E43

Yang Han · Jun Ma

This paper proposes a shadow rate no-arbitrage dynamic term structure model (SDTSM) with drifting trends to estimate the long-run trend of the real interest rate using yield curve data from the U.S., …

Pierre-Olivier Gourinchas · Walker Ray · Dimitri Vayanos

Layer 1 — Core Argument The paper develops a two-country preferred-habitat model in which currency and bond markets are populated by different investor clienteles — currency traders with price-elastic …

Jonathan Payne · Bálint Szőke · George Hall · Thomas J Sargent

Overview This paper constructs a new dataset of US federal bond prices and uses it to estimate the full term structure of yields on gold-denominated US federal debt from 1791 to 1933 — the entire gold …

Ming Zeng · Guihai Zhao

Overview Research Question. What drives the joint historical dynamics of the term structure of equity yields and nominal bond yields — and can a single unified equilibrium model explain the …

Daniel Barth · R. Jay Kahn

The U.S. Treasury market is the deepest and most liquid fixed-income market in the world, yet in March 2020 it experienced unprecedented dysfunction—widening bid-ask spreads, skyrocketing repo rates, …

Carlos Arteta · Steven Kamin · Franz U. Ruch

Layer 1 — Overview Research Question This paper examines how the effects of rising U.S. interest rates on emerging market and developing economies (EMDEs) depend on the underlying source of the …

Maximilian Grimm · Òscar Jordà · Moritz Schularick · Alan M. Taylor

This paper provides the first long-run causal evidence that a persistently loose stance of monetary policy — defined as extended periods of low interest rates relative to the neutral rate — …

Luis G. Hernández-Román

This paper employs a proxy structural VAR model to examine the effects of global supply chain (GSC) shocks on U.S. macroeconomic variables and the Federal Reserve’s historical response, and …

Apostolos Serletis · Libo Xu

Measuring the welfare cost of inflation requires specifying a money demand function, a definition of money, and an approach to consumer surplus; existing estimates vary widely because these choices …

Árpád Ábrahám · Eva Carceles-Poveda · Yan Liu · Ramon Marimon

Layer 1 — Overview Research Question This paper asks how to optimally design a Financial Stability Fund (Fund) for a union of sovereign countries that must simultaneously (i) prevent sovereign …

Tom D. Holden

The paper proposes and analyzes real rate rules — monetary policy rules of the form i_t = r_t + φπ_t (φ > 1), where r_t is the current-period real interest rate observed via TIPS yields or …

MASAZUMI HATTORI · TOMOHIDE MINEYAMA · JOUCHI NAKAJIMA

Layer 1 — Overview Research Question The paper addresses a fundamental limitation of the standard Taylor rule as a monetary policy stance gauge: the rule is defined solely for the overnight federal …