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

Do Negative Interest Rates Explain Low Profitability of European Banks?

Nicholas Coleman* and Viktors Stebunovs*

In this note, we examine the effects of low and negative sovereign yields on net interest margins and the general profitability of European banks.

DOI: https://doi.org/10.17016/2380-7172.2486

The U.S. Syndicated Term Loan Market: Who holds what and when?

Seung Jung Lee, Dan Li, Ralf R. Meisenzahl, and Martin J. Sicilian

This note looks carefully at the transition of ownership of syndicated term loans immediately after a deal is launched based on the Shared National Credit data.

DOI: https://doi.org/10.17016/2380-7172.2473

Assessing Major Country Exposures of U.S. Banks Using 009a Data Reports: A Brexit Case Study

Alexander H. von Hafften

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.

DOI: https://doi.org/10.17016/2380-7172.2469

Interest on Excess Reserves and U.S. Commercial Bank Lending

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.

DOI: https://doi.org/10.17016/2380-7172.2453

Approaches to Estimating Aggregate Demand for Reserve Balances

Joseph Andros (Federal Reserve Bank of New York), Michael Beall, Francis Martinez, Tony Rodrigues (Federal Reserve Bank of New York), Mary-Frances Styczynski, Alex Thorp (Federal Reserve Bank of New York)

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. 

DOI: https://doi.org/10.17016/2380-7172.2459

Foreign Portfolio Investment When the United States was an Emerging Market

Julio Monge and Colin Weiss

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.

DOI: https://doi.org/10.17016/2380-7172.2461

Real-time Historical Estimates of the Output Gap

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.

DOI: https://doi.org/10.17016/2380-7172.2460

Expectations about the Federal Funds Rate in the Long Run

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.

DOI: https://doi.org/10.17016/2380-7172.2431

Quantifying the Impact of Foreign Economic Uncertainty on the U.S. Economy

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.

DOI: https://doi.org/10.17016/2380-7172.2463

Innovation, Trade Policy, and Globalization

Ufuk Akcigit, Sina T. Ates, and Giammario Impullitti

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.

DOI: https://doi.org/10.17016/2380-7172.2456

Housing Affordability in the U.S.: Trends by Geography, Tenure, and Household Income

Andrew Dumont

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.

DOI: https://doi.org/10.17016/2380-7172.2430

Collateralized Loan Obligations in the Financial Accounts of the United States

Matthew Guse, Woojung Park, Zack Saravay, and Youngsuk Yook

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.

DOI: https://doi.org/10.17016/2380-7172.2447

A New Way to Visualize the Evolution of Monetary Policy Expectations

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. 

DOI: https://doi.org/10.17016/2380-7172.2444

Tracking the Labor Market with "Big Data"

Tomaz Cajner, Leland Crane, Ryan Decker, Adrian Hamins-Puertolas, and Christopher Kurz

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.

DOI: https://doi.org/10.17016/2380-7172.2441

Globalization and the Geography of Capital Flows

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.

DOI: https://doi.org/10.17016/2380-7172.2446

Does Trade Policy Uncertainty Affect Global Economic Activity?

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).

DOI: https://doi.org/10.17016/2380-7172.2445

The Distributional Financial Accounts

This Note describes briefly how the Distributional Financial Accounts (DFAs) are constructed and highlights some of their key features. 

DOI: https://doi.org/10.17016/2380-7172.2436

Federal Funds Rate Control with Voluntary Reserve Targets

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.

DOI: https://doi.org/10.17016/2380-7172.2405

International Trade in Services: Stylized Facts about Exporters in the Service Sector

This note contributes to expand the knowledge on foreign trade in services by presenting a series of stylized facts about exporters of services.

DOI: https://doi.org/10.17016/2380-7172.2411

Liquidity Transformation Risks in U.S. Bank Loan and High-Yield Mutual Funds

Kenechukwu Anadu and Fang Cai

Net assets in open-end (non-money market) mutual funds (MFs) have increased notably over the past decades.

DOI: https://doi.org/10.17016/2380-7172.2412

U.S. Corporations' Repatriation of Offshore Profits: Evidence from 2018

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. 

DOI: https://doi.org/10.17016/2380-7172.2396

The Mysterious Cross-Country Dispersion in Mobile Phone Price Trends

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.

DOI: https://doi.org/10.17016/2380-7172.2413

The Universe of Leveraged Bank Loan and High Yield Bond U.S. Mutual Funds

Ayelen Banegas and Jessica Goldenring

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.

DOI: https://doi.org/10.17016/2380-7172.2394

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).

DOI: https://doi.org/10.17016/2380-7172.2390

Who Owns U.S. CLO Securities?

Emily Liu and Tim Schmidt-Eisenlohr

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.

DOI: https://doi.org/10.17016/2380-7172.2423

Substitutability of Monetary Policy Instruments

Cynthia Doniger, James Hebden, Luke Pettit, and Arsenios Skaperdas

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.

DOI: https://doi.org/10.17016/2380-7172.2284

Historical Proxies for the Secured Overnight Financing Rate

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.

