E44 - Financial Markets and the Macroeconomy

• A New Approach to Estimating Portfolio-Balance Models of the Yield Curve

  Staff working paper 2026-33 Antonio Diez de los Rios

  Portfolio-balance models of the yield curve are notoriously hard to estimate. This paper offers a simple, two-step estimation approach that can be implemented with standard term structure estimation methods. In our application to U.S. Treasury data, our method recovers economically interpretable drivers of the yield curve.

  Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, E44, G, G1, G12, H, H6, H63 Research Theme(s): Financial markets and funds management, Funds management, Models and tools, Econometric, statistical and computational methods

• Labor Markets, Financial Crises, and Inflation: Jobless and Wageless Recoveries*

  Staff working paper 2026-31 Guillermo Calvo, Emilio Colombi, Fabrizio Coricelli, Pablo Ottonello

  We document the macroeconomic patterns that characterize labor market recovery from financial crises. Using a sample of postwar recession episodes from around the world, we show that financial crises are typically followed by jobless recoveries, with a sluggish recovery in employment relative to output.

  Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E3, E31, E4, E44, F, F3, F32 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting