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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 4

2008

ResearchUpdate
Research and Statistics Group

www.newyorkfed.org/research

Commodity Price Moves Have Fairly Modest Effects on U.S. Inflation

R

ising fuel prices are often thought to
These relatively modest figures lead
drive inflation in other goods and
Hobijn to conclude that “commodity
.services. A new study, however,
prices—and particularly energy prices—
suggests that the effects of oil and other
are not the controlling force in core
commodity price moves on U.S. inflation
inflation dynamics that they are someare more modest than one might expect.
times assumed to be.”
In “Commodity Price Movements and
The author also studies the effect of
PCE Inflation,” author Bart Hobijn calswings in the price of crops and energy
culates the contribution that changes in
on the price of specific goods and servithe price of crops and oil and gas made
ces purchased by U.S. consumers. Here,
to the PCE, or personal consumption
he finds that commodity price increases
expenditures, index of U.S. inflation
affect only a limited set of goods prices.
between June 2006 and June 2008
Higher crop prices translate narrowly
(Current Issues in Economics and Finance,
into price hikes for food, tobacco, and
vol. 14, no. 8).
gardening supplies; the effects of rising
Analyzing data on inter-industry puroil prices are largely confined to fuel,
chases and sales, he determines that
utility, and transportation prices. Hobijn
1.5 percentage points of the 3.2 percent
observes that if higher prices are seen
annualized PCE inflation over the period—
in core consumer goods and services,
slightly less than half of the growth in the
then “other inflationary pressures are
index—can be linked to
undoubtedly at work.”
crop and oil and gas price
Also in this issue…
increases. For core PCE
inflation, which excludes
Most downloaded publications . . . . . . . . . . . . . . . . . . . . . . 2
food and fuel, 0.7 percentStaff Reports: New titles . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
age point of the 2.2 perPapers recently published
cent annualized figure—
by Research Group economists . . . . . . . . . . . . . . . . . . . . 6
a little less than a third of
Papers presented at conferences . . . . . . . . . . . . . . . . . . . . 8
the growth in the index—
stems from these increases. Publications and papers: October-December . . . . . . . . . 10

RV oe ls ue ma rec h9 , U Np du amtbee r■ 4N, u 2m0b0e 6r 4 , 2 0 0 8

The study focuses on a two-year period
when crude petroleum prices increased at
an average annual rate of 40 percent and
grain prices rose at a 62 percent clip.
Hobijn explains that while these trends
have reversed sharply in the second half
of 2008, the effects of the declines in oil

and grain prices would be calculated in
the same way and should have a proportional effect on inflation.
The article is available at
www.newyorkfed.org/research/current_
issues/ci14-8.html.

Most Downloaded Publications
2

B

elow are the top Research Group
articles and papers downloaded
from the New York Fed’s website
and from the Bank’s page on the Social
Science Research Network site
(www.ssrn.com/link/FRB-New-York.html).
New York Fed website, 2008:

■

“Understanding the Securitization of
Subprime Mortgage Credit,” by Adam
B. Ashcraft and Til Schuermann (Staff
Reports, no. 318, March 2008) –
18,112 downloads

■

“The Yield Curve as a Predictor of
U.S. Recessions,” by Arturo Estrella
and Frederic S. Mishkin (Current
Issues in Economics and Finance,
Volume 2, Number 7, June 1996) –
10,083 downloads

■

“Liquidity, Monetary Policy, and
Financial Cycles,” by Tobias Adrian
and Hyun Song Shin (Current Issues in
Economics and Finance, Volume 14,
Number 1, January/February 2008) –
7,704 downloads

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

SSRN website, through 2008:
■

“Understanding the Securitization of
Subprime Mortgage Credit,” by Adam
B. Ashcraft and Til Schuermann
(Staff Reports, no. 318, March 2008) –
3,974 downloads

■

“The Consolidation of the Financial
Services Industry: Causes,
Consequences, and Implications for
the Future,” by Allen N. Berger,
Rebecca S. Demsetz, and Philip E.
Strahan (Staff Reports, no. 55,
December 1998) – 2,151 downloads

