Fundamental economic conditions are crucial determinants of equity premia. However, commonly used predictors do not adequately capture the changing nature of economic conditions and hence have limited power in forecasting equity returns. To address the inadequacy, this paper constructs macro...

Remarks at the University of Chicago Booth School of Business Annual U.S. Monetary Policy Forum, New York City.

Remarks at the Quarterly Regional Economic Press Briefing, New York City.

Remarks at the Dutchess County Regional Chamber of Commerce, Fishkill, New York.

Remarks by President Dudley at the Brooklyn Chamber of Commerce Brooklyn Borough Hall, Brooklyn, New York.

Remarks at the European Economics and Financial Centre, London, England.

Remarks at the Federal Reserve Bank of New York 2010 Regional Employment Press Briefing.

Remarks at the State University of New York at New Paltz, New Paltz, New York.

We examine the dynamic effects of credit shocks using a large data set of U.S. economic and financial indicators in a structural factor model. The identified credit shocks, interpreted as unexpected deteriorations of credit market conditions, immediately increase credit spreads, decrease rates...

This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework...