Annual Conference

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International Macroeconomics, Money & Banking

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May 2017

A Shadow Rate New Keynesian Model

Ji ZHANG, Jing Cynthia WU
We propose a tractable and coherent framework that captures both conventional and unconventional monetary policies with the shadow fed funds rate. Empirically, we document the shadow rate’s resemblance to an overall financial conditions index, various private interest rates, the Fed’s balance sh...
Keywords: Shadow Rate, New Keynesian model, unconventional monetary policy, zero lower bound, QE, lending facilities
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Senior Fellows/Fellows

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Senior Fellows/Fellows

A Second-best Argument for Low Optimal Tariffs

Lorenzo CALIENDO, Robert C. FEENSTRA, John ROMALIS, Alan M. TAYLOR
We derive a new formula for the optimal uniform tariff in a small-country, heterogeneous-firm model with roundabout production and a nontraded good. Tariffs are applied on imported intermediate inputs. First-best policy requires that markups on domestic intermediate inputs are offset by subsidie...
Keywords: Trade Policy, monopolistic competition, gains from trade, input-output linkages
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AMPF Papers

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Commissioned Paper

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Jun 2020

A Safe-Asset Perspective for an Integrated Policy Framework

Markus K. BRUNNERMEIER, Yuliy SANNIKOV, Sebastian MERKEL
Borrowing from Brunnermeier and Sannikov (2016a, 2019) this policy paper sketches a policy framework for emerging market economies by mapping out the roles and interactions of monetary policy, macroprudential policies, foreign exchange interventions, and capital controls. Safe assets are central in ...
Keywords: Safe asset, bubbles, international capital flows, capital controls, monetary policy, macroprudential
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Annual Conference

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Real Estate and Urban Economics, Senior Fellows/Fellows

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May 2018

A Quantile Regression Analysis of Housing Price Distributions Near MRT Stations

Tien Foo SING, Daniel P. MCMILLEN, Diao MI
This study uses the opening of the new Circle Line (CCL) in Singapore as a natural experiment to test the effects of urban rail transit networks on non-landed private housing values in Singapore. Using the network distance measure and a local-polynomial-regression approach, we observe discontinuity ...
Keywords: Average treatment effects, distributional quantile effects, spatial variations, quantile decomposition, spatial autocorrelation, price heterogeneity
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

A Model of The Fed's View on Inflation

Thomas HASENZAGL, Filippo PELLEGRINO, Lucrezia REICHLIN, Giovanni RICCO
We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view – often expressed by central banks – that three components are important: a trend anchored by long-run expectations, a Phillips curve and temporary fluctuations in energy prices. We ...
Keywords: Phillips curve, inflation dynamics, output gap, Okun's law, unobserved components, Bayesian estimation
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