■

“An Empirical Analysis of Stock and
Bond Market Liquidity,” by Tarun
Chordia, Asani Sarkar, and Avanidhar
Subrahmanyam (Staff Reports, no. 164,
March 2003) – 1,780 downloads

For lists of the year’s top-ten downloads,
visit www.newyorkfed.org/research/
top_downloaded/index.html.

www.newyorkfed.org/research

New Titles in the Staff Reports Series

T

he following new staff reports are
available at www.newyorkfed.org/
research/staff_reports.

MACROECONOMICS
AND GROWTH
No. 355, November 2008
Imperfectly Credible Disinflation under
Endogenous Time-Dependent Pricing
Marco Bonomo and Carlos Carvalho
Bonomo and Carvalho examine how credibility affects the outcome of a disinflation
in a model with endogenous time-dependent
pricing rules. Both the initial degree of
price rigidity, calculated optimally, and,
more notably, changes in the duration of
price spells during disinflation play an
important role in explaining the effects of
imperfect credibility. The authors initially
consider the costs of disinflation when the
degree of credibility is fixed, and then
allow agents to use Bayes’ rule to update
beliefs about the “type” of monetary

authority that they face. In both cases, the
interaction between the endogeneity of
time-dependent rules and imperfect credibility increases the output costs of disinflation. The pattern of the output response is
more realistic in the case with learning.
No. 359, December 2008
Rethinking the Measurement of
Household Inflation Expectations:
Preliminary Findings
Wilbert van der Klaauw, Wändi Bruine
de Bruin, Giorgio Topa, Simon Potter,
and Michael Bryan
This paper reports preliminary findings
from a Federal Reserve Bank of New York
research program aimed at improving survey measures of inflation expectations. The
authors find that seemingly small differences in how inflation is referred to in a
survey can lead respondents to consider
significantly different price concepts. For
near-term inflation, the “prices in general”
question in the monthly Reuters/University

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 economic
and finance journals, available only online.

■

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

Research and Statistics Group

3

Research Update

4

■

Number 4, 2008

of Michigan Surveys of Consumers can
elicit responses that focus on the most visible prices, such as gasoline or food.
Questions on the “rate of inflation” can
lead to responses on the prices that U.S.
citizens pay in general—an interpretation,
or concept, closer to the definition of inflation that economists have in mind; they
also lead to both lower levels of reported
inflation and to lower disagreement among
respondents. In addition, the authors present results associated with new survey
questions that assess the degree of individual uncertainty about future inflation outcomes as well as future expected wage
changes. Finally, using the panel dimension
of the surveys, the study finds that individual responses exhibit considerable persistence, both in the expected level of inflation
and in forecast uncertainty. Respondents
who are more uncertain make larger revisions to their expectations in the next survey.

INTERNATIONAL
No. 351, October 2008
Aggregation and the PPP Puzzle
in a Sticky-Price Model
Carlos Carvalho and Fernanda Nechio
Carvalho and Nechio study the purchasing
power parity (PPP) puzzle in a multisector,
two-country, sticky-price model. The
authors show that deviations of the real
exchange rate from PPP are more volatile
and persistent when compared with a
counterfactual one-sector world economy
that features the same average frequency of
price changes and is otherwise identical to
the multisector world economy. When simulated with a sectoral distribution of price
stickiness that matches the microeconomic
evidence for the U.S. economy, the model
produces a half-life of deviations from PPP
of forty-five months. In contrast, the halflife of such deviations in the counterfactual
one-sector economy is only slightly above
one year. Their model also provides a
decomposition of this difference in persist-

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

ence that allows a structural interpretation
of the approaches found in the empirical
literature on aggregation and the real
exchange rate.

