Economic Research

New From Liberty Street Economics
Just Released: January Business Leaders Survey Indicates Regional Business Conditions Are Finally Back to Normal
According to the latest Business Leaders Survey, the regional economy has reached an important milestone: Business conditions are widely seen as “back to normal” for the first time since the Great Recession.
By Jaison R. Abel, Jason Bram, and Richard Deitz
Historical Echoes: The World of Bank Names, According to Andy Rooney
Farber revisits some musings on bank names from the late Andy Rooney, who seems to have been interested in and amused by all kinds of names.
By Amy Farber
FRN Follow-Up: Who Are the Market Participants?
In January 2014, the U.S. Treasury held its first auction of a two-year floating-rate note (FRN), which pays a fixed spread over the floating thirteen-week bill rate rather than a fixed coupon. The bloggers investigate the aftermath of this auction and highlight the important role played by dealers as intermediaries and by money market funds as ultimate investors.
By Ezechiel Copic, Luis Gonzalez, Caitlin Gorback, Blake Gwinn, and Ernst Schaumburg
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The FRBNY DSGE Model
In recent work, economists described the New York Fed’s dynamic stochastic equilibrium model, assessed its forecasting accuracy, and shared source code used for model estimation.
Research Topics in Focus: College grads
Is College Worth It?
Students in recent years have been paying more to attend college and earning less upon graduation—trends that have raised questions about whether a college education remains a good investment. But research from economists Jaison Abel and Richard Deitz finds that the benefits of college still tend to outweigh the costs.
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International Banking Research Network
This New York Fed-hosted microsite describes an initiative of central bank researchers who are engaged in a coordinated study of global banks and their activities internationally.
Recent Articles
Betting against Beta (and Gamma) using Government Bonds
Consistent with “risk parity” asset allocation, recent studies document “low-risk” trading strategies that exploit a persistently negative relation between Sharpe ratios and maturity along the U.S. Treasury term structure. Durham extends this evidence on betting against beta with government bonds in four ways.
By J. Benson Durham, Staff Reports 708, January 2015
Grown-Up Business Cycles
The authors document the steady decline in the firm entry rate over the last thirty years and the gradual shift of employment from younger to older firms over the same period—developments that hold across industries and geography. Despite these trends, firms' lifecycle dynamics and their business cycle properties have remained virtually unchanged.
By Benjamin Pugsley and Ayşegül Şahin, Staff Reports 707, December 2014
Option-Implied Term Structures
The illiquidity of long-maturity options has made it difficult to study the term structures of option-spanning portfolios. Vogt proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity.
By Erik Vogt, Staff Reports 706, December 2014
Hybrid Intermediaries
Today’s complex bank holding companies are the best example of hybrid intermediaries, but Cetorelli argues that financial firms from the “nonbank” space can just as easily evolve into conglomerates with a similar organizational structure, thus acquiring the capability to engage in financial intermediation.
By Nicola Cetorelli, Staff Reports 705, December 2014
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