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F e d e r a l R e s e r v e B a n k o f N e w Yo r k

Number 1

2005

ResearchUpdate
Research and Statistics Group

www.newyorkfed.org/research

New Prize Recognizes Outstanding Papers Published
in the Economic Policy Review

T

he Editorial Board of the Economic
Policy Review recently established
the Frederic S. Mishkin Prize for
Outstanding Paper to promote quality
competition among contributors to the
Bank’s flagship economic journal. The
Board is pleased to announce the first
winner: “Treasury Inflation-Indexed
Debt: A Review of the U.S. Experience,”
by Brian Sack and
The Mishkin Prize was
Robert Elsasser,
established to promote published in May
quality competition among 2004.
Sack and Elsasser
contributors to the
describe the evolution
Economic Policy Review. of Treasury inflationindexed debt securities (TIIS) since their
introduction in 1997. They observe that
over most of the period, TIIS yields have
been surprisingly high relative to those
on comparable nominal Treasuries, with
the spread between yields falling, on
average, well below survey measures of
long-run inflation expectations. The
authors attribute this “valuation puzzle”
largely to investor difficulty adjusting to a
new asset class, divergent supply trends
between TIIS and nominal Treasuries,

and the lower liquidity of TIIS. However,
while TIIS have not yet reduced the
Treasury’s expected financing costs—a
primary goal—the valuation of these
securities appears to have improved in
recent years.
All papers written or cowritten by current New York Fed authors and published
in the Economic Policy Review in 2003
or 2004 were eligible for the prize. The
outstanding paper was determined by an
internal round of judging, in which the
Review’s Editorial Board selected five
candidates, and an external round, in
which three academic judges from the
Review’s Advisory Board evaluated the
five papers.
The Frederic S. Mishkin Prize for
Outstanding Paper honors Rick Mishkin,
the Alfred Lerner Professor of Banking
and Financial Institutions at Columbia
University, in recognition of his contribution as the New York Fed’s director of
research from 1994 to 1997. Future
prizes will be awarded biennially.
The paper is available at
www.newyorkfed.org/research/epr/
04v10n1/0405sack.html.

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Financing Data Offer New Insight into Dealer Leverage

D

2

ata reported to the Federal Reserve
by the primary government securities dealers reveal dealer financing
activities involving U.S. Treasury, agency
debt, mortgage-backed, and corporate
debt securities. Some market analysts
claim that the financing data point to a
significant upswing in dealer leverage in
recent years.
A new study, however, finds that dealer
borrowing involving fixed-income
securities has grown only modestly
(“What Financing Data Reveal about
Dealer Leverage,” Current Issues in
Economics and Finance, vol. 11, no. 3).
Authors Tobias Adrian and Michael
Fleming analyze two measures of dealer
leverage: net repo financing, the measure
often read by market analysts, and net
financing, a broader measure.
Adrian and Fleming acknowledge that
net repo financing has risen strongly in
recent years, reaching $722 billion in
May 2004. Yet they contend that it is an
incomplete and potentially misleading

gauge of leverage because it fails to
account for dealer transactions that are
essentially equivalent to repos but not
reported as such. By comparison, net
financing is a more comprehensive measure because it encompasses all dealer
financing transactions. The authors
explain that although overall net financing
has also risen—to $147 billion in May
2004—the increase has been considerably
less than the jump in net repo financing.
Furthermore, because the rise in net
financing is not associated with an
increase in net positions, there is little
evidence to suggest greater risk taking by
primary dealers.
The study also relates the financing
activities of primary dealers to financial
market conditions and finds evidence to
support the idea that dealer leverage
varies with moves in interest rates and
interest rate volatility. In particular,
financing tends to decline both before
and after increases in interest rates and
volatility. ■

Publications and Papers
The Research and Statistics Group produces a wide range of publications:
■

The Economic Policy Review—a policy-oriented journal focusing on economic
and financial market issues.

■

EPR Executive Summaries—online versions of selected Economic Policy
Review articles, in abridged form.

■

Current Issues in Economics and Finance—concise studies of topical
economic and financial issues.

■

Second District Highlights—a regional supplement to Current Issues.

■

Staff Reports—technical papers intended for publication in leading economics
and finance journals, available only online.

