We merge several historical data sets from Germany to show that influenza mortality in 1918-1920 is correlated with societal changes, as measured by municipal spending and city-level extremist voting, in the subsequent decade. First, influenza deaths are associated with lower per capita spending, especially on services consumed by the young. Second, influenza deaths are correlated with the share of votes received by extremist parties in 1932 and 1933. Our election results are robust to controlling for city spending, demographics, war-related population changes, city-level wages, and regional unemployment, and to instrumenting influenza mortality. We conjecture that our findings may be the consequence of long-term societal changes brought about by a pandemic.
{"title":"Pandemics Change Cities: Municipal Spending and Voter Extremism in Germany, 1918-1933","authors":"Kristian S. Blickle","doi":"10.2139/ssrn.3592888","DOIUrl":"https://doi.org/10.2139/ssrn.3592888","url":null,"abstract":"We merge several historical data sets from Germany to show that influenza mortality in 1918-1920 is correlated with societal changes, as measured by municipal spending and city-level extremist voting, in the subsequent decade. First, influenza deaths are associated with lower per capita spending, especially on services consumed by the young. Second, influenza deaths are correlated with the share of votes received by extremist parties in 1932 and 1933. Our election results are robust to controlling for city spending, demographics, war-related population changes, city-level wages, and regional unemployment, and to instrumenting influenza mortality. We conjecture that our findings may be the consequence of long-term societal changes brought about by a pandemic.","PeriodicalId":84751,"journal":{"name":"Field staff reports","volume":"47 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85218982","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Martijn Boons, Fernando M. Duarte, F. D. Roon, M. Szymanowska
We show that inflation risk is priced in the cross section of U.S. stock returns with a price of inflation risk that is comparable in magnitude to that of the aggregate market. The inflation risk premium varies over time conditional on the nominal-real covariance—the time-varying relation between inflation and the real economy. Using a consumption-based equilibrium asset pricing model, we argue that inflation is priced because it predicts real consumption growth. The historical changes in the predictability of consumption with inflation, which are mediated by the nominal-real covariance, can account for the size, variability, predictability, and sign reversals—last observed in the 2000s—in the inflation risk premium.
{"title":"Time-varying inflation risk and the cross section of stock returns","authors":"Martijn Boons, Fernando M. Duarte, F. D. Roon, M. Szymanowska","doi":"10.2139/SSRN.2273666","DOIUrl":"https://doi.org/10.2139/SSRN.2273666","url":null,"abstract":"We show that inflation risk is priced in the cross section of U.S. stock returns with a price of inflation risk that is comparable in magnitude to that of the aggregate market. The inflation risk premium varies over time conditional on the nominal-real covariance—the time-varying relation between inflation and the real economy. Using a consumption-based equilibrium asset pricing model, we argue that inflation is priced because it predicts real consumption growth. The historical changes in the predictability of consumption with inflation, which are mediated by the nominal-real covariance, can account for the size, variability, predictability, and sign reversals—last observed in the 2000s—in the inflation risk premium.","PeriodicalId":84751,"journal":{"name":"Field staff reports","volume":"93 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86742863","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
T. Eisenbach, A. Haughwout, B. Hirtle, A. Kovner, David O. Lucca, Matthew C. Plosser
The Federal Reserve is responsible for the prudential supervision of bank holding companies (BHCs) on a consolidated basis. Prudential supervision involves monitoring and oversight to assess whether these firms are engaged in unsafe or unsound practices, as well as ensuring that firms are taking corrective actions to address such practices. Prudential supervision is interlinked with, but distinct from, regulation, which involves the development and promulgation of the rules under which BHCs and other regulated financial intermediaries operate. This paper describes the Federal Reserve?s supervisory approach for large, complex financial companies and how prudential supervisory activities are structured, staffed, and implemented on a day?to?day basis at the Federal Reserve Bank of New York as part of the broader supervisory program of the Federal Reserve System. The goal of the paper is to generate insight for those not involved in supervision into what supervisors do and how they do it. Understanding how prudential supervision works is a critical precursor to determining how to measure its impact and effectiveness.