DOI: https://doi.org/10.17016/2380-7172.2386

Long-Run Effects on Chinese GDP from U.S.-China Tariff Hikes

John K. Ferraro and Eva Van Leemput

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.

DOI: https://doi.org/10.17016/2380-7172.2382

Trade in Goods and Services: Measuring Domestic and Export Flows in Buyer-Supplier Data

This note explores measures of domestic and export flows based upon the Compustat customer segment data and compares our measures with official statistics.

DOI: https://doi.org/10.17016/2380-7172.2400

Understanding Changes in Household Debt by Credit Risk Category: The Role of Credit Score Transitions

Sarena Goodman and Steve Ramos

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.

DOI: https://doi.org/10.17016/2380-7172.2395

Cyclicality and the Severity of the U.S. Supervisory Stress Test: 2014 to 2018

Jose Berrospide, Andrew Cohen, Ronel Elul (Federal Reserve Bank of Philadelphia), David Hou, Aytek Malkhozov, Marc Rodriguez, and Robert Sarama1

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.

DOI: https://doi.org/10.17016/2380-7172.2393

Assessing the Resiliency of the Banking Industry to a Commercial Real Estate Price Shock

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.

DOI: https://doi.org/10.17016/2380-7172.2380

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.

DOI: https://doi.org/10.17016/2380-7172.2385

There is No Single Best Predictor of Recessions

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.

DOI: https://doi.org/10.17016/2380-7172.2367

Tips from TIPS: Update and Discussions

Don Kim, Cait Walsh (Columbia Business School), and Min Wei

In this Note, we update and extend the estimation to a longer period from 1983 to the present.

DOI: https://doi.org/10.17016/2380-7172.2355

Assessing the size of the risks posed by life insurers' nontraditional liabilities

This note discusses potential methods for assessing the size of the run risk associated with life insurers’ nontraditional liabilities.

DOI: https://doi.org/10.17016/2380-7172.2358

Predicting Future Recessions

This note introduces a general method to derive recession probabilities from forecasts using real-time data in parsimoniously specified logistic regressions.

DOI: https://doi.org/10.17016/2380-7172.2338

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.

DOI: https://doi.org/10.17016/2380-7172.2352

Indicative Forward-Looking SOFR Term Rates

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.

DOI: https://doi.org/10.17016/2380-7172.2347

Estimating System Demand for Reserve Balances Using the 2018 Senior Financial Officer Survey

Thomas Keating, Francis Martinez, Luke Pettit, Marcelo Rezende, Mary-Frances Styczynski, and Alex Thorp

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.

DOI: https://doi.org/10.17016/2380-7172.2327

The Re-emergence of the Federal Reserve Funds Market in the 1950s

In this note, we highlight the re-emergence of the federal funds market in the 1950s.

DOI: https://doi.org/10.17016/2380-7172.2312

The Green Dividend Dilemma: Carbon Dividends Versus Double-Dividends

Stephie Fried, Kevin Novan, and William Peterman

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. 

DOI: https://doi.org/10.17016/2380-7172.2340

A New Procedure for Generating the Stochastic Simulations in FRB/US

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.

DOI: https://doi.org/10.17016/2380-7172.2314

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

Amanda Bayer, Bo Yeon Jang, and David Wilcox

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.

DOI: https://doi.org/10.17016/2380-7172.2329

Residual Seasonality in Core Consumer Price Inflation: An Update

Ekaterina Peneva and Nadia Sadée

In this Note, we take another look at residual seasonality in several measures of core inflation.

DOI: https://doi.org/10.17016/2380-7172.2318

Gender Diversity on Bank Board of Directors and Performance

Ann L. Owen and Judit Temesvary

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.

DOI: https://doi.org/10.17016/2380-7172.2270

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.

DOI: https://doi.org/10.17016/2380-7172.2301

Are Disappearing Employer Pensions Contributing to Rising Wealth Inequality?

Focusing our attention on families close to retirement, we consider the interplay between employer-sponsored retirement wealth and Social Security.

DOI: https://doi.org/10.17016/2380-7172.2308

Revisions to the Federal Reserve Dollar Indexes

Bastian von Beschwitz, Christopher G. Collins, and Deepa D. Datta

This note details the construction of the foreign exchange rate indexes and describes the motives for the changes to the methodology. Data appendix available here

DOI: https://doi.org/10.17016/2573-2129.48

The Information in Interest Coverage Ratios of the US Nonfinancial Corporate Sector

Francisco Palomino, Stephen Paolillo, Ander Perez-Orive, and Gerardo Sanz-Maldonado

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.

DOI: https://doi.org/10.17016/2380-7172.2290

A Simple Macro-Finance Measure of Risk Premia in Fed Funds Futures

Anthony Diercks and Uri Carl

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.

DOI: https://doi.org/10.17016/2380-7172.2305

Household and Nonprofit Balance Sheets in the Financial Accounts of the United States

Elizabeth Holmquist

This Note describes new supplemental tables in the Financial Accounts of the United States that provide separate balance sheets for households and nonprofit organizations.

DOI: https://doi.org/10.17016/2380-7172.2313

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.

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Last Update: January 04, 2019