative Theory of Time-Consistent Unemployment Insurance D08F10BB-74B2-4138-9277-E5492D75D792 Thu, 03 Nov 2016 16:22:00 EST The authors find that federal government's discretionary extensions of unemployment insurance (UI) during recessions can be explained by a lack of policy commitment. Our model suggests that a lower unemployment rate could have been achieved if the government had been able to commit to no UI extensions during the 2008–09 recession. Although the extensions led to ex post higher welfare during 2008–13, extensions would not necessarily be welfare improving for a shorter and less severe recession. Optimal Long-Term Contracting with Learning 3D88821A-56F8-427A-99E8-F7A1A18081F5 Thu, 03 Nov 2016 16:04:00 EST With uncertain profitability in dynamic agency relationship, the agent has incentive to shirk to manipulate the principal's future belief, giving rise to a long-lasting hidden information problem. The optimal contract implements time-decreasing effort and has a feature of "stock options" in that incentive goes up after good performance. Impacts of Monetary Stimulus on Credit Allocation and Macroeconomy: Evidence from China 358CD451-CB29-4680-87D5-B2F7D97EE37C Thu, 22 Sep 2016 11:09:00 EST Kaiji Chen, Patrick Higgins, Daniel F. Waggoner, and Tao ZhaWorking Paper 2016-9a (Revised October 2017)Attempting to better understand China monetary policy, the authors develop a framework that allows them to quantify the policy effects on output and prices. They also find evidence that monetary policy is designed to support real GDP growth mandated by the central government while resisting inflation pressures. Are Lemons Sold First? Dynamic Signaling in the Mortgage Market 576CAB6F-20A2-476C-9197-F6F475D4EDD5 Mon, 18 Jul 2016 16:25:00 EST Using detailed information about the residential mortgage market, the authors find a positive relationship between a mortgage's performance and its time to sale, providing some of the first evidence of a signaling mechanism through delay of trade. Forecasting China's Economic Growth and Inflation A5A3E3A0-177C-4E4E-AB42-F7D97AEC40D8 Tue, 12 Jul 2016 09:54:00 EST Patrick Higgins, Tao Zha, and Karen ZhongWorking Paper 2016-7 (July)The authors develop a model that forecasts China's gross domestic product growth and consumer price index inflation. Their model predicts that China's future GDP growth will be L-shaped, not U-shaped. Fiscal Austerity in Ambiguous Times 0B5C8B2E-628B-4FE7-8CF1-B11B0565585D Thu, 31 Mar 2016 09:32:00 EST Axelle Ferrière and Anastasios G. KarantouniasWorking Paper 2016-6a (revised January 2018)The authors examine how public debt should be managed when uncertainty about the business cycle is widespread. They find that front-loaded fiscal consolidations and balanced budgets in the long run are optimal if the intertemporal elasticity of substitution is sufficiently low. Uninsured Risk, Stagnation, and Fiscal Policy BE3D8EF2-5EE7-4A25-9DF2-B9771F0672D1 Fri, 12 Feb 2016 09:00:00 EST R. Anton Braun and Tomoyuki NakajimaWorking Paper 2016-4a Revised March 2016 (Original February 2016)Wealth inequality is rising in Japan. How should fiscal policy respond? The authors find that lowering the tax rate on capital reduces wealth inequality. This same policy increases economic activity and improves welfare. The Role of Commodity Prices in Forecasting U.S. Core Inflation 9F42F11F-0438-4125-B1C3-75312ADE26DD Fri, 12 Feb 2016 09:31:00 EST Nikolay GospodinovWorking Paper 2016-5 (February)The author examines the ability of an aggregator of three commodity futures prices to forecast U.S. core inflation. He finds the predictive power of these convenience yields for future inflation to be significant. Forecasts of Inflation and Interest Rates in No-Arbitrage Affine Models 379AE589-88C7-4FE9-A05F-DDA07A2660C4 Tue, 09 Feb 2016 13:41:00 EST Nikolay Gospodinov and Bin WeiWorking Paper 2016-3 (February)Examining the forecasting ability of a term structure model of nominal and real yields, the authors find that incorporating inflation derivatives and oil futures into their affine framework tends to improve inflation and yield forecasts, respectively. The Federal Home Loan Bank System and U.S. Housing Finance E330330A-A244-4067-B722-68688DE896E9 Fri, 29 Jan 2016 09:30:00 EST W. Scott FrameWorking Paper 2016-2 (January)Examining the role of the Federal Home Loan Bank System in the U.S. housing