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6 posts from December 2015

December 21, 2015

The Effect of Fed Funds Rate Hikes on Consumer Borrowing Costs


The target federal funds rate has hovered around zero for nearly a decade, and observers are questioning what effect an increase could have on both the financial markets and the real economy. In this post, we examine the historical reaction of loan rates to target rate increases. Specifically, we examine the interest rates that banks offer on residential mortgages and home equity lines of credit (HELOCs).

Continue reading "The Effect of Fed Funds Rate Hikes on Consumer Borrowing Costs" »

Posted by Blog Author at 7:00 AM in Fed Funds, Household Finance, Monetary Policy | Permalink | Comments (0)

December 07, 2015

Dealer Positioning and Expected Returns


Securities broker-dealers (dealers) trade securities on behalf of their customers and themselves. Recently, analysts have pointed to the decline in U.S. dealers’ corporate bond inventories as evidence that dealers’ market making capacity is impaired. However, historically such inventories also reflect dealers’ risk management and proprietary trading activities. In this post, we take a long-term perspective on the evolution of dealers’ inventories of corporate bonds, Treasuries, and other debt securities and relate those inventories to expected returns in fixed-income markets in an effort to better understand the drivers of dealer positioning.

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Posted by Blog Author at 7:00 AM in Dealers, Expectations, Financial Institutions, Financial Markets, Liquidity, Treasury | Permalink | Comments (2)

December 04, 2015

At the New York Fed: Conference on the Evolving Structure of the U.S. Treasury Market


The New York Fed recently hosted a two-day conference on the evolving structure of the U.S. Treasury market, co-sponsored with the U.S. Department of the Treasury, the Federal Reserve Board, the U.S. Securities and Exchange Commission, and the U.S. Commodity Futures Trading Commission. The events of October 15, 2014, when yields experienced an unusually high level of volatility and a rapid round-trip in prices without a clear cause, underscored the need to better understand the factors that affect the liquidity and functioning of this important market.

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Posted by Blog Author at 7:00 AM in Fed Funds, Financial Markets, Treasury | Permalink | Comments (0)

December 03, 2015

The FRBNY DSGE Model Meets Julia

We have implemented the FRBNY DSGE model in a free and open-source language called Julia. The code is posted here on GitHub, a public repository hosting service. This effort is the result of a collaboration between New York Fed staff and folks from the QuantEcon project, whose aim is to coordinate development of high performance open-source code for quantitative economic modeling.

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Posted by Blog Author at 7:00 AM in DSGE, Macroecon | Permalink | Comments (3)

December 02, 2015

Just Released: Job Market Remains Tight as Regional Economy Slows


The New York Fed’s latest Beige Book report indicates that regional economic growth slowed in October and early November, while the job market stayed strong and prices remained stable. This latest report, based on information collected through November 20, suggests that economic activity in the Second District has leveled off since the end of the third quarter. A growing number of sectors appear to be facing increased headwinds from a strong dollar. In particular, the manufacturing sector, which was one of the weakest sectors in the Second District during the third quarter, has continued to contract at the start of the fourth quarter. Moreover, fewer and fewer manufacturing sector contacts are optimistic about the near-term outlook.

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Posted by Blog Author at 2:15 PM in Regional Analysis | Permalink | Comments (0)

December 01, 2015

The FRBNY DSGE Model Forecast—November 2015

This post presents an update of the economic forecasts implied by the Federal Reserve Bank of New York’s (FRBNY) dynamic stochastic general equilibrium (DSGE) model, which we first introduced in a series of blog posts in September 2014. The model continues to predict a gradual recovery in economic activity, but one that will proceed at a slightly slower pace than was forecast in our April update. It also predicts a slow return of inflation toward the Federal Open Market Committee’s (FOMC) long-run target of 2 percent. This forecast remains surrounded by significant uncertainty. Please note that the DSGE model forecasts are not the official New York Fed staff forecasts, but only an input to the overall forecasting process at the Bank.

Continue reading "The FRBNY DSGE Model Forecast—November 2015 " »

Posted by Blog Author at 7:00 AM in DSGE, Fed Funds, Macroecon, Monetary Policy, Wages | Permalink | Comments (0)

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