FEDS Notes are articles in which Board economists offer their own views and present analysis on a range of topics in economics and finance. These articles are shorter and less technically oriented than FEDS Working Papers
This note describes an underutilized data source on international exposures of U.S. commercial banks and bank holding companies. As an example of the type of analyses these data permit, the note characterizes how banks' exposures to potential Brexit-related risks have changed since the U.K. referendum in June 2016.
In this note, we empirically assess whether changes in the interest on excess reserves (IOER) rate and changes in the spread between the IOER rate and the effective federal funds rate (EFFR) have affected banks’ reserve holdings and lending, controlling for changes in the stance of monetary policy and other macroeconomic conditions.
This note describes our approach in estimating aggregate reserve demand using survey-reported data and two methods to account for sampling and non-sampling error, concluding with a discussion of some important items for consideration.
In this note, we analyze two surveys occurring in 1853 and 1869 and compare the patterns of foreign ownership then to foreign portfolio investment in the present-day United States.
The purpose of this note is to highlight the recent availability of an expanded set of historical data of the staff's estimates of the real-time output gap at the Real-Time Data Research Center of the Federal Reserve Bank of Philadelphia.
To what extent does the persistent relatively low level of the federal funds rate reflect a decline in its long-run equilibrium? In this Note, we examine how views have evolved on that question among professional forecasters, Federal Open Market Committee (FOMC) participants, and investors in bond markets.
In this note, we construct a measure of real economic uncertainty (REU)--based on the predictability of near-term economic performance--for the major advanced economies.
Drawing on U.S. experience three decades ago, we examine the effects of import tariffs and research and development (R&D) subsidies on domestic firms' global competitiveness, aggregate growth, and welfare.
This FEDS Note explores where, and for whom, housing affordability is getting worse, better, or staying the same in order to shed new light on the differential experiences of various groups.
This note describes how the Federal Reserve’s Financial Accounts of the United States account for Collateralized Loan Obligations (CLOs) and discusses two new data series on CLOs that are introduced in the September 2019 publication of the Financial Accounts.
Using information from financial market quotes and surveys, this article analyzes the evolution from January to July 2019 of probabilities attached to different policy rate outcomes using “probability simplex” diagrams.
In our research, we explore the information content of the ADP microdata alone by producing an estimate of employment changes independent from the BLS payroll series as well as from other data sources.
In this note, we document the large and growing distortions in official capital flows and investment statistics as a result of globalization. We provide a series of stylized facts about the extent and causes of these distortions, and also include data files containing U.S. portfolio holdings restated on a nationality basis to reflect the true exposures of U.S. investors.
In this note, we first document the recent rise in trade policy uncertainty, henceforth TPU, by using two complementary measures based on text-search analysis: one focusing on newspapers articles, and another constructed from transcripts of firms' earning calls. We then use econometric evidence on the joint movements in aggregate TPU, industrial production, and other macroeconomic variables in order to provide an estimate of the effects of the recent spikes in TPU on U.S. GDP, as well as GDP in advanced foreign economies (AFEs) and emerging market economies (EMEs).
This Note describes briefly how the Distributional Financial Accounts (DFAs) are constructed and highlights some of their key features.
This note describes a framework for implementing monetary policy, dubbed a voluntary reserve targets framework, that could reintroduce significant margins in the federal funds market, reviving the market no matter the aggregate quantity of reserves, while simultaneously limiting the volatility of rates.
This note contributes to expand the knowledge on foreign trade in services by presenting a series of stylized facts about exporters of services.
Net assets in open-end (non-money market) mutual funds (MFs) have increased notably over the past decades.
We investigate how companies with large holdings of cash abroad have used those funds following the Tax Cuts and Jobs Act (TCJA), which eliminated prior tax disincentives on the repatriation of foreign earnings.
Mobile phones have been central to ICT innovation since the introduction of the smartphone and constant-quality prices are a barometer of their economic impact. Official consumer price indices (CPIs) indicate that impact differs wildly across countries: For the 2008-2018 period, average annual rates of mobile phone inflation range from no change to a 25 percent decline among 12 key countries examined in this paper. Although evidence indicates certain fundamental factors are at play, mis-measurement may lead the spread in rates to be overstated. Examination of methods employed in CPI calculation, including quality adjustment and index formulas, illuminates but does not resolve the mystery.
This note aims to characterize the universe of Bank Loan (BL) mutual funds (MFs) and compare it against that of High Yield Bond (HYB) MFs on several dimensions.
Comparing Two Measures of Core Inflation: PCE Excluding Food & Energy vs. the Trimmed Mean PCE Index
The goal of this note is to provide an assessment of two of the most commonly used indicators of core inflation: the PCE price index excluding food and energy (an exclusion index), and the Dallas Fed trimmed mean PCE price index (a central-tendency statistical measure).