finance system, the author highlights its role as a provider of liquidity to its members and discusses its perception as the "lender of next-to-last resort." What We Learn from China's Rising Shadow Banking: Exploring the Nexus of Monetary Tightening and Banks' Role in Entrusted Lending 1716F7D4-4E88-45F9-B440-323ECA67527C Fri, 29 Jan 2016 09:52:00 EST Kaiji Chen, Jue Ren, and Tao ZhaWorking Paper 2016-1 (January)Arguing that China's rising shadow banking sector was linked to potential balance-sheet risks in the banking system, the authors construct a micro loan dataset and develop a theoretical framework explaining links between China's monetary policy, shadow banking, and traditional banking. Fitting a Distribution to Survey Data for the Half-Life of Deviations from PPP B6BE6078-ED42-4A10-8E5F-751818B2B450 Tue, 15 Dec 2015 15:15:00 EST Mark FisherWorking Paper 2015-15 (December)Incorporating a nonparametric Bayesian approach to fitting a distribution to certain survey data, the author represents an unknown density as an average of shape-restricted Bernstein polynomials. For regularization, his approach adopts a sparsity prior. Project Modifications and Bidding in Highway Procurement Auctions 32AC237D-5B70-4D38-A88D-4E76D402E28E Mon, 07 Dec 2015 16:08:00 EST Dakshina G. De Silva, Timothy Dunne, Georgia Kosmopoulou, and Carlos LamarcheWorking Paper 2015-14 (December)Examining bidding behavior by highway contractors, the authors look at the relationship between bidding and project modifications in Texas. They find a reduction in the use of change orders decreased both bidder and project procurement costs. Liquidity Backstops and Dynamic Debt Runs 677B5143-D659-4434-9318-B5A2FEE4A802 Thu, 03 Dec 2015 14:21:00 EST Bin Wei and Vivian Z. YueWorking Paper 2015-13 (December)Exploring the role of liquidity backstops in financial stability, the authors develop and structurally estimate a dynamic model of debt runs on municipal bond markets during the financial crisis. They estimate the value of a liquidity backstop in mitigating debt runs to be about 14 basis points per annum. Robust Estimation of Nonstationary, Fractionally Integrated, Autoregressive, Stochastic Volatility 376D5BD4-6F01-4D60-B9BB-E9BEF27DFD64 Tue, 17 Nov 2015 11:50:00 EST Mark J. JensenWorking Paper 2015-12 (November)Studying dynamics in the U.S. stock market, the author develops an estimator designed for nonstationary, fractionally integrated, autoregressive, stochastic volatility. The estimator produces reliable point estimates of the fractional differencing parameters and empirically finds the volatility in the U.S. equity market to be mean reverting but whose variance is infinite. Cross-Border Banking on the Two Sides of the Atlantic: Does It Have an Impact on Bank Crisis Management? E3A0FF56-6B12-4BE0-A06F-44A208B2AA61 Tue, 17 Nov 2015 11:39:00 EST Maria J. Nieto and Larry D. WallWorking Paper 2015-11 (November)Examining the cross-border banking integration in the United States and the European Union, the authors discuss the extent of integration before the crisis, how the differing degrees of integration affected their respective response during the crisis, and how integration is evolving postcrisis. The Impact on Employment and Hours of Allowing Sunday Alcohol Sales in Georgia FAD0FDB0-35A0-401F-8FA8-411B304E65E5 Mon, 02 Nov 2015 11:24:00 EST Julie L. Hotchkiss and Yanling QiWorking Paper 2015-10 (November)The authors examine the effect of Georgia's removal of Sunday alcohol sales restrictions on employment and hours in the beer, wine, and liquor retail sales industry. They find significant increases in average weekly hours but no employment increase in counties that began allowing Sunday sales. Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models 2010B8A7-9E32-4EB6-A258-4096AFB6BAEC Wed, 07 Oct 2015 11:00:00 EST Nikolay Gospodinov, Raymond Kan, and Cesare RobottiWorking Paper 2015-9 (October)Deriving explicit expressions for the asymptotic variances of the maximum likelihood and continuously updated GMM estimators under potentially misspecified models, the authors propose robust variance estimators that allow the researcher to conduct valid inference even when the model is rejected by the data. Assessing the Macroeconomic Impact of Bank Intermediation Shocks: A Structural Approach CC51FC58-F659-441E-80B1-2CBEFA0A4025 Thu, 27 Aug 2015 10:58:00 