Federal Reserve

Edmund CrawleyI combine microdata on the intertemporal marginal propensity to consume with 10 structural macro shocks to identify the role of intertemporal substitution in consumption behavior. Although some of the structural shocks that I examine lead to large and persistent changes in real interest rates—which in many models would induce a large intertemporal substitution effect—I find no evidence that households shift the timing of their consumption in response to these interest rate changes.

Carol Corrado, Arthur Kennickell, and Tomaz CajnerThis paper was written for the academic conference held in celebration of the 100th anniversary of the Division of Research and Statistics (R&S) of the Federal Reserve Board. The work of the Federal Reserve turns strongly on empirical efforts to understand the structure and state of the economy, and R&S can be thought of as operating a large factory for discovering and developing data and analytical methods to provide evidence relevant to the mission of the Board.

Jeffrey S. AllenPayment fraud has been high in recent years, and as criminals gain access to capability-enhancing generative AI tools, there is a growing need for innovative fraud detection research. However, the pace, diversity, and reproducibility of such research are inhibited by the dearth of publicly available payment transaction data. A few payment simulation methodologies have been developed to help narrow the payment transaction data gap without compromising important data privacy and security expectations.

Shengwu Du and Travis D. NesmithFiltered historical simulation (FHS)—a simple method of calculating Value-at-Risk that reacts quickly to changes in market volatility—is a popular method for calculating margin at central counterparties. However, FHS does not address how correlation can vary through time.