In addition to revamping existing rules for bank capital, Basel III introduces a new global framework for liquidity regulation. One part of this framework is the liquidity coverage ratio (LCR), which requires banks to hold sufficient high-quality liquid assets to survive a 30-day period of market stress. As monetary policy typically involves targeting the interest rate on loans of one of these ...

Hilton, L. K., and A. B. Loucks. Low energy availability, not exercise stress, suppresses the diurnal rhythm of leptin in healthy young women. Am. J. Physiol. Endocrinol. Metab. 278: E43–E49, 2000.—Because the effect of exercise on leptin was not established, we controlled energy intake (I) and exercise energy expenditure (E) to distinguish the independent effects of energy availability (A 5 I ...

We find that augmenting a regression of excess bond returns on the term structure of forward rates with a rolling estimate of the mean realized jump size—identified from high-frequency bond returns using the bi-power variation technique—substantially increases the R2 of the regression. This result is consistent with the setting of an unspanned risk factor in which the conditional distribution o...

We study the low frequency comovements in unemployment, inflation and the federal funds rate in the U.S. From 1970 through 1979 all three series trended up together; after 1979 they all trended down. The conventional explanation for the buildup of inflation in the 1970s is that the Fed reacted to an increase in the natural rate of unemployment by conducting an overly passive monetary policy. We...

In earlier work (Fuhrer 1996), I document what I view as the failure of standard models of representative consumer and firm behavior to replicate the dynamics that we observe in the aggregate data. In essence, these models fail because they imply that both inflation and real variables must “jump” in response to monetary policy (and other) shocks, in contrast to identified VAR evidence that show...

This paper investigates whether the degree and the nature of economic and monetary policy interdependence between the United States and the euro area have changed with the advent of EMU. Using real-time data, it addresses this issue from the perspective of financial markets by analysing the effects of monetary policy announcements and macroeconomic news on daily interest rates in the United Sta...

We consider the form and the comparative static properties of the price of a zero coupon bond with maturity T for a broad class of interest rate models. We first demonstrate that increased volatility increases the price of a T -claim whenever the price is convex as a function of the current short rate. We then present a class of diffusion models (including, for example, the Dothan, the Black–De...

Government Debt as Insurance against Macroeconomic Risk Is there a role for debt beyond curing overaccumulation of capital? Does dynamic efficiency and the infeasibility of debt Ponzi schemes eliminate any Pareto-improving role for a government in a competitive economy with complete markets? Is there an optimal maturity structure of public debt? Using a stochastic Diamond OLG model, we tackle t...

We extend the basic (representative-household) New Keynesian [NK] model of the monetary transmission mechanism to allow for a spread between the interest rate available to savers and borrowers, that can vary for either exogenous or endogenous reasons. We find that the mere existence of a positive average spread makes little quantitative difference for the predicted effects of particular policie...

In this paper, extending the work by Gourieroux, Monfort and Polimenis (2006) [78], we present a general discrete-time affine framework aimed at jointly modeling yield curves that are associated with different issuers. The underlying fixed-income securities may differ in terms of credit quality and/or in terms of liquidity. The risk factors follow discrete-time Gaussian processes, with drifts a...