Board of Governors of the Federal Reserve System

Assessing the Severity of Rent Burden on Low-Income Families

To assess the rent burden on families, we analyze housing expenditures of renters using the American Community Survey (ACS) Public Use Microdata Sample (PUMS).

DOI: https://doi.org/10.17016/2380-7172.2111

Stigma and the discount window

One of the primary roles of central banks like the Federal Reserve is to provide liquidity to the financial system, particularly during periods of stress.  The discount window is a critical tool for providing that liquidity.

DOI: https://doi.org/10.17016/2380-7172.2108

The Potential Increase in Corporate Debt Interest Rate Payments from Changes in the Federal Funds Rate

This note studies the response of interest expenses of U.S. nonfinancial corporations to an increase in interest rates.

DOI: https://doi.org/10.17016/2380-7172.2076

Having a Lot Isn't Enough: Trends in Upsizing Houses and Shrinking Lots

The median size of single family residences built from 1980 to 2014 grew by 50 percent, from 1,600 to 2,400 square feet.  By contrast, during that same time, the median lot size shrank by over 20 percent; dwindling from 11,300 to 8,800 square feet.  As a result, we observe a marked increase in the building-to-lot-size ratio, the median of which ballooned from 0.14 for houses constructed in 1980 to 0.27 for those constructed in 2014.

DOI: https://doi.org/10.17016/2380-7172.2090

Overnight Reverse Repurchase (ON RRP) Operations and Uncertainty in the Repo Market

In this note, we analyze the effects of the ON RRP operations on daily repo rate uncertainty--based on revisions to the repo rate forecast--and intraday repo rate volatility.

DOI: https://doi.org/10.17016/2380-7172.2069

Oil Price Pass-Through into Core Inflation

Quantifying the magnitude and establishing the timing of the pass-through of oil price changes to consumer prices is crucial for forecasting inflation.  Characterizing this pass-through is particularly important because oil prices tend to undergo wide fluctuations.

DOI: https://doi.org/10.17016/2380-7172.2066

The Increased Role of the Federal Home Loan Bank System in Funding Markets, Part 3: Implications for Financial Stability

This note is the third part in a three part series. Part 1 provides some historical background and discusses key institutional characteristics of the Federal Home Loan Banks (FHLB) System. Part 2 highlights some of the recent trends in the FHLB system and potential drivers of those trends. This note discusses the implication of these developments for financial stability.

DOI: https://doi.org/10.17016/2380-7172.2094

The Increased Role of the Federal Home Loan Bank System in Funding Markets, Part 2: Recent Trends and Potential Drivers

This note is the second part in a three part series. Part 1 provides some historical background and discusses key institutional characteristics of the Federal Home Loan Banks (FHLB) System. This note discusses recent trends in the FHLB system and potential drivers of those trends.

DOI: https://doi.org/10.17016/2380-7172.2093

The Increased Role of the Federal Home Loan Bank System in Funding Markets, Part 1: Background

The Federal Home Loan Bank (FHLB) system was founded in 1932 to support mortgage lending by thrifts and insurance companies. Over time, the system has grown into a provider of funding for a larger range of financial institutions, including commercial banks and insurance companies.

DOI: https://doi.org/10.17016/2380-7172.2070

Natural Disasters and the Measurement of Industrial Production: Hurricane Harvey, a Case Study

The Federal Reserve's G.17 release on industrial production (IP) and capacity utilization published on September 15, 2017, included one of the first estimates of the impact on a specific measure of economic activity by Hurricane Harvey, which made landfall in Texas on August 25. As reported in the release, total industrial production fell 0.9 percent in August, most of which (about 3/4 percentage point) could be accounted for by storm-related outages.

DOI: https://doi.org/10.17016/2380-7172.2086

Own-Account IT Equipment Investment

This note considers a puzzle: why has information technology (IT) equipment investment in the National income and Product Accounts (NIPAs) been so weak since 2007 at the same time that financial reports indicate massive increases in capital expenditures by IT service companies?

