Central Bank Announcements of Asset Purchases and the Impact on Global Financial and Commodity Markets • Glick • Leduc • 2011-30

We present evidence on the effects of large-scale asset purchases by the Federal Reserve and the Bank of England since 2008. We show that announcements about these purchases led to lower long-term interest rates and depreciations of the U.S. dollar and the British pound on announcement days, while commodity prices generally declined despite this more stimulative financial environment. We suggest that LSAP announcements likely involved signaling effects about future growth that led investors to downgrade their U.S. growth forecasts lowering longterm US yields, depreciating the value of the U.S. dollar, and triggering a decline in commodity prices. Moreover, our analysis illustrates the importance of controlling for market expectations when assessing these effects. We find that positive U.S. monetary surprises led to declines in commodity prices, even as long-term interest rates fell and the U.S. dollar depreciated. In contrast, on days of negative U.S. monetary surprises, i.e. when markets evidently believed that monetary policy was less stimulatory than expected, long-term yields, the value of the dollar, and commodity prices all tended to increase.

The Labor Market in the Great Recession: an Update • Hobijn • Valletta • 2011-29

Since the end of the Great Recession in mid-2009, the unemployment rate has recovered slowly, falling by only one percentage point from its peak. We find that the lackluster labor market recovery can be traced in large part to weakness in aggregate demand; only a small part seems attributable to increases in labor market frictions. This continued labor market weakness has led to the highest level of long-term unemployment in the U.S. in the postwar period, and a blurring of the distinction between unemployment and nonparticipation. We show that flows from nonparticipation to unemployment are important for understanding the recent evolution of the duration distribution of unemployment. Simulations that account for these flows suggest that the U.S. labor market is unlikely to be subject to high levels of structural long-term unemployment after aggregate demand recovers.

A Chronology of Turning Points in Economic Activity: Spain, 1850-2011 • Berge • Jorda • 2011-28

This paper codifies in a systematic and transparent way a historical chronology of business cycle turning points for Spain reaching back to 1850 at annual frequency, and 1939 at monthly frequency. Such an exercise would be incomplete without assessing the new chronology itself and against others —this we do with modern statistical tools of signal detection theory. We also use these tools to determine which of several existing economic activity indexes provide a better signal on the underlying state of the economy. We conclude by evaluating candidate leading indicators and hence construct recession probability forecasts up to 12 months in the future.

When Credit Bites Back: Leverage, Business Cycles, and Crises • Jorda • Schularick • Taylor • 2011-27

Land-Price Dynamics and Macroeconomic Fluctuations • Liu • Wang • Zha • 2011-26

Prepayment and Delinquency in the Mortgage Crisis Period • Krainer • Laderman • 2011-25

Regime Shifts in Real Estate Markets: Time-Varying Effects of the U.S. and Japanese Economies on House Prices in Hawaii • Krainer • Wilcox • 2011-24

Aggregate Real Wages: Macro Fluctuations and Micro Drivers • Daly • Hobijn • Wiles • 2011-23

Currency Crises • Glick • Hutchison • 2011-22

The Signaling Channel for Federal Reserve Bond Purchases • Bauer • Rudebusch • 2011-21

Nominal Interest Rates and the News • Bauer • 2011-20

Gender Ratios at Top PhD Programs in Economics • Hale • Regev • 2011-19

Dollar Illiquidity and Central Bank Swap Arrangements during the Global Financial Crisis • Rose • Spiegel • 2011-18 + supplement

New Evidence on Cyclical and Structural Sources of Unemployment • Trehan • Chen • Kannan • Loungani • 2011-17

A Model-Independent Maximum Range for the Liquidity Correction of TIPS Yields • Christensen • Gillan • 2011-16

Should Central Banks Lean Against Changes in Asset Prices? • Leduc • Natal • 2011-15

Bank Relationships, Business Cycles, and Financial Crises • Hale • 2011-14

The Impact of Creditor Protection on Stock Prices in the Presence of Credit Crunches • Hale • Razin • Tong • 2011-13

Unbiased Estimation of Dynamic Term Structure Models • Bauer • Rudebusch • Wu • 2011-12

Trust in Public Institutions over the Business Cycle • Stevenson • Wolfers • 2011-11

Extracting Deflation Probability Forecasts from Treasury Yields • Christensen • Lopez • Rudebusch • 2011-10

Reestablishing the Income-Democracy Nexus • Benhabib • Corvalon • Spiegel • 2011-09

Let's Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2 • Swanson • 2011-08

Asset Pricing with Concentrated Ownership of Capital • Lansing • 2011-07

The Wage Premium Puzzle and the Quality of Human Capital • Marquis • Trehan • Tantivong • 2011-06

A Rising Natural Rate of Unemployment: Transitory or Permanent? • Daly • Hobijn • Sahin • Valletta • 2011-05 + supplement

Evidence on Financial Globalization and Crisis: Capital Raisings • Hale • 2011-04

Term Premia and the News • Bauer • 2011-03

Cross-Country Causes and Consequences of the Crisis: An Update • Rose • Spiegel • 2011-02

Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events? • Chung • Laforte • Reifschneider • Williams • 2011-01

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