Showing 1 - 10 of 24
This paper provides an empirical investigation into the relationship between ex ante U.S. labor contract durations and uncertainty over the period 1970 to 1995. We construct measures of inflation uncertainty as well as aggregate nominal and real uncertainty. The results not only corroborate...
Persistent link: https://www.econbiz.de/10012735717
We use matched point and density forecasts of output growth and inflation from the ECB Survey of Professional Forecasters to derive measures of forecast uncertainty, forecast dispersion, and forecast accuracy. We construct uncertainty measures from aggregate density functions as well as from...
Persistent link: https://www.econbiz.de/10013096173
This paper examines matched point and density forecasts of inflation from the Survey of Professional Forecasters to analyze the relationship between expected inflation, disagreement, and uncertainty. We extend previous studies through our data construction and estimation methodology....
Persistent link: https://www.econbiz.de/10014056896
Monetary policymakers and long-term investors would benefit greatly from a measure of underlying inflation that uses all relevant information, is available in real time, and forecasts inflation better than traditional underlying inflation measures such as core inflation measures. This paper...
Persistent link: https://www.econbiz.de/10013054722
This paper investigates the statistical properties of the U.S. sacrifice ratio--the cumulative output loss arising from a permanent reduction in inflation. We derive estimates of the sacrifice ratio from three structural VAR models and then conduct Monte Carlo simulations to analyze their...
Persistent link: https://www.econbiz.de/10012735730
This paper provides an empirical investigation into the determinants and stability of the aggregate wage inflation process in the United States over the 1967-2000 period. Using compensation per hour as the measure of wages, we specify a Phillips curve model that links wage growth to its past...
Persistent link: https://www.econbiz.de/10012711646
We describe a set of six design principles for the reorganization of the U.S. housing finance system and apply them to one model for replacing Fannie Mae and Freddie Mac that has so far received frequent mention but little sustained analysis – the lender cooperative utility. We discuss the...
Persistent link: https://www.econbiz.de/10013139567
We use data from credit reports and deed records to better understand the extent to which second liens contributed to the housing crisis by allowing buyers to purchase homes with small down-payments. At the top of the housing market, second liens were quite prevalent: As many as 45 percent of...
Persistent link: https://www.econbiz.de/10013101930
This paper analyzes the relationship between changes in borrowers' monthly mortgage payments and future credit performance. This relationship is important for the design of an internal refinance program such as the Home Affordable Refinance Program (HARP). We use a competing risk model to...
Persistent link: https://www.econbiz.de/10013105432
The boom and subsequent bust in housing construction and prices over the 2000s is widely regarded as a principal contributor to the Financial Panic of 2007 and the subsequent Great Recession. As of this writing, housing market activity remains at depressed levels as the economy slowly resolves...
Persistent link: https://www.econbiz.de/10013108370