Despite the increasing importance of U.S. CLOs, information on the holders of U.S. CLO securities is very limited. This note provides a breakdown of CLO investors by location and investor type using data from the Treasury International Capital (TIC) system. We find that most U.S. CLOs are held by U.S. investors and that the holdings are concentrated in insurance companies, mutual funds, and depository institutions.
This note presents an approach to infer the magnitude of changes to the level of the policy target rate--a more commonly used metric of monetary policy actions--that would lead to approximately the same macroeconomic outcomes as induced through changes in the central bank's balance sheet.
In this note, the author describes the available history of SOFR data and argues that other historical data published by FRBNY can act as a reasonable proxy for SOFR going back to 1998.
In this Note, we employ a particular model of trade policy effects following Caliendo and Parro (2015) that focuses on the role of tariffs in spurring adverse resource reallocations.
This note explores measures of domestic and export flows based upon the Compustat customer segment data and compares our measures with official statistics.
Understanding Changes in Household Debt by Credit Risk Category: The Role of Credit Score Transitions
This note analyzes the individual credit records from the FRBNY Consumer Credit Panel/Equifax (CCP) to better understand the extent to which the migration of borrowers between risk categories has contributed to recent evolutions in debt balances by category, focusing on changes during the past few years.
In this study, we provide a measure of the severity of the 2014-2018 US supervisory stress tests, and examine how that severity measure has evolved.
In order to assess the resiliency of the non-Dodd-Frank Act stress test (DFAST) bank holding companies (BHCs), this note uses the loan-loss rate information in the public disclosure documents from DFAST 2017 and 2018.
Weekly Hours, Overtime, and Employment of Manufacturing Production Workers: Fluctuations over the Business Cycle
This note analyzes how weekly hours, overtime, and employment of production workers move over the business cycle.
This note discusses potential methods for assessing the size of the run risk associated with life insurers’ nontraditional liabilities.
Which term spread, or term spread derived, measure is the most accurate predictor of recessions? The author conducts a robustness analysis of different spreads and shows that there is no single most accurate predictor at any horizon.
In this Note, we update and extend the estimation to a longer period from 1983 to the present.
This note introduces a general method to derive recession probabilities from forecasts using real-time data in parsimoniously specified logistic regressions.
Changes in Monetary Policy and Banks' Net Interest Margins: A Comparison across Four Tightening Episodes
In this note, we examine how U.S. banks' NIMs have varied over the most recent monetary policy tightening episode compared with the three previous monetary policy tightening episodes.
This note presents indicative forward-looking term rates derived from end-of-day SOFR futures prices. The accompanying data file also includes compound averages of daily SOFR rates.
In this Note, we introduce a range of estimates of the banking system’s contemporary demand for reserves based on newly available, confidential micro data from a Senior Financial Officer Survey (SFOS) conducted by the Federal Reserve in September 2018.
In this note, we highlight the re-emergence of the federal funds market in the 1950s.
By raising the price of carbon-emitting energy sources, a carbon tax would flexibly incentivize households and businesses to reduce fossil fuel consumption and substitute towards cleaner energy sources. A carbon tax would also generate a substantial stream of government revenue. This raises an important question – how should this revenue be used? In this note, we summarize findings from our recent research (Fried et al. (2018)) that examine this question.
This note summarizes a new procedure for generating stochastic simulations in FRB/US, a large-scale estimated general equilibrium macroeconomic model of the U.S. economy.
Who is Being Trained in Economics? A New Interactive Website for Exploring the Race, Ethnicity, and Gender of Economics Majors at U.S. Colleges and Universities
This note provides a brief users guide for the new interactive website that allows visitors to explore data on who is being trained in economics at each college and university in the U.S.
In this Note, we take another look at residual seasonality in several measures of core inflation.
Many papers have studied the effects of boards’ gender composition on firm performance and a few have studied it in the banking industry specifically. In this Note, we study this issue using a newly compiled annual dataset on bank boards and financial performance.
Living at Home Ain't Such a Drag (on Spending): Young Adults' Spending In and Out of Their Parents' Home
In this Note, we quantify the net change in annual spending by a young adult who has just moved out of her parents’ home.
Focusing our attention on families close to retirement, we consider the interplay between employer-sponsored retirement wealth and Social Security.
Using firm-level data, we find significant variability in interest coverage ratios--across firms and economic sectors and across time--that suggests that critical ICR levels depend on firm- or sector-specific economic conditions.
In this Note, we use rolling covariances between real and nominal activity in a regression framework, combined with a model averaging approach, to uncover intuitive dynamics in the term premium.
This Note describes new supplemental tables in the Financial Accounts of the United States that provide separate balance sheets for households and nonprofit organizations.
Disclaimer: FEDS Notes are articles in which Board economists offer their own views and present analysis on a range of topics in economics and finance. These articles are shorter and less technically oriented than FEDS Working Papers.