Staff Working Papers

• Do Survey Expectations of Stock Returns Reflect Risk Adjustments?

  Staff Working Paper 2019-11 Klaus Adam, Dmitry Matveev, Stefan Nagel

  Motivated by the observation that survey expectations of stock returns are inconsistent with rational return expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the literature on asset pricing are consistent with the survey evidence.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Economic models, Financial markets JEL Code(s): G, G1, G10, G12

• Limiting Sender’s Information in Bayesian Persuasion

  Staff Working Paper 2019-10 Shota Ichihashi

  This paper studies how the outcome of Bayesian persuasion depends on a sender’s information. I study a game in which, prior to the sender’s information disclosure, the designer can restrict the most informative signal that the sender can generate.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Economic models JEL Code(s): D, D8, D82, D83

• Inflation Targeting and Liquidity Traps Under Endogenous Credibility

  Staff Working Paper 2019-9 Cars Hommes, Joep Lustenhouwer

  Policy implications are derived for an inflation-targeting central bank, whose credibility is endogenous and depends on its past ability to achieve its targets. This is done in a New Keynesian framework with heterogeneous and boundedly rational expectations.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Credibility, Monetary Policy JEL Code(s): C, C6, C62, E, E3, E32, E5, E52

• Macroprudential Policy with Capital Buffers

  Staff Working Paper 2019-8 Josef Schroth

  This paper studies optimal bank capital requirements in a model of endogenous bank funding conditions. I find that requirements should be higher during good times such that a macroprudential “buffer” is provided.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Credit risk management, Financial stability, Financial system regulation and policies, Lender of last resort JEL Code(s): E, E1, E13, E3, E32, E4, E44

• Inequality in Parental Transfers, Borrowing Constraints and Optimal Higher Education Subsidies

  Staff Working Paper 2019-7 Youngmin Park

  This paper studies optimal education subsidies when parental transfers are unequally distributed across students and cannot be publicly observed. After documenting substantial inequality in parental transfers among US college students with similar family resources, I examine its implications for how the education subsidy should vary with schooling level and family resources to minimize inefficiencies generated by borrowing constraints.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Fiscal Policy, Potential output, Productivity JEL Code(s): D, D1, D14, D6, D61, D64, D8, D82, I, I2, I22, J, J2, J24

• The Distributional Effects of Conventional Monetary Policy and Quantitative Easing: Evidence from an Estimated DSGE Model

  Staff Working Paper 2019-6 Stefan Hohberger, Romanos Priftis, Lukas Vogel

  This paper compares the distributional effects of conventional monetary policy and quantitative easing (QE) within an estimated open-economy DSGE model of the euro area.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Economic models, Interest rates, Monetary Policy, Transmission of monetary policy JEL Code(s): E, E4, E44, E5, E52, F, F4, F41

• Corporate Debt Composition and Business Cycles

  Staff Working Paper 2019-5 Jelena Zivanovic

  Based on empirical evidence, I propose a dynamic stochastic general equilibrium model with two financial sectors to analyze the role of corporate debt composition (bank versus bond financing) in the transmission of economic shocks.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Financial Institutions, Financial markets, Recent economic and financial developments JEL Code(s): E, E3, E32, E4, E44

• Frictional Capital Reallocation I: Ex Ante Heterogeneity

  Staff Working Paper 2019-4 Randall Wright, Sylvia Xiaolin Xiao, Yu Zhu

  This paper studies dynamic general equilibrium models where firms trade capital in frictional markets. Gains from trade arise due to ex ante heterogeneity: some firms are better at investment, so they build capital in the primary market; others acquire it in the secondary market.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Monetary Policy JEL Code(s): E, E2, E22, E4, E44

• Can Capital Deepening Explain the Global Decline in Labor’s Share?

  Staff Working Paper 2019-3 Andrew Glover, Jacob Short

  We estimate an aggregate elasticity of substitution between capital and labor near or below one, which implies that capital deepening cannot explain the global decline in labor's share. Our methodology derives from transition paths in the neo-classical growth model.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Firm dynamics, International topics, Labour markets JEL Code(s): E, E1, E13, E2, E22, E25, J, J3

• The Productivity Slowdown in Canada: An ICT Phenomenon?

  Staff Working Paper 2019-2 Jeffrey Mollins, Pierre St-Amant

  We ask whether a weaker contribution of information and communication technologies (ICT) to productivity growth could account for the productivity slowdown observed in Canada since the early 2000s. To answer this question, we consider several methods capturing channels through which ICT could affect aggregate productivity growth.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Productivity JEL Code(s): D, D2, D24, O, O4, O41, O47