■

Publications and Other Research—an annual catalogue of our research output.

F e d e r a l R e s e r v e B a n k o f N e w Yo r k

www.newyorkfed.org/research

Recent Disparity in U.S.-Canadian Job Growth Is Subject
of New York Fed Conference

T

he labor markets continue to offer a
rich source of research topics. In
2004, two issues were of particular
interest to New York business economists.
The first, which received wide media
attention, centered on the lack of job
growth in the current U.S. recovery. The
second issue concerned the disparity in
job growth between the United States and
Canada—namely, while the United States
was struggling to create jobs, Canada was
creating them at a fast clip.
To shed light on this relatively overlooked issue, the Federal Reserve Bank
of New York recently cosponsored the
conference “Labor Market Developments
in the United States and Canada since
2000” with the Canadian Consulate
General in New York, the Centre for the
Study of Living Standards, and the New York
Association for Business Economics.
“Our goal was to engage key Canadian
and U.S. economists to explore the
reasons for the lack of job growth in the
United States, to contrast the U.S.
experience with that of Canada, and to
offer potential lessons from these experiences,” according to conference organizers
Erica Groshen of the New York Fed,
Zahir Lalani of the Bank of Canada, and
David Murchison of the Canadian
Consulate General.
Leading off the conference, Richard B.
Freeman of Harvard and William M.
Rodgers III of Rutgers examine the operation of the U.S. labor market in the current recovery. In “The Weak Jobs
Recovery: Whatever Happened to the
Great American Jobs Machine?” the
authors find that this recovery has been

the worst in recent history in terms of job
creation. Moreover, the slow employment
growth is not due to the weak performance of a particular sector, such as the
dot-com sector following its boom-bust
cycle. Freeman and Rodgers also find a
decline in job growth among groups
especially sensitive to business cycle
swings, such as African-Americans, new
labor-market entrants, out-of-school
youth, and less educated workers. Finally,
the current recovery is shown to have no
particular geographic dimension. The
weak job recovery, conclude the authors,
represents a major shift in the link
between the labor market and the economy
over the business cycle, rather than an
idiosyncratic break in historic patterns.
Lars Osberg of Dalhousie University
provided commentary.
René Morissette and Anick Johnson of
Statistics Canada then pose the question,
“Are Good Jobs Disappearing in
Canada?” The authors assess whether
the relative importance of low-paid (less
than $10 an hour) and well-paid ($25 or
more an hour) jobs in Canada has
changed over the past two decades. They
also consider whether well-paid jobs are
disappearing in the country by focusing
on changes in the share of jobs falling in
certain real wage categories over 19972004. Morissette and Johnson find little
evidence that the relative importance of
well-paid jobs has fallen, or that the relative importance of low-paid jobs has
risen, over the period examined. Their
findings thus suggest that well-paid jobs
are not disappearing. Rather, Canadian
firms are responding to growing competi-

Research and Statistics Group

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Number 1, 2005

tion within industries and from abroad by
reducing wage offers for new employees,
making temporary jobs available to a
growing proportion of these workers, and
providing on a less frequent basis pension plans that guarantee defined benefits
at retirement. A discussion by Erica
Groshen followed.
In the final paper, “The Recession of
2001 and Unemployment Insurance
Financing,” Wayne Vroman of the Urban
Institute observes that in terms of the
change in real GDP, the 2001 downturn
was one of the mildest in fifty years. Yet
during 2002-04, several large states had
trouble financing their unemployment
insurance (UI) programs. Accordingly,
Vroman discusses the recession’s effects
on states experiencing UI funding problems and the borrowing options available

when state trust fund reserves are inadequate. Not only has the size of drawdowns from UI trust funds varied by
state, Vroman finds, but so have the types
of loans used to address funding problems. The author also concludes that all
of the states that had to borrow had low
trust fund balances at the end of
December 2000—just before the recession
began—and that funding problems have
been concentrated among the large
states. Timothy C. Sargent of Finance
Canada concluded by offering his
analysis.
The papers will be published in an
upcoming issue of the Bank’s Economic
Policy Review. Preliminary drafts can be
found at www.newyorkfed.org/
research/conference/2004/
labor_market.html.

Call for Papers on Antitrust Activity in Card-Based Payment Systems

O

n September 15-16, 2005, the
Federal Reserve Bank of New York
and the Review of Network Economics
will cosponsor the conference “Antitrust
Activity in Card-Based Payment Systems:
Causes and Consequences.”
In recent years, significant antitrust
inquiries and actions have focused on
credit and debit card systems. Just as
antitrust activity among these payment
systems has varied around the world, so
have the antitrust efforts directed at this
activity. “Accordingly, the conference will
present a range of research on the causes
and effects of antitrust actions, to broaden
the information available on the efficiency
of the different antitrust remedies man-

F e d e r a l R e s e r v e B a n k o f N e w Yo r k

dated by the courts and antitrust authorities worldwide,” observes the New York
Fed’s James McAndrews, an organizer of
the conference.
The conference organizers invite the
submission of empirical and case-based
papers from interested authors, especially
those in countries where card-based payment
systems have attracted considerable antitrust inquiries or actions. The submission
deadline is June 1, 2005, with authors of
accepted papers notified by July 15. The
conference will be held at the Federal
Reserve Bank of New York.
More detailed information can be found
at www.newyorkfed.org/research/
conference/2004/antitrust_activity.html.

www.newyorkfed.org/research

SSRN Now Lists New York Fed Research Publications

T

he Research and Statistics Group
recently began listing its research
publications with the Social Science
Research Network’s (SSRN) Government
and Public Agency Research Paper
Series. The SSRN is a worldwide collaborative of leading scholars devoted to the
rapid dissemination of social science
research.
Through our arrangement, visitors to
the SSRN’s website can download papers
in the Economic Policy Review,

Current Issues in Economics and
Finance, and Staff Reports series as
well as subscribe to an electronic journal
that provides abstracts of our new postings.
To date, our more than seventy papers
listed with the SSRN have been downloaded nearly 3,000 times. Additional
back issues in these series are being posted
on an ongoing basis.
Visit our SSRN page at www.ssrn.com/
link/FRB-New-York.html.

Browse a Centralized List of Our Economists’ Outside Work

E

conomists in the Research and
Statistics Group publish in the top
economics and finance journals.
Their work is also represented extensively
in the leading field journals as well as in
conference volumes, scholarly books, and
other important outlets.

The wide range of this work, dating
back to 1995, is now listed on our website. There, visitors will find papers
organized by broad subject category, links
to the authors’ Bank web pages, and in
many cases access to the full-text papers
in JSTOR and ScienceDirect.
www.newyorkfed.org/research/
outside_journals/index.html

Other New Publications
■

Publications and Other Research. The 2004 edition of our catalogue lists all of
the papers published in our research series as well as many papers published by
our economists in economics and finance journals, conference volumes, and
scholarly books.
www.newyorkfed.org/research/publication_annuals/por2004.pdf

Research and Statistics Group

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Research Update

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Number 1, 2005

New Titles in the Staff Reports Series
The following new Staff Reports are available
at www.newyorkfed.org/research/
staff_reports.

MACROECONOMICS
AND GROWTH

6

No. 198, January 2005
Comparing Forecast-Based and
Backward-Looking Taylor Rules:
A “Global” Analysis
Stefano Eusepi
This paper examines the performance of
forecast-based nonlinear Taylor rules in a
class of simple microfunded models. It
shows that even if the policy rule leads to a
locally determinate (and stable) inflation
target, there exist other learnable “global”
equilibria such as cycles and sunspots.
Moreover, under learning dynamics, the
economy can fall into a liquidity trap.
By contrast, more backward-looking and
“active” Taylor rules guarantee that the
unique learnable equilibrium is the inflation target. This result is robust to different
specifications of the role of money, price
stickiness, and the trading environment.
No. 199, January 2005
Central Bank Transparency under
Model Uncertainty
Stefano Eusepi
Eusepi explores the effects of central bank
transparency on the performance of optimal inflation targeting rules. He assumes
that both the central bank and the private
sector face uncertainty about the “correct”
model of the economy and have to learn.
A transparent central bank can reduce one