DOI: https://doi.org/10.17016/2380-7172.2071

A Shadow Rate Model of Intermediate-Term Policy Rate Expectations

This note introduces a shadow rate term structure model based on OIS rates and surveys to quantify federal funds rate expectations and term premiums over horizons ranging from one month to five years. The model implies that term premiums vary over time and can be substantial in magnitude, even at relatively short horizons.

DOI: https://doi.org/10.17016/2380-7172.2056

Are Rising Home Values Restraining Homebuying for Lower-Income Families?

Since bottoming out in 2012, house prices in the U.S. have recovered rapidly. According to Zillow, the median home value has been growing about 6 percent per year. While incomes have also been recovering, they have not quite kept pace with home prices.

DOI: https://doi.org/10.17016/2380-7172.2078

The Decline in Lending to Lower-Income Borrowers by the Biggest Banks

Data collected under the Home Mortgage Disclosure Act (HMDA) reveal that the largest banks have significantly reduced their share of mortgage lending to low- and moderate-income (LMI) households in recent years.

DOI: https://doi.org/10.17016/2380-7172.2077

Recent Trends in Wealth-Holding by Race and Ethnicity: Evidence from the Survey of Consumer Finances

Data from the newly released 2016 Survey of Consumer Finances show wealth has grown for families across race and ethnicity groups since 2013, but substantial disparities between groups persist.

DOI: https://doi.org/10.17016/2380-7172.2083

Labor Market Outcomes in Metropolitan and Non-Metropolitan Areas: Signs of Growing Disparities

The U.S. unemployment rate has fallen steadily since 2010, indicating broad-based improvement in the labor market. However, disaggregated measures reveal divergences between regions and types of workers.

DOI: https://doi.org/10.17016/2380-7172.2063

Projected Evolution of the SOMA Portfolio and the 10-year Treasury Term Premium Effect

An earlier Feds note used staff models to provide a projection for the evolution of the SOMA portfolio and an estimate of the associated term premium effect (TPE) on the 10-year Treasury yield. That analysis relied on economic, financial, and monetary policy assumptions as of April 2017. With the Federal Open Market Committee (FOMC) announcing a change in its reinvestment policy in its September 2017 post-meeting statement, this note provides updated projections.

DOI: https://doi.org/10.17016/2380-7172.2081

Model-Based Measures of ELB Risk

The target range for the federal funds rate has increased a few times since its liftoff from the effective lower bound (ELB) in December 2015 and currently stands at 1 to 1-1/4 percent. According to standard macroeconomic models, ELB risk--how likely it is for the policy rate to be constrained by the ELB in the near- and medium-term future--has important implications for interest rate policy.

DOI: https://doi.org/10.17016/2380-7172.2058

Synthetic ETFs

Exchange traded funds (ETFs) achieve their investment objectives by either owning a portfolio of securities (physical ETFs) or entering into swap agreements that deliver the returns of pre-specified indexes (synthetic ETFs).

DOI: https://doi.org/10.17016/2380-7172.2028

Matching Banks by Business Model, Geography and Size: A Dataset

In this note, we describe an algorithm, developed in Carlson, Shan, and Warusawitharana (2013), to match banks that are geographically close and are similar in size and business model. Concurrently, we also release a data set of matched banks obtained from applying this algorithm from 1998 to 2014, as well as some of the associated computer programs.

DOI: https://doi.org/10.17016/2380-7172.2022

The FOMC meeting minutes: An update of counting words

An earlier Feds note provided information about the structure of the FOMC meeting minutes and the use of "quantitative" or "counting" words to characterize the number of policymakers aligned with particular views. This note extends that analysis through 2016.

DOI: https://doi.org/10.17016/2380-7172.2048

Another Look at Residual Seasonality in GDP

According to the Bureau of Economic Analysis, real GDP rose at an annual rate of 1.2 percent in the first quarter of this year, a step down from the 2.3 percent pace in the second half of last year.

