Economic Research - Federal Reserve Bank of New York

Using data from the New York Fed's Survey of Consumer Expectations, they show that while one-year-ahead inflation expectations have continued to trend upward, ... Tweetsby@NYFedResearch EconomicResearch HowCouldOilPriceandPolicyRateHikesAffecttheNear-TermInflationOutlook? WilltheU.S.DollarContinuetoDominateWorldTrade? U.S.EconomyinaSnapshot TheNewYorkFedDSGEModelForecast—June2022 BusinessLeadersSurvey LibertyStreetEconomics HowIstheCorporateBondMarketRespondingtoFinancialMarketVolatility? TheRussianinvasionofUkraineincreaseduncertaintyaroundtheworld.AlthoughU.S.companieshavelimiteddirectexposuretoUkrainianandRussiantradingpartners,increasedglobaluncertaintymaystillhaveanindirecteffectonfundingconditionsthroughtighteningfinancialconditions.TheauthorsexaminehowconditionsintheU.S.corporatebondmarkethaveevolvedsincethestartoftheyearthroughthelensoftheU.S.CorporateBondMarketDistressIndex(CMDI). ByNinaBoyarchenko,RichardCrump,AnnaKovner,andOrShachar DoesChina’sZeroCovidStrategyMeanZeroEconomicGrowth? TheChinesegovernmenthasfolloweda“zerocovidstrategy”(ZCS)eversinceendingitsfirstroundoflockdownsinMarch/April2020.Whilethisstrategyhasbeeneffectiveatmaintaininglowinfectionlevelsandstrongmanufacturingandexportactivity,itsviabilityisbeingseverelystrainedbythespreadofincreasinglyinfectiouscoronavirusvariants.Asaresult,theauthorsfindthattherenowappearstobeafundamentalincompatibilitybetweentheZCSandthegovernment’seconomicgrowthobjectives. ByHunterClarkandLawrenceLin WhatDoConsumersThinkWillHappentoInflation? TheauthorsprovideanupdateoftwoearlierLibertyStreetEconomicspostsinwhichtheydiscusshowconsumers’viewsaboutfutureinflationhaveevolvedinacontinuallychangingeconomicenvironment.UsingdatafromtheNewYorkFed’sSurveyofConsumerExpectations,theyshowthatwhileone-year-aheadinflationexpectationshavecontinuedtotrendupward,three-years-aheadinflationexpectationsappeartohavereachedaplateauoverthepastfewmonthsandlonger-terminflationexpectationshaveremainedremarkablystable. ByOlivierArmantier,FatimaBoumahdi,GizemKosar,JasonSomerville,GiorgioTopa,WilbertvanderKlaauw,andJohnC.Williams TheAdverseEffectof“Mandatory”FloodInsuranceonAccesstoCredit TheNationalFloodInsuranceProgram(NFIP)wasdesignedtoreducehouseholdandlenderflood-riskexposureand“encouragelending.”Inthispost,whichisbasedontheirrelatedstudy,theauthorsshowthatincertainsituationstheprogramactuallylimitsaccesstocredit,particularlyforlow-incomeborrowers—anunintendedconsequenceofthiswell-intentionedprogram. ByKristianBlickle,KatherineEngelman,TheoLinnemann,andJoãoA.C.Santos GlobalSupplyChainPressureIndex:May2022Update SupplychaindisruptionscontinuetobeamajorchallengeastheworldeconomyrecoversfromtheCOVID-19pandemic.InaJanuarypost,wefirstpresentedtheGlobalSupplyChainPressureIndex(GSCPI),aparsimoniousglobalmeasuredesignedtocapturesupplychaindisruptionsusingarangeofindicators.TodaywearelaunchingtheGSCPIasastandaloneproduct,withnewreadingstobepublishedeachmonth.Inthispost,wereviewGSCPIreadingsthroughApril2022andbrieflydiscussthedriversofrecentmovesintheindex. ByGianlucaBenigno,JuliandiGiovanni,JanJ.J.Groen,andAdamNoble RESEARCHEVENT July13Workshop:Inflation,Unemployment,andMonetaryPolicy WewouldliketoinviteeducatorsfromschoolsintheSecondDistricttoaprofessionaldevelopmentworkshop. Educatorswilllearnpedagogicalstrategiesfordemystifyingthetopicsofinflationandunemploymentintheclassroom.Thosewhocompletetherequirementsfortheworkshopwillreceive1.5hoursofContinuingEducation/CTLEcredit. REGISTER Wednesday,July13 onlineviaWebEx 10:00-11:30am ResearchTopics AppliedMacroeconomics andEconometricsCenter ThemissionoftheApplied MacroeconomicsandEconometrics Center(AMEC)istoprovideintellectual leadershipinthecentralbanking communityinthefieldsofmacroand appliedeconometrics. DataReleases GlobalSupplyChainPressureIndex (Updated:Monthly) TheNewYorkFedDSGEModel (Updated:Quarterly) TreasuryTermPremia (Updated:Daily) UnderlyingInflationGauge (Updated:Monthly) YieldCurveasaLeadingIndicator (Updated:Monthly) WeeklyEconomicIndex(WEI) (Updated:Weekly) CenterforMicroeconomicData RegionalEmploymentTrends Theseinteractivechartstrackemployment in stateandmetroregionsintheFederalReserve’sSecondDistrict,utilizingtheNewYorkFed’s earlybenchmarksof payrollemployment data.Itupdatesmonthly. MappingHomePriceChanges Exploreyear-over-yearchangesinhomepricessince2003,bothregionallyandnationally,usingthisdynamicmap—updatedwithnewhomepriceindexdataonamonthlybasis.Hoveroveracountyforgranulardata. EarlyBenchmarkedEmploymentData MonthlyreleasesofearlybenchmarkedemploymentfiguresforNewYorkState,NewJersey,PuertoRico,andtheU.S.VirginIslands,aswellasthemetropolitanareasinNewYorkandNorthernNewJersey U.S.EconomyinaSnapshot U.S.EconomyinaSnapshotisamonthlypresentationdesignedtogiveyouaquickandaccessiblelookatdevelopmentsintheeconomy. OilPriceDynamicsReport Ouroilpricedecomposition,reportedweekly,examineswhat’sbehindrecentfluctuationsinoilprices:demandfactors,supplyfactors,orsomecombinationofthetwo? EmpireStateManufacturingSurvey BusinessactivitywaslittlechangedinNewYorkState,accordingtofirmsrespondingtotheJune2022EmpireStateManufacturingSurvey. BusinessLeadersSurvey Growthstalledintheregion’sservicesector,accordingtofirmsrespondingtotheFederalReserveBankofNewYork’sJune2022BusinessLeadersSurvey. SupplementalSurveyReport SupplementaryquestionstotheMayEmpireStateManufacturingSurveyandBusinessLeadersSurveyfocusedonbusinesses’short-andlonger-termexpectationsforinflation(asmeasuredbytheConsumerPriceIndex—CPI),aswellasrecentandexpectedchangesintheirownsellingprices(thepricestheyreceivefromtheircustomers). TheLaborMarketforRecentCollegeGraduates Recentcollegegraduatesincreasinglyfoundjobsinearly2022astheunemploymentratedroppedto4.0 percent,itslowestlevelsincethepandemicbegan.Whiletheunderemploymentrateedgedupto41.4 percent,ithasnowreturnedtoitspre-pandemiclevel. NowcastingReport WeeklyreporttrackstheevolutionoftheNewYorkFed StaffNowcastofGDPgrowthandtheimpactofnewmacroeconomicdatareleasesontheforecast. MeasuringtheNaturalRateofInterest TheLaubach-WilliamsandHolston-Laubach-Williamsmodelsprovideestimatesofthenaturalrateofinterest,orr-star,andrelatedvariablesfortheUnitedStatesandotheradvancedeconomies.Wesharequarterlyestimatesaswellasthereplicationcodeanddocumentationforbothmodels. RecentPublications ARobustTestforWeakInstrumentswithMultipleEndogenousRegressors First-stagetests—asthoseproposedinStockandYogo(2005),ormorerecentlyMontielOleaandPflueger(2013)—areawidelyuseddiagnostictooltoassessinstrumentrelevanceinempiricalapplicationsthatinvolveinstrumentalvariables.Whenresearchersarenotcomfortableimposinghomoskedasticityassumptionsforsecond-stageinference,theyshouldalsoavoidimposingsuchassumptionsinfirst-stagetestingprocedures.Inthispaper,theauthorsgeneralizethetestingapproachofMontiel,Olea,andPflueger(2013)toprovideafirst-stagetestthatisvalidunderheteroskedasticityandautocorrelationregardlessofthenumberofendogenousregressors. DanielJ.LewisandKarelMertens,StaffReport1020,June2022 GovernmentProcurementandAccesstoCredit:FirmDynamicsandAggregateImplications Agovernment’spurchaseofgoodsandservicesisdonebyawardingpublicprocurementcontractstoprivatefirms.TheauthorsemployanewlycreatedpaneldatasetofadministrativedatathatmergesSpanishcreditregisterloandata,quasi-censusfirm-leveldata,andpublicprocurementprojectstostudyfirmselectionintoprocurementandtheeffectsofprocurementoncreditgrowthandfirmgrowth. JuliandiGiovanni,Manuel-GarcíaSantana,PriitJeenas,EnriqueMoral-Benito,andJosepPijoan-Mas,StaffReport1006,February2022 Scarce,Abundant,orAmple?ATime-VaryingModeloftheReserveDemandCurve Doesthefederalfundsraterespondtoshockswhenaggregatereservesareinthetrillionsofdollars?Hasbanks’demandforreservesmovedovertime?Theauthorsprovideastructuraltime-varyingestimateoftheslopeofthereservedemandcurveover2010-21.Consistentwitheconomictheory,theirestimatesshowanonlineardemandfunctionthatexhibitsanegativeslopein2010-11and2018-19butisflatover2012-17andaftermid-2020.Theyalsofindthatthecurvehasmovedoutward,bothverticallyandhorizontally. GaraAfonso,DomenicoGiannone,GabrieleLaSpada,andJohnC.Williams,StaffReport1019,May2022 