MICROECONOMICS
No. 350, October 2008
Housing Busts and Household Mobility
Fernando Ferreira, Joseph Gyourko,
and Joseph Tracy
Using two decades of American Housing
Survey data from 1985 to 2005, the
authors estimate the influence of negative
home equity and rising mortgage interest
rates on household mobility. They find that
both factors lead to lower, not higher,
mobility rates over time. The effects are
economically large—mobility is almost 50 percent lower for owners with negative equity
in their homes. This finding does not imply
that current concerns over defaults and
homeowners having to relocate are entirely
misplaced. It does indicate that, in the past,
the mortgage lock-in effects of these two
factors were dominant over time. The study
observes that policymakers may wish to
begin considering the consequences of
mortgage lock-in and reduced household
mobility because they are quite different
from the consequences associated with
default and higher mobility.

BANKING AND FINANCE
No. 349, October 2008
Liquidity and Congestion
Gara M. Afonso
This paper studies the relationship between
the arrival of potential investors and market liquidity in a search-based model of
asset trading. The entry of investors into a
specific market causes two contradictory
effects. First, it reduces trading costs, which
then attracts new investors (the thick market externality effect). But second, as
investors concentrate on one side of the

www.newyorkfed.org/research

market, the market becomes “congested,”
decreasing the returns to participating in
this market and discouraging new investors
from entering (what Afonso calls the congestion effect). The equilibrium level of
market liquidity depends on which of the
two effects dominates. When congestion is
the leading effect, some interesting results
arise. In particular, the author finds that
diminishing trading costs in this market
can impair liquidity and reduce welfare.
No. 352, October 2008
Systemic Risk and Liquidity
in Payment Systems
Gara M. Afonso and Hyun Song Shin
Afonso and Shin study liquidity and systemic risk in high-value payments systems.
Flows in high-value systems are characterized by high velocity, meaning that the
total amount paid and received is high relative to the stock of reserves. In such systems, banks rely heavily on incoming funds
to finance outgoing payments, necessitating
a high degree of coordination and synchronization. The authors use lattice-theoretic
methods to solve for the unique fixed point
of an equilibrium mapping and conduct
comparative statics analyses on changes to
the environment. They find that banks
attempting to conserve liquidity cause an
increase in the demand for intraday credit
and, ultimately, a disruption of payments.
Additionally, they find that when a bank is
identified as vulnerable to failure and other
banks choose to cancel payments to that
bank, there are systemic repercussions for
the whole financial system.
No. 353, October 2008
The Case for TIPS: An Examination
of the Costs and Benefits
Jennifer Roush, William Dudley,
and Michelle Steinberg Ezer
Several studies have shown that, ex post,
the issuance of Treasury Inflation-Protected
Securities (TIPS) has cost U.S. taxpayers
money. The authors propose that evaluations of the TIPS program be more com-

prehensive and focus on the ex ante costs
of TIPS issuance versus nominal Treasury
issuance and, especially when these costs
are negligible, the more difficult-to-measure
benefits of the program. Their study finds
that the ex ante costs of TIPS issuance
versus nominal Treasury issuance are
currently about equal and that TIPS
provide meaningful benefits to investors
and policymakers.
No. 354, November 2008
The Topology of the Federal Funds Market
Morten L. Bech and Enghin Atalay
The recent turmoil in global financial markets
underscores the importance of the federal
funds market as a means of distributing
liquidity throughout the financial system
and as a tool for implementing monetary
policy. In this paper, Bech and Atalay
explore the network topology of the federal
funds market. They find that the network is
sparse, exhibits the small-world phenomenon,
and is disassortative. In addition, reciprocity
loans track the federal funds rate, and centrality measures are useful predictors of the
interest rate of a loan.
No. 356, November 2008
Which Bank Is the “Central” Bank?
An Application of Markov Theory to the
Canadian Large-Value Transfer System
Morten L. Bech, James T. E. Chapman,
and Rod Garratt
Recently, economists have argued that a
bank’s importance within the financial system depends not only on its individual
characteristics but also on its position within
the banking network. A bank is deemed to
be “central” if, based on the authors’ network analysis, it is predicted to hold the
most liquidity. In this paper, the authors
use a method similar to Google’s PageRank
procedure to rank banks in the Canadian
Large-Value Transfer System. In doing so,
they obtain estimates of the payment processing speeds for the individual banks.
These differences in processing speeds are
essential for explaining why observed daily