EST Kaiji Chen and Tao ZhaWorking Paper 2015-8 (August)Assessing the empirical importance of shocks to the supply of bank-intermediated credit, the authors develop a model to show how credit supply shocks affect the production economy. They further show that a credit-supply shock of one standard deviation generates an output loss of 1 percent. Multivariate Return Decomposition: Theory and Implications FF3D4B32-7EE6-4187-BFA0-50E62FC875CC Thu, 27 Aug 2015 10:57:00 EST Stanislav Anatolyev and Nikolay GospodinovWorking Paper 2015-7 (August)Proposing a model based on multivariate decomposition of multiplicative components of several returns, the authors illustrate the usefulness of their proposed method by applying it to the prediction of bond returns. Foreign Exchange Predictability during the Financial Crisis: Implications for Carry Trade Profitability 080B0DED-0B93-49C7-BD7A-8203518B6AF7 Thu, 27 Aug 2015 10:56:00 EST Stanislav Anatolyev, Nikolay Gospodinov, Ibrahim Jamali, and Xiaochun LiuWorking Paper 2015-6 (August)Examining carry trade strategies during and after the financial crisis, the authors use a flexible approach to modeling currency returns. Their results show that a decomposition model produces higher forecast and directional accuracy than any of the competing models. Government and Private E-Money-Like Systems: Federal Reserve Notes and National Bank Notes 288DF1CB-5BDF-4323-B0AD-940C09EF2B8E Tue, 11 Aug 2015 12:31:00 EST Warren E. Weber CenFIS Working Paper 2015-3 (August)In the United States from 1914 to 1935, both privately issued and government-issued bank notes were in circulation simultaneously. The author examines this period and considers the government's potential role in using e-money. Trends and Cycles in China's Macroeconomy 052F4DC1-39CC-4E72-B53F-1042983EB507 Mon, 15 Jun 2015 10:04:00 EST Chun Chang, Kaiji Chen, Daniel F. Waggoner, and Tao ZhaWorking Paper 2015-5 (June)China's large and growing economy has attracted a great deal of scrutiny. Documenting various patterns in China's macroeconomy, the authors discuss reasons behind the unusual cyclical behaviors they observe, and they also examine some of the factors that characterize China's post-1990s economic transition. Will Talent Attraction and Retention Improve Metropolitan Labor Markets? 9B57A505-86FC-4C93-B873-B9E283CC6286 Fri, 17 Apr 2015 12:32:00 EST Stuart Andreason Working Paper 2015-4 (April)A number of metropolitan areas have made efforts to attract highly educated and skilled workers with the goal of improving their labor markets. The author examines rates of educational attainment in some of these metropolitan areas and its varying impact on labor market outcomes. The Failure of Supervisory Stress Testing: Fannie Mae, Freddie Mac, and OFHEO 43320E3E-3E9B-4424-AADB-FD5E37DDBD4A Mon, 30 Mar 2015 15:36:00 EST W. Scott Frame, Kristopher Gerardi, and Paul S. Willen Working Paper 2015-3 (March)Fannie Mae and Freddie Mac underwent stress testing to ensure they could withstand a downturn in the housing market. The authors find that the stress tests were badly constructed and thus failed to predict how severely the housing swoon would affect the agencies. The Failure of Supervisory Stress Testing: Fannie Mae, Freddie Mac, and OFHEO 9749F158-1A91-47EE-8DE7-4AAF1F4D9AC1 Mon, 30 Mar 2015 15:36:00 EST W. Scott Frame, Kristopher Gerardi, and Paul S. Willen Working Paper 2015-3 (March)Fannie Mae and Freddie Mac underwent stress testing to ensure they could withstand a downturn in the housing market. The authors find that the stress tests were badly constructed and thus failed to predict how severely the housing swoon would affect the agencies. The Rescue of Fannie Mae and Freddie Mac 02225DED-85BB-45EC-B667-A9DC03464DDD Wed, 25 Mar 2015 09:35:00 EST W. Scott Frame, Andreas Fuster, Joseph Tracy, and James Vickery Working Paper 2015-2 (March)In 2008, the U.S. government rescued the housing agencies Fannie Mae and Freddie Mac. The authors ask how effectively the conservatorship stabilized mortgage markets and whether the move served larger macroeconomic objectives. The Efficiency of Private E-Money-Like Systems: The U.S. Experience with State Bank Notes CFE4569F-D937-4865-87EE-DA8C1A804554 Tue, 17 Mar 2015 10:00:00 EST Warren E. Weber CenFIS Working Paper 2015-1 (March)Before 1863 in the United States, each bank issued its own distinct bank