ExpectationsDatainStructuralMicroeconomicModels Acrossawiderangeofappliedresearchareasineconomics,structuralmodelsareusedtounderstandthedecisionmakingofeconomicagentsandtoevaluatetheeffectsofcounterfactualpolicies.Inalmostallcases,thesemodelshavebeenestimatedusingdataonthechoicesagentsmake.Aburgeoningliterature,however,usesdataonexpectationsinsteadof,orinadditionto,dataonobservedchoices.Expectationsdatacanrefertodataonhowaneconomicagentbelievessomeuncertainfeatureofrealitywillevolveorwhatchoicestheagentspredicttheywillmakeinthefuture.Theauthorsreviewthisliterature,withanemphasisonmodelsofindividualandhouseholdbehavior. GizemKosarandCormacO'Dea,StaffReport1018,May2022 TheGSCPI:ANewBarometerofGlobalSupplyChainPressures Theauthorsproposeanovelindicatortocapturepressuresthatariseattheglobalsupplychainlevel,theGlobalSupplyChainPressureIndex(GSCPI).TheauthorsassesstheGSCPI'scapacitytoexplaininflationoutcomes,usingthelocalprojectionmethod.TheiranalysisshowsthatrecentinflationarypressuresarecloselyrelatedtothebehavioroftheGSCPI,especiallyatthelevelofproducerpriceinflationintheUnitedStatesandtheeuroarea. GianlucaBenigno,JuliandiGiovanni,JanJ.J.Groen,andAdamI.Noble,StaffReport1017,May2022 FinancialStabilityConsiderationsforMonetaryPolicy:TheoreticalMechanisms Theauthorsreviewthetheoreticalmacro-financeliteratureontheconnectionbetweenvulnerabilitiesinthefinancialsystemandthemacroeconomy,andonhowmonetarypolicyaffectsthatconnection.Theydrawthreemainlessons.First,financialvulnerabilitiesareinherenttofinancialsystemsandtendtobeprocyclical.Second,financialvulnerabilitiesamplifytheeffectsofadverseshockstotheeconomy.Andfinally,monetarypolicycanaffectthebuildupofvulnerabilities. AndreaAjello,NinaBoyarchenko,FrancoisGourio,andAndreaTambalotti,StaffReport1002,February2022 ANewApproachtoAssessInflationExpectationsAnchoringUsingStrategicSurveys Long-runinflationexpectationsthatareconsistentwithan(implicitorexplicit)centralbank’sinflationobjectiveareviewedasonemeasureofsuccessfulmonetarypolicy.Theauthorsproposeanewapproachforassessingtheanchoringofinflationexpectationsusing“strategicsurveys.”Namely,theymeasurehouseholds’revisionsinlong-runinflationexpectationsaftertheyarepresentedwithdifferenteconomicscenarios.Akeyadvantageofthisapproachisthatitprovidesacausalinterpretationintermsofhowinflationeventsaffectlong-runinflationexpectations. OlivierArmantier,ArgiaSbordone,GiorgioTopa,WilbertvanderKlaauw,andJohnC.Williams,StaffReport1007,February2022 UncertaintyShocks,CapitalFlows,andInternationalRiskSpillovers Theauthorsmodelanopeneconomywithfinancialintermediariesthatarebalance-sheet-constrainedandsubjecttotime-varyinguncertaintyintheprospectivereturnsontheircapitalholdings.Theyshowthatinafinanciallyintegratedworld,anincreaseinU.S.uncertaintyleadstoglobaldeleveragingpressure,adecreaseinglobalassetprices,andariseinglobalriskpremia,withmagnitudesconsistentwiththoseobtainedinthedata.Theirmodelalsoimpliesanappreciationofthedollar,adepreciationoftheforeigncurrency,andariseinuncoveredinterestparitypremiaonforeigncurrenciesinthewakeofhigherU.S.uncertainty,alsoconsistentwiththedata. OzgeAkinci,SebnemKalemli-Ozcan,andAlbertQueralto,StaffReport1016,May2022 Tools Searchresearchpublications UpcomingEvents ResearchGroupEvents OtherNewYorkFedEvents People StaffEconomists VisitingScholars ResidentScholars RelatedNewYorkFedContent InternationalBankingResearchNetwork Careers:Ph.D.-Level Careers:College-Level Careers:Ph.D.SummerInternship RelatedExternalContent CentralBankResearchHub FederalReserveBoard:MonetaryPolicy FederalReserveEconomicData(FRED) receiveemailalertsforresearch Bycontinuingtouseoursite,youagreetoourTermsofUseandPrivacyStatement.YoucanlearnmoreabouthowweusecookiesbyreviewingourPrivacyStatement.    RequestaSpeaker InternationalSeminars&Training Governance&CultureReform DataVisualization EconomicResearchTracker XMLData Podcast ForEmployeesOnly ContactUs TermsofUse Privacy SiteMap