Central bank research hub - Papers by Sam Schulhofer-Wohl
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Research hub papers by author Sam Schulhofer-WohlenA Sequential Bargaining Model of the Fed Funds Market with Excess Reserves
https://www.chicagofed.org/~/media/publications/working-papers/2018/wp2018-08-pdf.pdf
Chicago Fed Working papers by Sam Schulhofer-Wohl and James A. ClouseA Sequential Bargaining Model of the Fed Funds Market with Excess Reserves2018-05-01T00:00:00ZWe model bargaining between non-bank investors and heterogeneous bank borrowers in the federal funds market. The analysis highlights how the federal funds rate will respond to movements in other money market interest rates in an environment with elevated levels of excess reserves. The model predicts that the administered rate offered through the Federal Reserve's overnight reverse repurchase agreement facility influences the fed funds rate even when the facility is not used. Changes in repo rates pass through to the federal funds rate, but by less than one-for-one. We calibrate the model to data from 2017 and find in an out-of-sample test that the model quantitatively matches the increase in the federal funds rate in the first four months of 2018. The rise in the fed funds rate in 2018 is attributed to movements in repo rates and not to changes in the scarcity value of reserves.A Sequential Bargaining Model of the Fed Funds Market with Excess ReservesFull texthttps://www.chicagofed.org/~/media/publications/working-papers/2018/wp2018-08-pdf.pdfSam Schulhofer-WohlJames A. ClouseSam Schulhofer-Wohl and James A. Clouse2018-05-01Federal Reserve Bank of Chicago Working PapersE42E43E47E52E58The Age-Time-Cohort Problem and the Identification of Structural Parameters in Life-Cycle Models
https://chicagofed.org/~/media/publications/working-papers/2017/wp2017-18-pdf.pdf
Chicago Fed Working papers by Sam Schulhofer-WohlThe Age-Time-Cohort Problem and the Identification of Structural Parameters in Life-Cycle Models2017-10-19T00:00:00ZA standard approach to estimating structural parameters in life-cycle models imposes sufficient assumptions on the data to identify the "age profile" of outcomes, then chooses model parameters so that the model's age profile matches this empirical age profile. I show that this approach is both incorrect and unnecessary: incorrect, because it generally produces inconsistent estimators of the structural parameters, and unnecessary, because consistent estimators can be obtained under weaker assumptions. I derive an estimation method that avoids the problems of the standard approach. I illustrate the method's benefits analytically in a simple model of consumption inequality and numerically by reestimating the classic life-cycle consumption model of Gourinchas and Parker (2002).The Age-Time-Cohort Problem and the Identification of Structural Parameters in Life-Cycle ModelsFull texthttps://chicagofed.org/~/media/publications/working-papers/2017/wp2017-18-pdf.pdfSam Schulhofer-WohlSam Schulhofer-Wohl2017-10-19Federal Reserve Bank of Chicago Working PapersC23D91J1Inflation at the Household Level
https://www.chicagofed.org/~/media/publications/working-papers/2017/wp2017-13-pdf.pdf
Chicago Fed Working papers by Greg Kaplan and Sam Schulhofer-WohlInflation at the Household Level2017-09-17T00:00:00ZWe use scanner data to estimate inflation rates at the household level. Households' inflation rates have an annual interquartile range of 6.2 to 9.0 percentage points. Most of the heterogeneity comes not from variation in broadly defined consumption bundles but from variation in prices paid for the same types of goods. Lower-income households experience higher inflation, but most cross-sectional variation is uncorrelated with observables. Households' deviations from aggregate inflation exhibit only slightly negative serial correlation. Almost all variability in a household's inflation rate comes from variability in household-level prices relative to average prices, not from variability in aggregate inflation.Inflation at the Household LevelFull texthttps://www.chicagofed.org/~/media/publications/working-papers/2017/wp2017-13-pdf.pdfGreg KaplanSam Schulhofer-WohlGreg Kaplan and Sam Schulhofer-Wohl2017-09-17Federal Reserve Bank of Chicago Working PapersD12D30E31Worker Betas: Five Facts About Systematic Earnings Risk
https://chicagofed.org/~/media/publications/working-papers/2017/wp2017-04-pdf.pdf