DOI: https://doi.org/10.17016/2380-7172.2031

Trading Activities at Systemically Important Banks, Part 3: What Drives Trading Performance?

It is well known by now that before the financial crisis, systemically important banks and nonbank broker-dealers maintained large proprietary trading operations and had relied on those operations as a key source of trading revenue, in addition to revenue generated by facilitating clients' trading needs.

DOI: https://doi.org/10.17016/2380-7172.2025

Trading Activities at Systemically Important Banks, Part 2: What Happened during Recent Risk Events?

As documented in the FEDS Notes article "Trading Activities at Systemically Important Banks, Part 1: Recent Trends in Trading Performance," trading performance at systemically important banks, measured by trading revenue per dollar of value-at-risk (VaR) committed, has trended up over the past few years.

DOI: https://doi.org/10.17016/2380-7172.2024

Trading Activities at Systemically Important Banks, Part 1: Recent Trends in Trading Performance

Using a confidential data set collected daily by onsite supervisors, this note provides a comprehensive look at the performance of systemically important banks’ trading and market-making activities since the financial crisis.

DOI: https://doi.org/10.17016/2380-7172.2023

Post-Crisis Lending by Large Bank Holding Companies

This note analyzes recent trends in loan growth at domestic bank holding companies (hereafter, banks) and reviews factors related to bank loan growth such as capital and loan write-downs.

DOI: https://doi.org/10.17016/2380-7172.1985

The Systemic Nature of Settlement Fails

In this note we analyze the systemic nature of settlement fails--the failure to deliver the agreed upon securities--during the 2007-09 period. Large and protracted settlement fails are believed to undermine the liquidity and well-functioning of securities markets, and as a result market groups and policymakers have tried to limit them.

DOI: https://doi.org/10.17016/2380-7172.1997

Was There a Great Moderation for Inflation Volatility?

Most accounts of the "Great Moderation"--a decline in macroeconomic volatility in the decades prior to the Great Recession--focus on employment growth and GDP growth.

DOI: https://doi.org/10.17016/2380-7172.2011

Primary Dealers' Behavior during the 2007-08 Crisis: Part II, Intermediation and Deleveraging

In this second of two notes we study how dealers deleverage following the 2007-2008 funding squeeze.

DOI: https://doi.org/10.17016/2380-7172.1998

Auto Financing during and after the Great Recession

More than half of auto financing is originated by non-bank finance companies that typically rely on short-term funding markets for their own financing. During the recent financial crisis, disruptions in these short-term financing markets reduced the availability of auto credit to consumers, which contributed to the decline in auto sales.

DOI: https://doi.org/10.17016/2380-7172.2015

Primary Dealers' Behavior during the 2007-08 Crisis: Part I, Repo Runs

This is the first of two notes that empirically document the behavior of U.S. Primary Dealers during the 2007-08 financial crisis. In this note we show that dealers' exposure to risky assets drives the observed repo funding squeeze; moreover, as evident from Lehman's experience, we show that repos become subject to counterparty risk during periods of stress, even when collateralized by the safest assets.

DOI: https://doi.org/10.17016/2380-7172.1996

Principal Payments on the Federal Reserve's Securities Holdings

As noted in the Policy Normalization Principles and Plans issued in September 2014, when the Federal Open Market Committee (FOMC) judges that it is appropriate to begin the process of normalizing the size of the balance sheet, it intends to gradually reduce the Federal Reserve's holdings of Treasury securities and agency debt and agency mortgage-backed securities (MBS).

DOI: https://doi.org/10.17016/2380-7172.2021

Equity Issuance and Retirement by Nonfinancial Corporations

The Financial Accounts of the United States reports quarterly net equity issuance of nonfinancial corporations.

DOI: https://doi.org/10.17016/2380-7172.2008

How Have the Fed's Three Rate Hikes Passed Through to Selected Short-term Interest Rates?

