What happened to housing and financial markets over the last decade? To find out, follow the money.
Category Archives: financial markets
The Predictive Content of Commodity Futures: Latest Estimates
Econbrowser readers will know that I’ve long been interested in how derivatives like futures predict commodity prices. An early paper on energy futures, coauthored with my former CEA colleagues Michael LeBlanc and Oli Coibion, was summarized in this 2006 post (paper here). Recently, Oli Cobion and I have updated and expanded our examination, to incorporate for the most recent data, account for GARCH effects, alloow for time variation, and to try to explain why there has been time variation in the deviations in the unbiasedness proposition.
From the abstract to our paper:
Interest rates spike up
How scary is it?
Modeling problems in credit markets
On Friday I joined fellow blogger Mark Thoma (and a good many other economists) at a very interesting conference on financial markets held at the Federal Reserve Bank of San Francisco. Here I share some ideas I expressed at the conference about the directions I feel this research ought to go.
A new index of financial conditions
What do current financial indicators tell us about where the economy is headed?
In Search of…Crowding Out
There are various definitions of crowding out. There’s crowding out in the financial markets, and crowding out of actual economic activity. In order for crowding out in the financial markets to translate into a reduction of the interest sensitive components of aggregate demand, one needs to see an impact on interest rates. So, what is happening to real (inflation adjusted) interest rates?
John Cochrane on the credit crisis
University of Chicago Professor John Cochrane (hat tip: Capital Spectator) has an interesting analysis of the causes of the financial problems of the last few years.
What Are Current Small Business Credit Conditions, Really?
Casey Mulligan titles a post Credit Study by the Federal Reserve Says No Crunch, citing a Macroblog post. But he neglects to mention that the survey is “A small business snapshot from the Southeast”. In contrast, a nation-wide NFIB survey summarizes conditions thusly:
Marsh and Pfleiderer on the Financial Crisis
From “Analysis of the 2008-2009 Financial Crisis”, by Terry Marsh and Paul Pfleiderer:
In this Preface, we offer some analysis of the 2008-2009 financial crisis and its implications for financial industry reform and research. We primarily focus on issues relating to transparency and the measurement of risk and how these are affected by management incentives that are often misaligned with the incentives of those who are exposed in various ways to the risk being measured. In the aftermath of the crisis many have called for increased transparency; we suggest that while transparency is no doubt a desirable goal in many ways, enhancing it could prove to be quite difficult.
Lost decade for stocks
Why were the aughts so nasty for stocks?