Chicago Fed Working papers by Fatih Guvenen, Sam Schulhofer-Wohl and Motohiro YogoWorker Betas: Five Facts About Systematic Earnings Risk2017-01-18T00:00:00ZThe magnitude of and heterogeneity in systematic earnings risk has important implications for various theories in macro, labor, and financial economics. Using administrative data, we document how the aggregate risk exposure of individual earnings to GDP and stock returns varies across gender, age, the worker's earnings level, and industry. Aggregate risk exposure is U-shaped with respect to the earnings level. In the middle of the earnings distribution, males, younger workers, and those in construction and durable manufacturing are more exposed to aggregate risk. At the top of the earnings distribution, older workers and those in finance are more exposed to aggregate risk. Workers in larger employers are less exposed to aggregate risk, but they are more exposed to a common factor in employer-level earnings, especially at the top of the earnings distribution. Within an employer, higher-paid workers have higher exposure to the employer-level risk than lower-paid workers.Worker Betas: Five Facts About Systematic Earnings RiskFull texthttps://chicagofed.org/~/media/publications/working-papers/2017/wp2017-04-pdf.pdfMotohiro YogoFatih GuvenenSam Schulhofer-WohlFatih Guvenen, Sam Schulhofer-Wohl and Motohiro Yogo2017-01-18Federal Reserve Bank of Chicago Working PapersD31G11Inflation at the Household Level
https://www.minneapolisfed.org/research/wp/wp731.pdf
Minneapolis Fed Working Papers by Sam Schulhofer-Wohl and Greg KaplanInflation at the Household Level2016-04-11T00:00:00ZWe use scanner data to estimate inflation rates at the household level. Households' inflation rates are remarkably heterogeneous, with an interquartile range of 6.2 to 9.0 percentage points on an annual basis. Most of the heterogeneity comes not from variation in broadly defined consumption bundles but from variation in prices paid for the same types of goods - a source of variation that previous research has not measured. The entire distribution of household inflation rates shifts in parallel with aggregate inflation. Deviations from aggregate inflation exhibit only slightly negative serial correlation within each household over time, implying that the difference between a household's price level and the aggregate price level is persistent. Together, the large cross-sectional dispersion and low serial correlation of household-level inflation rates mean that almost all of the variability in a household's inflation rate over time comes from variability in household-level prices relative to average prices for the same goods, not from variability in the aggregate inflation rate. We provide a characterization of the stochastic process for household inflation that can be used to calibrate models of household decisions.Inflation at the Household LevelFull texthttps://www.minneapolisfed.org/research/wp/wp731.pdfGreg KaplanSam Schulhofer-WohlSam Schulhofer-Wohl and Greg Kaplan2016-04-11Federal Reserve Bank of Minneapolis Working PapersD12D30E31Inflation at the Household Level: Web Appendix
https://www.minneapolisfed.org/research/wp/wp732.pdf
Minneapolis Fed Working Papers by Sam Schulhofer-Wohl and Greg KaplanInflation at the Household Level: Web Appendix2016-04-11T00:00:00ZThis appendix contains additional results on using scanner data to estimate inflation rates at the household level. There are three sections. Section 1 shows cross-sectional distributions of Fisher and Paasche inflation rates. Section 2 shows the evolution over time of measures of dispersion of Fisher and Paasche inflation rates. Section 3 shows cross-sectional distributions of two-year inflation rates measured with Fisher and Paasche indexes.Inflation at the Household Level: Web AppendixFull texthttps://www.minneapolisfed.org/research/wp/wp732.pdfGreg KaplanSam Schulhofer-WohlSam Schulhofer-Wohl and Greg Kaplan2016-04-11Federal Reserve Bank of Minneapolis Working PapersD12D30E31Understanding the Long-Run Decline in Interstate Migration: Online Appendix
https://www.minneapolisfed.org/research/wp/wp725.pdf
Minneapolis Fed Working Papers by Sam Schulhofer-Wohl and Greg KaplanUnderstanding the Long-Run Decline in Interstate Migration: Online Appendix2015-06-01T00:00:00ZThis appendix contains eight sections. Section 1 gives technical details of how we calculate standard errors in the CPS data. Section 2 discusses changes in the ACS procedures before 2005. Section 3 examines demographic and economic patterns in migration over the past two decades, in more detail than in the main paper. Section 4 examines the cross-sectional variance of location-occupation interactions in earnings when we define locations by MSAs instead of states. Section 5 describes alternative methods to estimate the variance of location-occupation interactions in income. Section 6 measures the segregation of industries across states and of occupations and industries across MSAs. Section 7 gives technical details on the use of SIPP and census data to calculate repeat and return migration rates. Section 8 discusses transition dynamics in the model.Understanding the Long-Run Decline in Interstate Migration: Online AppendixFull texthttps://www.minneapolisfed.org/research/wp/wp725.pdfGreg KaplanSam Schulhofer-WohlSam Schulhofer-Wohl and Greg Kaplan2015-06-01Federal Reserve Bank of Minneapolis Working PapersD83J11J24J61R12R23Measuring Job-Finding Rates and Matching Efficiency with Heterogeneous Jobseekers