F e d e r a l R e s e r v e B a n k o f N e w Yo r k

source of uncertainty for private agents by
communicating its policy rule to the public.
The paper shows that central bank transparency plays a crucial role in stabilizing
the agents’ learning process and expectations. By contrast, lack of transparency can
lead to expectations-driven fluctuations
that have destabilizing effects on the economy,
even when the central bank has adopted
optimal policies.
No. 203, March 2005
A Search for a Structural
Phillips Curve
Timothy Cogley and Argia M. Sbordone
The New Keynesian Phillips curve (NKPC),
a model of price setting with nominal
rigidities, implies that the dynamics of
inflation are well explained by the evolution of real marginal costs. This paper analyzes whether this relationship is structurally invariant. The authors estimate an
unrestricted time-series model for inflation,
unit labor costs, and other variables, and
present evidence that their joint dynamics
are well represented by a vector autoregression (VAR) with drifting coefficients and
volatilities. They then apply a two-step
minimum distance estimator to estimate
deep parameters of the NKPC. Given
estimates of the unrestricted VAR, Cogley
and Sbordone estimate parameters of the
NKPC by minimizing a quadratic function
of the restrictions that this theoretical
model imposes on the reduced form. Their
results suggest that one can reconcile a
constant-parameter NKPC with the
drifting-parameter VAR—evidence that the
price-setting model is structurally
invariant.

www.newyorkfed.org/research

No. 204, March 2005
Do Expected Future Marginal Costs
Drive Inflation Dynamics?
Argia M. Sbordone
This paper discusses a more general interpretation of the two-step minimum distance estimation procedure proposed in
earlier work by Sbordone. The estimator is
again applied to a version of the New
Keynesian Phillips curve, in which inflation
dynamics are driven by the expected evolution of marginal costs. The paper clarifies
econometric issues, addresses concerns
about uncertainty and model misspecification raised in recent studies, and assesses
the robustness of previous results. While
confirming the importance of forwardlooking terms in accounting for inflation
dynamics, Sbordone suggests how the
methodology can be applied to extend the
analysis of inflation to a multivariate
setting.
No. 205, March 2005
The Politics of Central Bank
Independence: A Theory of Pandering
and Learning in Government
Gauti Eggertsson and Eric Le Borgne
The authors propose a theory to explain
why, and under what circumstances, a
politician endogenously gives up rent and
delegates policy tasks to an independent
agency. Applied to monetary policy, this
theory 1) formalizes the rationale for delegation and 2) does not rely on the inflation
bias that underlies most existing theories of
central bank independence. Delegation
trades off the cost of having a possibly
incompetent technocrat with a long-term
job contract against the benefit of having a
technocrat who 1) invests more effort into
the specialized policy task and 2) has less
incentive to pander to public opinion than
a politician. Eggertsson and Le Borgne’s
key theoretical predictions are broadly consistent with the data.

INTERNATIONAL
No. 200, January 2005
Vehicle Currency Use in
International Trade
Linda S. Goldberg and Cédric Tille
The forces motivating the choice of currency
in international trade transactions have
long been debated. The authors introduce
a model designed to contrast the contribution of macroeconomic variability with that
of industry-specific features in the selection
of an invoice currency. They show that producers in industries with high demand
elasticities are more likely than producers
in other industries to display herding in
their choice of currency. This industryrelated force is more influential than local
macroeconomic performance in determining producers’ choices. Drawing on data for
twenty-four countries, the authors document that the dollar is widely used for most
transactions involving the United States as
well as for international trade flows not
directly involving the United States.
No. 201, February 2005
Productivity Spillovers, Terms of
Trade, and the “Home Market Effect”
Giancarlo Corsetti, Philippe Martin,
and Paolo Pesenti
This paper analyzes the welfare implications of international spillovers related to
productivity gains, changes in market size,
or government spending. The authors
introduce trade costs and endogenous varieties in a two-country general-equilibrium
model with monopolistic competition,
drawing a distinction between productivity
gains from manufacturing efficiency and
those related to firms’ lower cost of entry or
product differentiation. Their model suggests that countries with lower manufacturing costs have higher GDP but supply a
smaller number of goods at a lower international price. Countries with lower entry

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Number 1, 2005

and differentiation costs also have higher
GDP, but supply a larger array of goods at
improved terms of trade. Higher domestic
demand has macroeconomic implications
that are similar to those of a reduction in
firms’ entry costs.