Research and Statistics Group

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Research Update

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Number 4, 2008

distributions of liquidity differ from the initial distributions, which are determined by
the credit limits selected by banks.
No. 357, November 2008
The Federal Home Loan Bank System:
The Lender of Next-to-Last Resort?
Adam Ashcraft, Morten L. Bech,
and W. Scott Frame

6

The Federal Home Loan Bank (FHLB)
System is a large, complex, and understudied government-sponsored liquidity facility
that currently has more than $1 trillion in
secured loans outstanding, mostly to commercial banks and thrifts. Ashcraft, Bech,
and Frame document the significant role
played by the FHLB System at the onset of
the ongoing financial crisis and provide
evidence on the uses of these funds by the
System’s bank and thrift members. Next,
they identify the trade-offs faced by memberborrowers when choosing between accessing
the FHLB System or the Federal Reserve’s
discount window during the crisis period.
The paper concludes by describing the
fragmented U.S. lender-of-last-resort
framework and finding that additional

clarity about the respective roles of the
various liquidity facilities would be helpful.
No. 358, November 2008
Seismic Effects of the Bankruptcy Reform
Donald P. Morgan, Benjamin Iverson,
and Matthew Botsch
Morgan, Iverson, and Botsch argue that the
2005 bankruptcy abuse reform (BAR) contributed to the surge in subprime foreclosures that followed its passage. Before
BAR, distressed mortgagors could free up
income by filing for bankruptcy and having
their unsecured debts discharged. BAR
blocks that maneuver for better-off filers
by way of a means test. The authors identify
the effects of BAR using state home equity
bankruptcy exemptions; filers in lowexemption states were not very protected
before BAR, so they would be less affected
by the reform. Difference-in-difference
regressions confirm four predictions
implied by that identification strategy.
These findings add to research trying to
explain the surge in subprime foreclosures
and to a broader literature on household
bankruptcy demand and credit supply. ■

Recently Published
Tobias Adrian and Joshua Rosenberg.
2008. “Stock Returns and Volatility:
Pricing the Short-Run and Long-Run
Components of Market Risk.” Journal of
Finance 63, no. 6 (December): 2997-3030.
Olivier Armantier. 2008. “Approximation of
Bayesian Nash Equilibrium,” with JeanPierre Florens and Jean-Francois Richard.
Journal of Applied Econometrics 23, no. 7
(December): 965-81.
Olivier Armantier. 2008. “Domestic Airline
Alliances and Consumer Welfare,” with
Oliver Richard. RAND Journal of
Economics 39, no. 3 (autumn): 875-904.
Marco Del Negro. 2008. “Forming Priors
for DSGE Models (and How It Affects the
Assessment of Nominal Rigidities),” with

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

Frank Schorfheide. Journal of Monetary
Economics 55, no. 7 (October): 1191-1208.
Linda Goldberg. 2008. “Exchange Rates
and Foreign Direct Investment.” In
Kenneth A. Reinert and Ramkishen S.
Rajan, eds., The Princeton Encyclopedia
of the World Economy. Princeton, N.J.:
Princeton University Press.
Linda Goldberg. 2008. “Vehicle Currency
Use in International Trade,” with Cédric
Tille. Journal of International Economics 76,
no. 2 (December): 177-92.
Linda Goldberg. 2008. Comment on
“International Currency and the U.S.
Current Account Deficit,” by Shin-Ichi
Fukuda and Yoshifumi Kon. In Takatoshi
Ito and Andrew K. Rose, eds., International