DOI: https://doi.org/10.17016/2380-7172.2005

Are Central Cities Poor and Non-White?

In the U.S., geography has long been viewed as a proxy for income and race.

DOI: https://doi.org/10.17016/2380-7172.1982

Measuring the Severity of Stress-Test Scenarios

Unfavorable macroeconomic and financial scenarios are a core element of bank stress tests, and the degree to which variables deteriorate in a scenario--i.e., the scenario’s severity--is a central design feature of any stress test exercise

DOI: https://doi.org/10.17016/2380-7172.1970

Job Reallocation and Unemployment in Equilibrium

Job reallocation in the U.S.--the sum of job creation and job destruction across employers--has been declining over several decades.

DOI: https://doi.org/10.17016/2380-7172.1964

The Effect of the Federal Reserve’s Securities Holdings on Longer-term Interest Rates

In an effort to promote more accommodative financial conditions following the financial crisis of 2008 and the ensuing recession, and at a time when the conventional monetary policy tool--the federal funds rat--was at its effective lower bound, the Federal Reserve conducted large-scale asset purchases (LSAPs) and a maturity extension program (MEP).

DOI: https://doi.org/10.17016/2380-7172.1977

Measuring Firm-Level Uncertainty

Ample empirical research documents the negative effect of uncertainty on economic activity. Unexpected changes in macroeconomic conditions or doubts about the direction of future policy tend to be associated with lower capital investments, reduced hiring, and slower consumer spending.

DOI: https://doi.org/10.17016/2380-7172.1966

Robustness of long-maturity term premium estimates

This Note explains the differences between two of the models used to produce estimates of US Treasury term premiums which are produced by staff in the Federal Reserve System.

DOI: https://doi.org/10.17016/2380-7172.1927

The Effect of Sales-Tax Holidays on Consumer Spending

Over the past decade, many U.S. states have enacted policies that temporarily exempt consumer purchases of certain goods from state sales taxes.

DOI: https://doi.org/10.17016/2380-7172.1941

The Cleared Bilateral Repo Market and Proposed Repo Benchmark Rates

As described in a recent statement and blog post, the Federal Reserve Bank of New York (FRBNY), in cooperation with the Office of Financial Research (OFR), is considering the publication of several new benchmark rates for overnight Treasury general collateral repurchase agreement (repo) transactions in order to enhance market transparency and efficiency by improving the quality and breadth of repo market information available to the public.

DOI: https://doi.org/10.17016/2380-7172.1940

Are Basel's Capital Surcharges for Global Systemically Important Banks Too Small?

The Basel Committee on Banking Supervision (BCBS, the Basel Committee, or Basel) has developed a methodology for identifying global systemically important banks (G-SIBs) and standards for requiring G-SIBs to hold more common equity.

DOI: https://doi.org/10.17016/2380-7172.1859

Confidence Interval Projections of the Federal Reserve Balance Sheet and Income

In response to the financial crisis of 2008 and the subsequent recession, the Federal Reserve employed large-scale asset purchases (LSAPs) and a maturity extension program (MEP) with the purpose of reducing longer-term interest rates, and thereby promoting more accommodative financial conditions at a time when the conventional monetary policy tool, the federal funds rate, was at its effective lower bound.

DOI: https://doi.org/10.17016/2380-7172.1875

College or the Stock Market, or College and the Stock Market?

Human capital and stocks both provide rewards to those who invest in them, the former through higher future earnings and the latter through appreciation or dividends. The decision to invest in them depends on the relative rewards each asset offers.

DOI: https://doi.org/10.17016/2380-7172.1900

Demand for Voluntary Balance Requirements: the U.S. Experience with Contractual Clearing Balances from 2000 to 2007

Contractual clearing balances were a type of balance that a depository institution could voluntarily agree to hold in their account at the Federal Reserve in addition to mandatory reserve requirements, or reserve balance requirements (RBR) prior to 2012.

DOI: https://doi.org/10.17016/2380-7172.1755