QUANTITATIVE METHODS

8

No. 202, March 2005
Reexamining the Consumption-Wealth
Relationship: The Role of Model
Uncertainty
Gary Koop, Simon M. Potter,
and Rodney W. Strachan
Lettau and Ludvigson’s influential work on
the consumption-wealth relationship finds

that while consumption responds to permanent changes in wealth in the expected
manner, most changes are transitory with
no effect on consumption. This paper
investigates the robustness of these results
to model uncertainty using Bayesian model
averaging and finds that uncertainty exists.
Whether this uncertainty has important
implications depends on the weight the
researcher places on economic theory.
If Koop, Potter, and Strachan work with
Lettau and Ludvigson’s exact model, their
findings are very similar. However, working
with a broader set of models, they find that
the exact magnitude of the role of permanent shocks is difficult to estimate
precisely. ■

Recently Published
Michele Braun. 2005. “Opportunities to
Improve Payments Services: Results
from a Federal Survey of Large
Corporations,” with Sandy Krieger.
Association for Financial Professionals AFP
Exchange 25, no.1 (January-February): 28-9.

Asani Sarkar. 2005. “An Empirical
Analysis of Stock and Bond Market
Liquidity,” with Tarun Chordia and
Avanidhar Subrahmanyam. Review of
Financial Studies 18, no. 1 (spring):
85-129.

Paolo Pesenti. 2005. “International
Dimensions of Optimal Monetary
Policy,” with Giancarlo Corsetti. Journal
of Monetary Economics 52, no. 2 (March):
281-305.

Cédric Tille. 2005. “The Welfare Effect of
International Asset Markets Integration
under Nominal Rigidities.” Journal of
International Economics 65, no. 1
(January): 221-47. ■

João Santos. 2005. “Banking and
Commerce: A Liquidity Approach,” with
Joseph Haubrich. Journal of Banking and
Finance 29, no. 2 (February): 271-94.

F e d e r a l R e s e r v e B a n k o f N e w Yo r k

www.newyorkfed.org/research

Papers Presented by Economists in the Research and Statistics Group
“Stock Returns and Volatility: Pricing
the Permanent and Transitory
Components of Market Risk,” Tobias
Adrian. University of Massachusetts finance
seminar, Amherst, Massachusetts, February 18.
With Joshua Rosenberg. Also presented at
the Adam Smith Asset Pricing conference,
cosponsored by the London Business
School, the London School of Economics,
and Oxford University, held at the London
Business School, London, England, March 11.

“Has the Response of Investment to
Financial Market Signals Changed?”
Jonathan McCarthy. Eastern Economic
Association conference, New York City,
March 4.

“Finance as a Barrier to Entry,” Nicola
Cetorelli. Conference cosponsored by the
World Bank and New York University’s
Stern School of Business, Washington, D.C.,
January 10. With Philip Strahan.

“Evidence on Outside Directors from
Japan,” Hamid Mehran. Vanderbilt
University, Nashville, Tennessee,
March 18.

“Establishing Credibility: Evolving
Perceptions of the European Central
Bank,” Linda Goldberg. Allied Social
Science Association meetings, Philadelphia,
Pennsylvania, January 7. With Michael
Klein. Also presented at a conference
cosponsored by the Journal of International
Money and Finance, the Frank J. Petrilli
Center for Research in International
Finance at Fordham University, and the
Trans-Atlantic Finance Institute (Erasmus
University, Rotterdam/Fordham University),
San Juan, Puerto Rico, March 17.
“Was the 2001 Recession Different
in the Labor Market? Comparing
Measures,” Erica Groshen. Conference
cosponsored by the American Economic
Association and the Allied Social Science
Association, Philadelphia, Pennsylvania,
January 18. With Simon Potter and
Rebecca Sela.
“A Decomposition of the Sources of
Incomplete Cross-Border Transmission:
The Case of Beer,” Rebecca Hellerstein.
International Monetary Fund, Washington,
D.C., March 22.

“Board Committee Structure, Incentives,
and Firm Performance,” Hamid Mehran.
University of Alabama, Tuscaloosa,
Alabama, March 11. With Rachel Hayes
and Scott Schaefer.

