Just Released: U.S. Economy in a Snapshot—More Data for More Charts
We launched the U.S. Economy in a Snapshot in June 2015 to provide interested readers with a monthly update of current economic and financial developments. Combining charts and summary points, the packet covers a range of topics that include labor and financial markets, the behavior of consumers and firms, survey responses, and the global economy.
Reconciling Survey‑ and Market‑Based Expectations for the Policy Rate
In our previous post [LINK], we showed that the gap between the market-implied path for the federal funds rate and the survey-implied mean expectations for the federal funds rate from the Survey of Primary Dealers (SPD) and the Survey of Market Participants (SMP) narrowed from the December survey to the January survey.
How Do Survey‑ and Market‑Based Expectations of the Policy Rate Differ?
Over the past year, market pricing on interest rate derivatives linked to the federal funds rate have suggested a significantly lower expected path of the policy rate than responses to the New York Fed’s Survey of Primary Dealers (SPD) and Survey of Market Participants (SMP). However, this gap narrowed considerably from December 2015 to January 2016, before widening slightly at longer horizons in March. This post argues that the narrowing between December and January was mostly the result of survey respondents placing greater weight on lower rate outcomes, while the subsequent widening in February and March likely reflects an increased demand for insurance against states of the world where the policy rate remains at very low levels.
Hey, Economist! What Did You Make of “The Big Short”?
How the Fed Smoothed Quarter‑End Volatility in the Fed Funds Market
The federal funds market is an important source of short-term funding for U.S. banks.
Did Third Avenue’s Liquidation Reduce Corporate Bond Market Liquidity?
Tobias Adrian, Michael J. Fleming, Erik Vogt, and Zachary Wojtowicz The announced liquidation of Third Avenue’s high-yield Focused Credit Fund (FCF) on December 9, 2015, drew widespread attention and reportedly sent ripples through asset markets. Events of this kind have the potential to increase the demand for market liquidity, as investors revise expectations, reassess risk […]
Quantifying Potential Spillovers from Runs on High‑Yield Funds
On December 9, 2015, Third Avenue Focused Credit Fund (FCF) announced a “Plan of Liquidation,” effectively halting investor redemptions.