Cash Flow and Risk Premium Dynamics in an Equilibrium Asset-Pricing Model with Recursive PreferencesBy Taeyoung Doh and Shu Wu
RESEARCH WORKING PAPERA nonlinear extension of an equilibrium asset-pricing model based on long-run consumption risks allows us to more plausibly predict future cash flows and asset returns by stock prices.
By Craig S. Hakkio
The Macro Bulletin Craig S. Hakkio finds that while the median of some long-term inflation forecasts has declined, the distribution of individual forecasts suggests long-term inflation expectations have in fact become better anchored.
By Allen N. Berger, Tanakorn Makaew, and Raluca A. Roman
RESEARCH WORKING PAPERTARP led to more favorable credit terms to customers borrowing from the recipient banks in all five contract terms studied: loan amounts, spreads, maturities, collateral, and covenants. Benefits extended primarily to safer borrowers, and borrowers with and without a relationship.
By Makoto Nakajima and Didem Tüzemen
Research Working Paper Analysis of the ACA predicts a significant reduction in the uninsured rate and gains in welfare. The reform may weaken the link between full-time work and health insurance, leading to 2.1M more part-time and 1.6M fewer full-time workers, with a small reduction in total hours.
By Raluca Roman
Research Working Paper Shareholder activism may generally be a destabilizing force in banking, increasing bank risk while creating market value for shareholders. This may come at the expense of bank creditors, as per a creditor-shareholder conflict. However, activism effects may be muted during crises.
By Allen N. Berger, Sadok El Ghoul, Omrane Guedhami, and Raluca A. Roman
Research Working Paper Internationalization of U.S. banks is associated with higher risk, suggesting foreign market factors that make U.S. operations risky outweigh diversification benefits. Effect is stronger during crises and may be explained by agency problems related to poor corporate governance.
By Nicholas Sly and Caroline Weber
Research Working Paper Congress may soon consider changing how the United States taxes multinational enterprises. Prior evidence suggests such changes in international tax policy facilitate the transmission of economic shocks across borders, leading to greater synchronization of global business cycles.
By Yoonsoo Lee and Willem Van Zandweghe
The Macro Bulletin Yoonsoo Lee and Willem Van Zandweghe find unusually accommodative monetary policy reduces the reallocation of capital and workers from exiting firms to new ones, potentially slowing productivity growth.
By Andrew Lee Smith
Research Working Paper When the strength of the cost channel varies over time, monetary policy may need to use intermediate targets to ensure inflation expectations remain well anchored.
By Troy Davig and Refet S. Gürkaynak
Research Working PaperTroy Davig and Refet S. Gürkaynak look at whether central banks should pursue multiple objectives and find there are situations where it is better to pursue narrower objectives, such as strict inflation targeting.
By Troy Davig, Nida Çakır Melek, Jun Nie, A. Lee Smith, and Didem Tüzemen
Troy Davig, Nida Çakır Melek, Jun Nie, Lee Smith, and Didem Tüzemen find changes in expectations of future oil supply relative to demand are the main drivers of the recent oil price decline. The article is summarized in The Macro Bulletin.
By A. Lee Smith and Thealexa Becker
A. Lee Smith and Thealexa Becker compare forward guidance announcements with changes in the effective federal funds rate and find the two policy measures have had similar macroeconomic effects. The article is summarized in The Macro Bulletin.
By Jonathan L. Willis and Guangye Cao
Jonathan L. Willis and Guangye Cao investigate shifts in the economy’s sensitivity to interest rates by examining how total employment responds to changes in monetary policy.
By Jason Brown
Jason Brown examines how the recent period of declining oil prices has affected employment in oil- and gas-producing states.
By Taeyoung Doh, Guangye Cao and Daniel Molling
The authors examine whether risk premiums can predict future economic growth and whether monetary policy can influence risk premiums. The article is summarized in The Macro Bulletin.