www.newyorkfed.org/research

Financial Issues in the Pacific Rim: Global
Imbalances, Financial Liberalization, and
Exchange Rate Policy. East Asia Seminar
on Economics 17. NBER conference volume. Chicago: University of Chicago Press.
Antoine Martin. 2008. “Currency
Competition.” In Kenneth A. Reinert and
Ramkishen S. Rajan, eds., The Princeton
Encyclopedia of the World Economy.
Princeton, N.J.: Princeton University Press.
Antoine Martin. 2008. “Multiple
Currencies.” In Kenneth A. Reinert and
Ramkishen S. Rajan, eds., The Princeton
Encyclopedia of the World Economy.
Princeton, N.J.: Princeton University Press.
Antoine Martin. 2008. “Understanding the
Cost Difference between Intraday and
Overnight Liquidity,” with Joydeep
Bhattacharya and Joseph H. Haslag.
Journal of Financial Transformation 24: 105-7.
Paolo Pesenti. 2008. “The Simple
Geometry of Transmission and Stabilization
in Closed and Open Economies,” with
Giancarlo Corsetti. In Richard H. Clarida
and Francesco Giavazzi, eds., NBER
International Seminar on Macroeconomics
2007, 65-116. Chicago: University of
Chicago Press.
Argia Sbordone. 2008. “Trend Inflation,
Indexation, and Inflation Persistence in the
New Keynesian Phillips Curve,” with
Timothy Cogley. American Economic
Review 98, no. 5 (December): 2101-26.

Argia Sbordone. 2008. Comment on
“Expectations, Monetary Policy, and the
Misalignment of Traded Goods Prices,” by
Michael B. Devereux and Charles Engel. In
Richard H. Clarida and Francesco Giavazzi,
eds., NBER International Seminar on
Macroeconomics 2007, 169-72. Chicago:
University of Chicago Press.
David Skeie. 2008. “Banking with Nominal
Deposits and Inside Money.” Journal of
Financial Intermediation 17, no. 4
(October): 562-84.
Wilbert van der Klaauw. 2008. “A Demographic Analysis of the Family Structure
Experiences of Children in the United
States,” with David Blau. Review of
Economics of the Household 6, no. 3
(September): 193-221.
James Vickery. 2008. “(How and Why) Do
Small Firms Manage Interest Rate Risk?”
Journal of Financial Economics 87,
no. 2: 446-70.
James Vickery. 2008. “Patterns of Rainfall
Insurance Participation in Rural India,”
with Xavier Giné and Robert Townsend.
World Bank Economic Review 22,
no. 3: 539-66.
Tanju Yorulmazer. 2008. “Cash-in-theMarket Pricing and Optimal Resolution
of Bank Failures,” with Viral V. Acharya.
Review of Financial Studies 21, no. 6
(November): 2705-42. ■

Other New Publications
■

The Research Group of the Federal Reserve Bank of New York: This online guide,
updated for 2008-09, offers economists interested in joining the Group a fuller
understanding of our activities; our research and policy work; and our staff,
structure, and functions.
www.newyorkfed.org/research/research_group/index.html

Research and Statistics Group

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Research Update

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Number 4, 2008

Papers Presented by Economists in the Research and Statistics Group
“Human Capital and Economic Activity
in Urban America,” Jaison Abel. NBER
Program on Technological Change and
Productivity Measurement seminar,
Cambridge, Massachusetts, December 5.
“The Regional Production, Stock, and Flow
of Human Capital,” Jaison Abel and
Richard Deitz. Fifty-fifth North American
Meetings of the Regional Science
Association International, New York City,
November 21.

8

“Financial Intermediary Leverage and
Value-at-Risk,” Tobias Adrian. Washington
University Olin Business School seminar,
St. Louis, Missouri, November 21. With
Hyun Song Shin.
“Global Liquidity and Exchange Rates,”
Tobias Adrian. International Monetary Fund
seminar, Washington, D.C., December 10.
With Hyun Song Shin and Erkko Etula.
“Pricing the Term Structure with Linear
Regressions,” Tobias Adrian. New York
University Stern School of Business
seminar, New York City, October 13.
With Emanuel Moench.
“Systemic Risk and Liquidity in Payment
Systems,” Gara Afonso. Journal of Money,
Credit, and Banking Conference on
Liquidity in Frictional Markets, held at the
Federal Reserve Bank of Cleveland,
Cleveland, Ohio, November 14. With Hyun
Song Shin. Also presented at a Bank of
Canada workshop, Ottawa, Ontario,
Canada, November 19.
“Precautionary Reserves and the Interbank
Market,” Adam Ashcraft, James McAndrews,
and David Skeie. Journal of Money, Credit,
and Banking Conference on Liquidity in
Frictional Markets, held at the Federal
Reserve Bank of Cleveland, Cleveland,
Ohio, November 14.

