168 records from EconBiz based on author Name

1. Measuring the natural rate of interest after COVID-19

abstract

We modify the Laubach-Williams and Holston-Laubach-Williams models of the natural rate of interest to account for time-varying volatility and a persistent COVID supply shock during the pandemic. Resulting estimates of the natural rate of interest in the United States, Canada, and the Euro Area at the end of 2022 are close to their respective levels estimated directly before the pandemic; that is, we do not find evidence that the era of historically low estimated natural rates of interest has ended. In contrast, estimates of the natural rate of output have declined relative to those projected before the pandemic.

Holston, Kathryn; Laubach, Thomas; Williams, John C.;
2023
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link Link

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2. Macroeconomic effects of large-scale asset purchases : new evidence

Kim, Kyungmin; Laubach, Thomas; Wei, Min;
2020
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link Link

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3. Measuring the natural rate of interest after COVID-19

Holston, Kathryn; Laubach, Thomas; Williams, John C.;
2023
Type: Working Paper;
Availability:

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4. Measuring the Natural Rate of Interest after COVID-19

abstract

We modify the Laubach-Williams and Holston-Laubach-Williams models of the natural rate of interest to account for time-varying volatility and a persistent COVID supply shock during the pandemic. Resulting estimates of the natural rate of interest in the United States, Canada, and the Euro Area at the end of 2022 are close to their respective levels estimated directly before the pandemic; that is, we do not find evidence that the era of historically low estimated natural rates of interest has ended. In contrast, estimates of the natural rate of output have declined relative to those projected before the pandemic

Holston, Kathryn; Laubach, Thomas; Williams, John C.;
2023
Availability: Link Link

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5. Macroeconomic Effects of Large-Scale Asset Purchases : New Evidence

abstract

We examine the macroeconomic effect of large-scale asset purchases (LSAPs) and forward guidance (FG) using a proxy structural VAR estimated on data through 2015, where the stance of the LSAP policy is measured using primary dealer expectations of the Federal Reserve's asset holdings. Monetary policy shocks are identified using instruments constructed from event study yield changes, and additional assumptions are employed to separately identify LSAP and FG shocks. We find that unexpected expansions in the Federal Reserve's asset holdings during the ZLB period between 2008 and 2015 had significant expansionary effects on the macroeconomy, with real activity and inflation rising and unemployment declining notably following the shock. The policy accommodation appears to be transmitted to the economy both through financial markets-including Treasury yields, credit spreads and equity prices-and through bank lending. The effects on Treasury yields and term premiums appear to be longer-lived than previously documented, while the effects on credit spreads and especially bank lending also appear persistent. These results appear fairly robust to alternative identification and econometric methodologies, alternative policy indicators and instruments, and controlling for any possible Federal Reserve information effect. A counterfactual analysis shows that absent the LSAP3 program implemented between late 2012 and 2014, CPI inflation would have been about 1 percentage point lower, while the unemployment rate would have been about 4 percentage points higher, by the end of 2015

Kim, Kyungmin; Laubach, Thomas; Wei, Min;
2020
Availability: Link

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6. Measuring the natural rate of interest : international trends and determinants

Holston, Kathryn; Laubach, Thomas; Williams, John C.;
2016
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:

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7. Measuring the natural rate of interest redux

Laubach, Thomas; Williams, John C.;
2015
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:

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8. Financial stability and optimal interest rate policy

Ajello, Andrea; Laubach, Thomas; López-Salido, José David; Nakata, Taisuke;
2019
Type: Aufsatz in Zeitschrift; Article in journal;

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9. The expectations-driven US current account

Hoffmann, Mathias; Krause, Michael; Laubach, Thomas;
2019
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
Citations: 13 (based on OpenCitations) Cited By

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10. Rule-of-Thumb Behaviour and Monetary Policy

abstract

We investigate the implications of rule-of-thumb behaviour on the part of consumers or price setters for optimal monetary policy and simple interest rate rules. The existence of such behaviour leads to endogenous persistence in output and inflation; changes the transmission of shocks to these variables; and alters the policymaker's welfare objective. Our main finding is that highly inertial policy is optimal regardless of what fraction of agents occasionally follow a rule of thumb. We also find that the interest rate rule that implements optimal policy in the purely optimising case, and a first-difference version of Taylor's (1993) rule, have desirable properties in all of the cases we consider. By contrast, the coefficients in other optimised simple rules tend to be extremely sensitive with respect to the fraction of rule-of-thumb behaviour and changes in other parameters of the model

Amato, Jeffrey D.; Laubach, Thomas;
2021

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