{"title":"Supervising large, complex financial companies: What do supervisors do?","authors":"T. Eisenbach, A. Haughwout, B. Hirtle, A. Kovner, David O. Lucca, Matthew C. Plosser","doi":"10.2139/ssrn.2646072","DOIUrl":"https://doi.org/10.2139/ssrn.2646072","url":null,"abstract":"The Federal Reserve is responsible for the prudential supervision of bank holding companies (BHCs) on a consolidated basis. Prudential supervision involves monitoring and oversight to assess whether these firms are engaged in unsafe or unsound practices, as well as ensuring that firms are taking corrective actions to address such practices. Prudential supervision is interlinked with, but distinct from, regulation, which involves the development and promulgation of the rules under which BHCs and other regulated financial intermediaries operate. This paper describes the Federal Reserve?s supervisory approach for large, complex financial companies and how prudential supervisory activities are structured, staffed, and implemented on a day?to?day basis at the Federal Reserve Bank of New York as part of the broader supervisory program of the Federal Reserve System. The goal of the paper is to generate insight for those not involved in supervision into what supervisors do and how they do it. Understanding how prudential supervision works is a critical precursor to determining how to measure its impact and effectiveness.","PeriodicalId":84751,"journal":{"name":"Field staff reports","volume":"48 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84253667","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper, we investigate the role of college selectivity in mobility decisions (both in-state and out-of-state) of freshmen students following Georgia’s HOPE scholarship program. How did HOPE affect the selectivity of colleges attended by Georgia’s freshmen students? Did it induce Georgia’s freshmen students who would have otherwise attended more selective out-of-state colleges to instead attend less selective in-state ones? Or was there movement to more selective ones, both in-state and out-of-state? Using student residency and enrollment data from IPEDS and selectivity data from Barron’s and Peterson’s, we find that in the aftermath of HOPE, Georgia freshmen attended relatively more selective colleges overall. Disaggregating further, we find that Georgia freshmen attending in-state colleges attended more selective ones. Georgia freshmen attending out-of-state colleges were also more likely to attend more selective colleges, most likely due to an increase in the reservation price to go to out-of-state colleges following HOPE. Our results are robust to a variety of sensitivity checks and have important policy implications. In particular, Peltzman had observed in his classic 1973 paper that in-kind subsidies can induce individuals to invest in less quality-adjusted human capital than they might otherwise. The fact that Georgia freshmen attended relatively more selective colleges in the post-HOPE period allays, to some extent, the concern that state merit aid programs can adversely affect long-term outcomes and human capital formation.
{"title":"Merit Aid, Student Mobility, and the Role of College Selectivity","authors":"R. Chakrabarti, Joydeep Roy, Joydeep Roy","doi":"10.2139/SSRN.2335480","DOIUrl":"https://doi.org/10.2139/SSRN.2335480","url":null,"abstract":"In this paper, we investigate the role of college selectivity in mobility decisions (both in-state and out-of-state) of freshmen students following Georgia’s HOPE scholarship program. How did HOPE affect the selectivity of colleges attended by Georgia’s freshmen students? Did it induce Georgia’s freshmen students who would have otherwise attended more selective out-of-state colleges to instead attend less selective in-state ones? Or was there movement to more selective ones, both in-state and out-of-state? Using student residency and enrollment data from IPEDS and selectivity data from Barron’s and Peterson’s, we find that in the aftermath of HOPE, Georgia freshmen attended relatively more selective colleges overall. Disaggregating further, we find that Georgia freshmen attending in-state colleges attended more selective ones. Georgia freshmen attending out-of-state colleges were also more likely to attend more selective colleges, most likely due to an increase in the reservation price to go to out-of-state colleges following HOPE. Our results are robust to a variety of sensitivity checks and have important policy implications. In particular, Peltzman had observed in his classic 1973 paper that in-kind subsidies can induce individuals to invest in less quality-adjusted human capital than they might otherwise. The fact that Georgia freshmen attended relatively more selective colleges in the post-HOPE period allays, to some extent, the concern that state merit aid programs can adversely affect long-term outcomes and human capital formation.","PeriodicalId":84751,"journal":{"name":"Field staff reports","volume":"41 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2013-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73568930","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We investigate how college students form and update their beliefs about future earnings using a unique ?information? experiment. We provide college students true information about the population distribution of earnings and observe how this information causes respondents to update their beliefs about their own future earnings. We show that college students are substantially misinformed about population earnings and logically revise their self-beliefs in response to the information we provide, with larger revisions when the information is more specific and is good news. We classify the updating behaviors observed and find that the majority of students are non-Bayesian updaters.