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

“The Federal Home Loan Bank System:
The Lender of Next-to-Last Resort?”
Morten Bech. Danish Center for
Accounting and Finance seminar,
Copenhagen, Denmark, October 30. With
Adam Ashcraft and W. Scott Frame. Also
presented at the Eleventh Annual Research
Conference of De Nederlandsche Bank,
Amsterdam, the Netherlands, October 31.
“Estimating the Cross-Sectional
Distribution of Price Stickiness from
Aggregate Data,” Carlos Carvalho. Latin
American Meeting of the Econometric
Society, Rio de Janeiro, Brazil, November 22.
With Niels Dam.
“Imperfectly Credible Disinflation under
Endogenous Time-Dependent Pricing,”
Carlos Carvalho. Bank of Japan seminar,
Tokyo, Japan, October 3. With Marco Bonomo.
“Credit Frictions and Optimal Monetary
Policy,” Vasco Cúrdia. National Bank of
Belgium conference, Brussels, Belgium,
October 17. With Michael Woodford.
“Banking Globalization, Monetary
Transmission, and the Lending Channel,”
Linda Goldberg. Baruch College Zicklin
School of Business seminar, New York City,
November 11. With Nicola Cetorelli. Also
presented at the International Monetary
Fund Ninth Jacques Polak Annual
Research Conference on Macro-Financial
Linkages, Washington, D.C., November 13;
a European Central Bank conference,
Frankfurt, Germany, December 2; and a
Bank for International Settlements seminar,
Frankfurt, Germany, December 5.
“Macroeconomic Interdependence and the
International Role of the Dollar,” Linda
Goldberg. International Monetary Fund
Research Department seminar, Washington,
D.C., November 4. With Cédric Tille. Also
presented at a George Washington University

www.newyorkfed.org/research

Department of Economics seminar,
Washington, D.C., December 10.
“Real-Time Inflation Forecasting in a
Changing World,” Jan Groen. Centre
for International Macroeconomics and
Finance conference Forecasting under
Model Instability, Cambridge, England,
November 28. With Richard Paap and
Francesco Ravazzolo.
“Revisiting Useful Approaches to Data-Rich
Macroeconomic Forecasting,” Jan Groen.
Centre for Microdata Methods and Practice
conference Unobserved Factor Models,
London, England, November 20. With
George Kapetanios.
“Commitment and Equilibrium Bank
Runs,” Todd Keister. University of Kansas
Department of Economics seminar,
Lawrence, Kansas, November 7. With
Huberto Ennis. Also presented at a Rice
University Department of Economics
seminar, Houston, Texas, November 17.
“Run Equilibria in the Green-Lin Model of
Financial Intermediation,” Todd Keister.
Ohio State University Department of
Economics seminar, Columbus, Ohio,
October 31. With Huberto Ennis.
“The Effect of Employee Stock Options on
Bank Investment Choice, Borrowing, and
Capital,” Hamid Mehran. UniCredit Group
conference, Vienna, Austria, November 6.
With Joshua Rosenberg. Also presented at
a Brandeis University seminar, Waltham,
Massachusetts, December 11.
“The Impact of Tax Law Changes on Bank
Conduct and Industry Structure,” Hamid
Mehran. Financial Management Association
annual meeting, Dallas, Texas, October 11.
With Michael Suher. Also presented at the
Federal Reserve System Committee
Conference on Financial Structure and