“Productivity Spillovers, Terms of
Trade, and the ‘Home Market Effect,’”
Paolo Pesenti. American Economic
Association Annual Meeting, Philadelphia,
Pennsylvania, January 7. With Giancarlo
Corsetti and Philippe Martin. Also presented
at the NBER International Finance and
Macroeconomics meeting, Cambridge,
Massachusetts, March 18.
“A General Approach to Integrated Risk
Management with Skewed, Fat-Tailed
Risks,” Til Schuermann. Global
Association of Risk Professionals, New York
City, February 2. With Joshua Rosenberg.
“The Consumption-Wealth Effect,”
Charles Steindel. Eastern Economic
Association conference, New York City,
March 4.
“Stabilization, Competitiveness, and
Risk-Sharing: A Model of Monetary
Interdependence,” Cédric Tille.
International Monetary Fund, Washington,
D.C., February 1. With Paolo Pesenti.

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“Current Avenues of Research in New
Open Economy Macroeconomics,”
Cédric Tille. Yale University Department
of Economics, New Haven, Connecticut,
February 22.

10

“Regulation, Capital, and the Evolution
of Organizational Form in U.S. Life
Insurance,” George Zanjani. NBER
conference, Cambridge, Massachusetts,
February 18. ■

“Financial Integration and the Wealth
Effect of Exchange Rate Fluctuations,”
Cédric Tille. Yale University Department
of Economics, New Haven, Connecticut,
February 22. Also presented at City
University of New York Graduate Center,
New York City, March 1, and the NBER,
Cambridge, Massachusetts, March 18.

Join Our Free E-Alert Service
Readers interested in learning of our new
research quickly and conveniently are
encouraged to join our free Electronic
Alert notification service.
As a subscriber to Electronic Alert, you
receive an e-mail as soon as new research
publications are posted on our website—
enabling you to download research well
before print copies are available.

The e-mails also offer you:
■

full abstracts of the new publications,

■

links to the publications, their press
releases, author home pages, and
research on similar topics,

■

access to a range of data and charts on
economic and financial conditions, and

■

information on upcoming
conferences and calls for papers.

Visit www.newyorkfed.org/alertservices/
and select “Research Alert.” ■

F e d e r a l R e s e r v e B a n k o f N e w Yo r k

www.newyorkfed.org/research

Research and Statistics Group Publications and Papers:
January-March 2005
All publications and papers are available
at www.newyorkfed.org/research/
publication_annuals/index.html.

No. 200, January 2005
Vehicle Currency Use in
International Trade
Linda S. Goldberg and Cédric Tille

CURRENT ISSUES IN
ECONOMICS AND FINANCE,
VOL. 11

No. 201, February 2005
Productivity Spillovers, Terms of
Trade, and the “Home Market Effect”
Giancarlo Corsetti, Philippe Martin,
and Paolo Pesenti

No. 1, January 2005
The Predictive Abilities of the
New York Fed’s Empire State
Manufacturing Survey
Richard Deitz and Charles Steindel
Second District Highlights
No. 2, February 2005
The Treasury Auction Process:
Objectives, Structure, and
Recent Adaptations
Kenneth D. Garbade and Jeffrey F. Ingber
No. 3, March 2005
What Financing Data Reveal
about Dealer Leverage
Tobias Adrian and Michael J. Fleming

STAFF REPORTS
Available only online.
No. 198, January 2005
Comparing Forecast-Based and
Backward-Looking Taylor Rules:
A “Global” Analysis
Stefano Eusepi

No. 202, March 2005
Reexamining the Consumption-Wealth
Relationship: The Role of Model
Uncertainty
Gary Koop, Simon M. Potter,
and Rodney W. Strachan
No. 203, March 2005
A Search for a Structural
Phillips Curve
Timothy Cogley and Argia M. Sbordone
No. 204, March 2005
Do Expected Future Marginal Costs
Drive Inflation Dynamics?
Argia M. Sbordone
No. 205, March 2005
The Politics of Central Bank
Independence: A Theory of Pandering
and Learning in Government
Gauti Eggertsson and Eric Le Borgne

No. 199, January 2005
Central Bank Transparency under
Model Uncertainty
Stefano Eusepi

The views expressed in the publications and papers summarized in Research Update
are those of the authors and do not necessarily reflect the position of the Federal
Reserve Bank of New York or the Federal Reserve System.

Research and Statistics Group

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