{"title":"Belief updating among college students: Evidence from experimental variation in information","authors":"Matthew Wiswall, basit. zafar","doi":"10.2139/ssrn.1928642","DOIUrl":"https://doi.org/10.2139/ssrn.1928642","url":null,"abstract":"We investigate how college students form and update their beliefs about future earnings using a unique ?information? experiment. We provide college students true information about the population distribution of earnings and observe how this information causes respondents to update their beliefs about their own future earnings. We show that college students are substantially misinformed about population earnings and logically revise their self-beliefs in response to the information we provide, with larger revisions when the information is more specific and is good news. We classify the updating behaviors observed and find that the majority of students are non-Bayesian updaters.","PeriodicalId":84751,"journal":{"name":"Field staff reports","volume":"108 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87583796","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-08-11DOI: 10.1146/ANNUREV.ECONOMICS.102308.124420
T. Adrian, H. Shin
The financial crisis of 2007-09 highlighted the changing role of financial institutions and the growing importance of the "shadow banking system," which grew out of the securitization of assets and the integration of banking with capital market developments. This trend was most pronounced in the United States, but it also had a profound influence on the global financial system as a whole. In a market-based financial system, banking and capital market developments are inseparable, and funding conditions are tied closely to fluctuations in the leverage of market-based financial intermediaries. Balance-sheet growth of market-based financial intermediaries provides a window on liquidity by indicating the availability of credit, while contractions of balance sheets have tended to precede the onset of financial crises. We describe the changing nature of financial intermediation in the market-based financial system, chart the course of the recent financial crisis, and outline the policy responses that have been implemented by the Federal Reserve and other central banks.
{"title":"The changing nature of financial intermediation and the financial crisis of 2007-09","authors":"T. Adrian, H. Shin","doi":"10.1146/ANNUREV.ECONOMICS.102308.124420","DOIUrl":"https://doi.org/10.1146/ANNUREV.ECONOMICS.102308.124420","url":null,"abstract":"The financial crisis of 2007-09 highlighted the changing role of financial institutions and the growing importance of the \"shadow banking system,\" which grew out of the securitization of assets and the integration of banking with capital market developments. This trend was most pronounced in the United States, but it also had a profound influence on the global financial system as a whole. In a market-based financial system, banking and capital market developments are inseparable, and funding conditions are tied closely to fluctuations in the leverage of market-based financial intermediaries. Balance-sheet growth of market-based financial intermediaries provides a window on liquidity by indicating the availability of credit, while contractions of balance sheets have tended to precede the onset of financial crises. We describe the changing nature of financial intermediation in the market-based financial system, chart the course of the recent financial crisis, and outline the policy responses that have been implemented by the Federal Reserve and other central banks.","PeriodicalId":84751,"journal":{"name":"Field staff reports","volume":"75 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2010-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79045662","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We derive equilibrium pricing implications from an intertemporal capital asset pricing model where the tightness of financial intermediaries’ funding constraints enters the pricing kernel. We test the resulting factor model in the cross-section of stock returns. Our empirical results show that stocks that hedge against adverse shocks to funding liquidity earn lower average returns. The pricing performance of our three-factor model is surprisingly strong across specifications and test assets, including portfolios sorted by industry, size, book-to-market, momentum, and long-term reversal. Funding liquidity can thus account for well-known asset pricing anomalies.