notes. Today's e-money shares many of the characteristics of those notes. The author examines lessons relevant to e-money from the U.S. experience with state bank notes. The Efficiency of Private E-Money-Like Systems: The U.S. Experience with National Bank Notes 0F8F87F5-E4CD-4104-BC8A-28D51A043B56 Tue, 17 Mar 2015 10:00:00 EST Warren E. Weber CenFIS Working Paper 2015-2 (March)Starting in 1864, notes of the individual national banks were the predominant medium of exchange in the United States. Comparing national bank notes with e-money, the author suggests that a privately issued e-money system can operate efficiently with appropriate government intervention, regulation, and supervision. Lessons for Forecasting Unemployment in the United States: Use Flow Rates, Mind the Trend 049469F1-2094-4128-B116-1FB9D6325E7E Thu, 26 Feb 2015 13:30:00 EST Brent H. Meyer and Murat Tasci Working Paper 2015-1 (February)What is the most accurate method of forecasting the unemployment rate? Using a variety of approaches (including professional forecasters and various models), the authors evaluate the accuracy of near- and longer-term unemployment forecasting methods. The Inflation Expectations of Firms: What Do They Look Like, Are They Accurate, and Do They Matter? 5A2C326C-77C5-40CE-9846-9DCE1E884213 Wed, 17 Dec 2014 14:30:00 EST Michael F. Bryan, Brent H. Meyer, and Nicholas B. Parker Working Paper 2014-27a (Revised January 2015)Using a large survey of businesses, the authors investigate firms' inflation expectations and uncertainties. Their results demonstrate that firms' inflation expectations are unbiased predictors of year-ahead observed inflation and that the accuracy of firms' inflation expectations are positively related to their uncertainty about future inflation. Offshoring, Low-Skilled Immigration, and Labor Market Polarization 22FE95A4-EDBE-4D4F-8A6F-2A02821E1D8D Wed, 17 Dec 2014 15:00:00 EST Federico S. Mandelman and Andrei Zlate Working Paper 2014-28 (December)Many middle-skill jobs have disappeared, and employment for high- and low-skill occupations has been expanding. High-skill real wages increased robustly but remained subdued for both low- and middle-skill workers. The authors attribute these outcomes to the rise in offshoring and low-skilled immigration. A Tale of Two Decades: Relative Intra-family Earning Capacity and Changes in Family Welfare over Time 21DB7032-1CB1-40B1-8DE7-CE33D19E7EFA Thu, 11 Dec 2014 17:00:00 EST Julie L. Hotchkiss, Robert E. Moore, Fernando Rios-Avila, and Melissa R. Trussell Working Paper 2014-26a (Revised November 2015)The authors find that the decline in real wages has negatively affected family welfare over time. However, the simultaneous rise in the female/male wage ratio means that families in which the wife earned a higher wage fared better than other families. The Implications of a Graying Japan for Government Policy 46D33EF3-021A-4002-9E2E-A4457C033F97 Fri, 24 Oct 2014 05:00:00 EST R. Anton Braun and Douglas H. Joines Working Paper 2014-18 (November)The fraction of the Japanese population over age 65 is increasing rapidly. As Japan ages, government outlays will rise sharply. The authors quantify the size of the resulting fiscal imbalances and analyze alternative strategies for correcting them. Remittances, Entrepreneurship, and Employment Dynamics over the Business Cycle 490B400A-FEB6-4747-B5C5-51C12BB964DF Fri, 24 Oct 2014 05:30:00 EST Alan Finkelstein Shapiro and Federico S. Mandelman Working Paper 2014-19 (November)The authors study the impact of cyclical remittances on labor market and business cycle dynamics and highlight the importance of accounting for labor force participation and self-employment to match key stylized facts in emerging economies. Do Minimum Wages Really Increase Youth Drinking and Drunk Driving? 