Bryan Kelly at the University of Chicago, Hanno Lustig at Stanford and Stijn van Nieuwerburgh at NYU had an interesting paper in the June issue of American Economic Review that used option prices to measure the magnitude of the implicit U.S. government guarantee of the financial sector during 2007-2009.
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Category Archives: financial markets
“Balance Sheet Effects on Monetary and Financial Spillovers: The East Asian Crisis Plus 20”
That’s the title of a new paper written by me, Joshua Aizenman and Hiro Ito:
Early Macro News and Lessons from the Brexit
UK Yield Curve Flattening: “Nothing to do with Brexit”?
Decomposing Changes in Term Spreads around the World
The Real Term Spread and Recessions
There’s an argument being made that because of the zero lower bound, the standard nominal term spread is unlikely to be as accurate a predictor of recessions as it has in the past. A prominent example of this view circulating now is that forwarded by Deutsche Bank’s Dominic Konstam; his analysis indicates a 60% likelihood of recession (WSJ RTE), in contrast to the estimates obtained from the standard model, ranging in the low teens (see for example this post).
Markets post-Brexit
U.S. stock prices fell more than 5% in the two-day aftermath of the British vote to leave the European Union. But equities have since regained those losses and are back near all-time highs.
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Economic consequences of Brexit
Here are my two pence on some of the consequences of Britain’s vote to leave the European Union.
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Guest Contribution: “The Effects of Unconventional and Conventional U.S. Monetary Policy: The Role of Expected Inflation”
Today we are pleased to present a guest contribution by Yi Zhang, Ph.D. candidate at the University of Wisconsin-Madison. This post draws upon this paper.
More on Uncertainty in Open Economy Macro
In my last post, I noted a conference on uncertainty in macroeconomics. Here are two papers of particular interest to me.