{"title":"Funding liquidity risk and the cross-section of stock returns","authors":"T. Adrian, Erkko M. Etula","doi":"10.2139/ssrn.1652952","DOIUrl":"https://doi.org/10.2139/ssrn.1652952","url":null,"abstract":"We derive equilibrium pricing implications from an intertemporal capital asset pricing model where the tightness of financial intermediaries’ funding constraints enters the pricing kernel. We test the resulting factor model in the cross-section of stock returns. Our empirical results show that stocks that hedge against adverse shocks to funding liquidity earn lower average returns. The pricing performance of our three-factor model is surprisingly strong across specifications and test assets, including portfolios sorted by industry, size, book-to-market, momentum, and long-term reversal. Funding liquidity can thus account for well-known asset pricing anomalies.","PeriodicalId":84751,"journal":{"name":"Field staff reports","volume":"12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2010-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86942312","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper, we seek to produce forecasts of commodity price movements that can systematically improve on naive statistical benchmarks. We revisit how well changes in commodity currencies perform as potential efficient predictors of commodity prices, a view emphasized in the recent literature. In addition, we consider different types of factor-augmented models that use information from a large data set containing a variety of indicators of supply and demand conditions across major developed and developing countries. These factor-augmented models use either standard principal components or the more novel partial least squares (PLS) regression to extract dynamic factors from the data set. Our forecasting analysis considers ten alternative indices and sub-indices of spot prices for three different commodity classes across different periods. We find that, of all the approaches, the exchange-rate-based model and the PLS factor-augmented model are more likely to outperform the naive statistical benchmarks, although PLS factor-augmented models usually have a slight edge over the exchange-rate-based approach. However, across our range of commodity price indices we are not able to generate out-of-sample forecasts that, on average, are systematically more accurate than predictions based on a random walk or autoregressive specifications.
{"title":"Commodity prices, commodity currencies, and global economic developments","authors":"Jan J. J. Groen, Paolo A. Pesenti","doi":"10.3386/w15743","DOIUrl":"https://doi.org/10.3386/w15743","url":null,"abstract":"In this paper, we seek to produce forecasts of commodity price movements that can systematically improve on naive statistical benchmarks. We revisit how well changes in commodity currencies perform as potential efficient predictors of commodity prices, a view emphasized in the recent literature. In addition, we consider different types of factor-augmented models that use information from a large data set containing a variety of indicators of supply and demand conditions across major developed and developing countries. These factor-augmented models use either standard principal components or the more novel partial least squares (PLS) regression to extract dynamic factors from the data set. Our forecasting analysis considers ten alternative indices and sub-indices of spot prices for three different commodity classes across different periods. We find that, of all the approaches, the exchange-rate-based model and the PLS factor-augmented model are more likely to outperform the naive statistical benchmarks, although PLS factor-augmented models usually have a slight edge over the exchange-rate-based approach. However, across our range of commodity price indices we are not able to generate out-of-sample forecasts that, on average, are systematically more accurate than predictions based on a random walk or autoregressive specifications.","PeriodicalId":84751,"journal":{"name":"Field staff reports","volume":"31 1","pages":"15-42"},"PeriodicalIF":0.0,"publicationDate":"2009-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81650815","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Staff Report no. 273 has been removed at the request of the author. See links to related papers.
工作人员报告编号273已应作者的要求删除。请参阅相关论文的链接。
{"title":"Defining and detecting predatory lending","authors":"Donald P. Morgan","doi":"10.2139/ssrn.962711","DOIUrl":"https://doi.org/10.2139/ssrn.962711","url":null,"abstract":"Staff Report no. 273 has been removed at the request of the author. See links to related papers.","PeriodicalId":84751,"journal":{"name":"Field staff reports","volume":"21 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2007-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75572543","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We provide a tractable model to study monetary policy under discretion. We restrict our analysis to Markov equilibria. We find that for all parametrizations with an equilibrium inflation rate of about 2 percent, there is a second equilibrium with an inflation rate just above 10 percent. Thus, the model can simultaneously account for the low and high inflation episodes in the United States. We carefully characterize the set of Markov equilibria along the parameter space and find our results to be robust, suggesting that expectation traps are more than just a theoretical curiosity.
{"title":"Can U.S. monetary policy fall (again) into an expectation trap","authors":"Roc Armenter, Martin Bodenstein","doi":"10.17016/ifdp.2006.860","DOIUrl":"https://doi.org/10.17016/ifdp.2006.860","url":null,"abstract":"We provide a tractable model to study monetary policy under discretion. We restrict our analysis to Markov equilibria. We find that for all parametrizations with an equilibrium inflation rate of about 2 percent, there is a second equilibrium with an inflation rate just above 10 percent. Thus, the model can simultaneously account for the low and high inflation episodes in the United States. We carefully characterize the set of Markov equilibria along the parameter space and find our results to be robust, suggesting that expectation traps are more than just a theoretical curiosity.","PeriodicalId":84751,"journal":{"name":"Field staff reports","volume":"84 1","pages":"1-40"},"PeriodicalIF":0.0,"publicationDate":"2006-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83836210","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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