Regulation, held at the Federal Reserve
Bank of Boston, Boston, Massachusetts,
October 29.
“Firms and Flexibility,” Ay egül ahin.
Universidad Carlos III de Madrid seminar,
Madrid, Spain, October 16. With Bart Hobijn.
“Labor Supply in a Fractional Labor
Market,” Ay egül ahin. Universitat
Autònoma de Barcelona seminar,
Barcelona, Spain, October 15. With Per
Krusell, Toshihiko Mukoyama, and Richard
Rogerson. Also presented at a Centro de
Estudios Monetarios y Financieros seminar,
Madrid, Spain, October 17.
“Dollar Funding Costs in the Summer of
’08,” Asani Sarkar. Federal Reserve System
Committee Conference on Financial
Structure and Regulation, held at the
Federal Reserve Bank of Boston, Boston,
Massachusetts, October 30.
“Federal Reserve Liquidity Tools,” Asani
Sarkar. World Research Group conference,
New York City, October 17.
“Credit Risk Transfer and the Financial
Crisis,” Til Schuermann. European Central
Bank symposium Benefits and Costs of
Securitization, Frankfurt, Germany,
December 10.
“Understanding the Securitization of Subprime
Mortgage Credit,” Til Schuermann.
International Association of Financial
Engineers symposium Lessons from
the Subprime Market: Implosion and Its
Consequences, New York City, November 10.
With Adam Ashcraft.
“What Determines Family Structure?”
Wilbert van der Klaauw. Boston College
seminar, Chestnut Hill, Massachusetts,
November 10. ■

Research and Statistics Group

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Research Update

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Number 4, 2008

Research and Statistics Group
Publications and Papers:
October-December 2008

No. 352, October 2008
Systemic Risk and Liquidity
in Payment Systems
Gara M. Afonso and Hyun Song Shin

Publications are available at www.newyorkfed
.org/research/publication_annuals/
index.html.

No. 353, October 2008
The Case for TIPS: An Examination
of the Costs and Benefits
Jennifer Roush, William Dudley,
and Michelle Steinberg Ezer

CURRENT ISSUES IN ECONOMICS
AND FINANCE, VOL. 14

10

No. 7, September/October 2008
Employment in the New York–New
Jersey Region: 2008 Review and Outlook
Jason Bram, James Orr, and Rae Rosen
Second District Highlights
No. 8, November 2008
Commodity Price Movements
and PCE Inflation
Bart Hobijn
No. 9, December 2008
New Measures of Economic Growth
and Productivity in Upstate New York
Jaison R. Abel and Richard Deitz
Second District Highlights

STAFF REPORTS
No. 349, October 2008
Liquidity and Congestion
Gara M. Afonso
No. 350, October 2008
Housing Busts and Household Mobility
Fernando Ferreira, Joseph Gyourko,
and Joseph Tracy
No. 351, October 2008
Aggregation and the PPP Puzzle
in a Sticky-Price Model
Carlos Carvalho and Fernanda Nechio

No. 354, November 2008
The Topology of the Federal Funds Market
Morten L. Bech and Enghin Atalay
No. 355, November 2008
Imperfectly Credible Disinflation under
Endogenous Time-Dependent Pricing
Marco Bonomo and Carlos Carvalho
No. 356, November 2008
Which Bank Is the “Central” Bank?
An Application of Markov Theory to the
Canadian Large-Value Transfer System
Morten L. Bech, James T. E. Chapman,
and Rod Garratt
No. 357, November 2008
The Federal Home Loan Bank System:
The Lender of Next-to-Last Resort?
Adam Ashcraft, Morten L. Bech,
and W. Scott Frame
No. 358, November 2008
Seismic Effects of the Bankruptcy Reform
Donald P. Morgan, Benjamin Iverson,
and Matthew Botsch
No. 359, December 2008
Rethinking the Measurement of
Household Inflation Expectations:
Preliminary Findings
Wilbert van der Klaauw, Wändi Bruine
de Bruin, Giorgio Topa, Simon Potter,
and Michael Bryan

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.

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