0F5E8636-B2D5-4834-BAE2-DD905C056387 Fri, 24 Oct 2014 06:00:00 EST Joseph J. Sabia, M. Melinda Pitts, and Laura Argys Working Paper 2014-20 (November)Previous research indicated that increases in minimum wages led to increased drunk driving–related fatalities among youths. However, the authors find little evidence of this causal relationship and suggest a much smaller set of plausible causal channels. The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models A07184B2-F587-4293-AA27-CBA1BD44EB03 Fri, 24 Oct 2014 06:30:00 EST Daniel F. Waggoner, Hongwei Wu, and Tao Zha Working Paper 2014-21 (November)Estimation and evaluation of multivariate dynamic models occupy an important role in forecasting and policy analysis. The authors develop a simulator that copes with irregular distributions in high-dimensional models and test it against two dynamic models. The Gap between the Conditional Wage Distributions of Incumbents and the Newly Hired Employees: Decomposition and Uniform Ordering E98776F6-A3CB-4CBF-834B-9B2682A56CC1 Fri, 24 Oct 2014 07:00:00 EST Esfandiar Maasoumi, M. Melinda Pitts, and Ke Wu Working Paper 2014-22 (November)Wage differentials among different cohorts of employees have been the focus of much attention from labor economists. Using data from 1996 to 2012, the authors examine the wage gap between incumbent employees and the newly hired, finding numerous factors at work in wage distributions. Impact of First-Birth Career Interruption on Earnings: Evidence from Administrative Data 9F605DD6-838A-44B3-85C2-C09FD1FB08FE Fri, 24 Oct 2014 07:30:00 EST Julie. L Hotchkiss, M. Melinda Pitts, and Mary Beth Walker Working Paper 2014-23 (November)Exploring the role a woman's labor intermittency decisions play in wage determination, the authors find that penalty for being intermittently attached to the labor force increases with the woman's education level. Optimal Taxation and Debt with Uninsurable Risks to Human Capital Accumulation 73D86B86-DE88-4358-8A7A-E8364B936288 Fri, 24 Oct 2014 08:00:00 EST Piero Gottardi, Atsushi Kajii, and Tomoyuki Nakajima Working Paper 2014-24 (November)Attempting to determine the optimal level of both taxes and the debt level, the authors show that, in the face of uninsurable risks to human capital, it is beneficial to tax both labor and capital income and to have positive government debt. Constrained Inefficiency and Optimal Taxation with Uninsurable Risks 5B2DFEF7-9D44-4279-A6D9-5E0E7482AD70 Fri, 24 Oct 2014 08:30:00 EST Piero Gottardi, Atsushi Kajii, and Tomoyuki Nakajima Working Paper 2014-25 (November)Examining certain types of labor and capital income, the authors attempt to determine how they should be taxed. They use a general equilibrium model with incomplete markets to show when different levels of taxation improve welfare. Death of a Reserve Currency B2B3AD0F-E4D9-4362-84E6-67AA0961B3BC Thu, 18 Sep 2014 00:00:00 EST Stephen Quinn and William Roberds Working Paper 2014-17 (September)The Dutch bank florin the dominant currency in Europe during much of the 17th and 18th centuries lost its reserve currency status during the period 1781–92. The authors reconstruct the Bank of Amsterdam's balance sheet to determine how the bank's accommodative policies led to loss of control over the value of its money. Perturbation Methods for Markov-Switching DSGE Models B333D9FC-B5C8-478C-9742-DCDAE8E170FB Wed, 17 Sep 2014 00:00:00 EST Andrew Foerster, Juan Rubio-Ramírez, Daniel F. Waggoner, and Tao ZhaWorking Paper 2014-16 (August)Examining structural shifts in the economy, the authors propose a methodology that constructs high-order approximations to the solutions of certain types of macroeconomic models. They use two examples to illustrate the tractability of their methodology. Liquidity Premia, Price-Rent Dynamics, and Business Cycles 71509957-B79D-44D2-8879-78955EE72D30 Mon, 15 Sep 2014 00:00:00 EST Jianjun Miao, Pengfei Wang, and Tao ZhaWorking Paper 2014-15 (August)House prices have fluctuated more widely than house rents in the last 25 years. The authors develop a model that assesses the empirically important role that price-rent fluctuations play in the business cycle. The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks B633B8D8-AE71-4BA9-8FCD-EE834B499A9E Fri, 12 Sep 2014 00:00:00 EST Nikolay Gospodinov and Ibrahim JamaliWorking Paper 2014-14 (August)Investigating how changes in stock market volatility respond to changes in monetary policy, the authors show that market participants' uncertainty regarding monetary policy stances affects volatility in the stock market. Hedging and Pricing in Imperfect Markets under Non-Convexity 8578652D-318E-4E5F-9C04-AD80F021B2A0 Wed, 10 Sep 2014 00:00:00 EST Hirbod Assa and Nikolay GospodinovWorking Paper 2014-13 (August)The authors study hedging strategies in incomplete markets for a wide range of risk measures and pricing rules. They illustrate their approach with an application on hedging economic risk.