https://www.minneapolisfed.org/research/wp/wp721.pdf
Minneapolis Fed Working Papers by Robert E. Hall and Sam Schulhofer-WohlMeasuring Job-Finding Rates and Matching Efficiency with Heterogeneous Jobseekers2015-02-06T00:00:00ZMatching efficiency is the productivity of the process for matching jobseekers to available jobs. Job-finding is the output; vacant jobs and active jobseekers are the inputs. Measurement of matching efficiency follows the same principles as measuring a Hicks-neutral index of productivity of production. We develop a framework for measuring matching productivity when the population of jobseekers is heterogeneous. The efficiency index for each type of jobseeker is the monthly job-finding rate for the type adjusted for the overall tightness of the labor market. We find that overall matching efficiency declined over the period, at just below its earlier downward trend. We develop a new approach to measuring matching rates that avoids counting short-duration jobs as successes. And we show that the outward shift in the Beveridge curve in the post-crisis period is the result of pre-crisis trends, not a downward shift in matching efficiency attributable to the crisis.Measuring Job-Finding Rates and Matching Efficiency with Heterogeneous JobseekersFull texthttps://www.minneapolisfed.org/research/wp/wp721.pdfSam Schulhofer-WohlRobert E. HallRobert E. Hall and Sam Schulhofer-Wohl2015-02-06Federal Reserve Bank of Minneapolis Working PapersE24J63The Age-Time-Cohort Problem and the Identification of Structural Parameters in Life-Cycle Models
http://www.minneapolisfed.org/research/wp/WP707.pdf
Minneapolis Fed Working Papers by Sam Schulhofer-WohlThe Age-Time-Cohort Problem and the Identification of Structural Parameters in Life-Cycle Models2013-06-24T18:23:00ZThe Age-Time-Cohort Problem and the Identification of Structural Parameters in Life-Cycle ModelsFull texthttp://www.minneapolisfed.org/research/wp/WP707.pdfSam Schulhofer-WohlSam Schulhofer-Wohl2013-06Federal Reserve Bank of Minneapolis Working PapersPortfolio Choices and Risk Preferences in Village Economies
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Minneapolis Fed Working Papers by Pierre-Andre Chiappori, Krislert Samphantharak, Sam Schulhofer-Wohl, Robert TownsendPortfolio Choices and Risk Preferences in Village Economies2013-06-17T18:07:59Z*** DotNet cannot read page: http://www.minneapolisfed.org/publications_papers/wp/[Paper available on-line as PDF (Adobe Acrobat)Portfolio Choices and Risk Preferences in Village EconomiesAbstracthttp://www.minneapolisfed.org/publications_papers/wp/[Paper%20available%20on-line%20as%20PDF%20(Adobe%20Acrobat)Full text***%20DotNet%20cannot%20read%20page:%20http://www.minneapolisfed.org/publications_papers/wp/[Paper%20available%20on-line%20as%20PDF%20(Adobe%20Acrobat)Robert TownsendSam Schulhofer-WohlPierre-Andre ChiapporiKrislert SamphantharakPierre-Andre Chiappori, Krislert Samphantharak, Sam Schulhofer-Wohl, Robert Townsend2013-05Federal Reserve Bank of Minneapolis Working PapersPortfolio Choices and Risk Preferences in Village Economies
http://www.minneapolisfed.org/research/wp/WP706.pdf
Minneapolis Fed Working Papers by Pierre-Andre Chiappori, Krislert Samphantharak, Sam Schulhofer-Wohl, Robert TownsendPortfolio Choices and Risk Preferences in Village Economies2013-05-24T18:23:00ZPortfolio Choices and Risk Preferences in Village EconomiesFull texthttp://www.minneapolisfed.org/research/wp/WP706.pdfRobert TownsendPierre-Andre ChiapporiKrislert SamphantharakSam Schulhofer-WohlPierre-Andre Chiappori, Krislert Samphantharak, Sam Schulhofer-Wohl, Robert Townsend2013-05Federal Reserve Bank of Minneapolis Working PapersUnderstanding the Long-Run Decline in Interstate Migration
http://www.minneapolisfed.org/research/wp/WP697.pdf
Minneapolis Fed Working Papers by Greg Kaplan, Sam Schulhofer-WohlUnderstanding the Long-Run Decline in Interstate Migration2012-04-05T06:23:00ZUnderstanding the Long-Run Decline in Interstate MigrationFull texthttp://www.minneapolisfed.org/research/wp/WP697.pdfSam Schulhofer-WohlGreg KaplanGreg Kaplan, Sam Schulhofer-Wohl2012-04Federal Reserve Bank of Minneapolis Working PapersD83J11J24J61R12R23Do Newspapers Matter? Short-Run and Long-Run Evidence from the Closure of The Cincinnati Post
http://www.minneapolisfed.org/research/WP/WP686.pdf
Minneapolis Fed Working Papers by Miguel Garrido, Sam Schulhofer-WohlDo Newspapers Matter? Short-Run and Long-Run Evidence from the Closure of The Cincinnati Post2011-04-08T06:25:00ZDo Newspapers Matter? Short-Run and Long-Run Evidence from the Closure of The Cincinnati PostFull texthttp://www.minneapolisfed.org/research/WP/WP686.pdfMiguel GarridoSam Schulhofer-WohlMiguel Garrido, Sam Schulhofer-Wohl2011-04Federal Reserve Bank of Minneapolis Working PapersHeterogeneity and Risk Sharing in Village Economies
http://www.minneapolisfed.org/research/WP/WP683.pdf
Minneapolis Fed Working Papers by Pierre-Andre Chiappori, Krislert Samphantharak, Sam Schulhofer-Wohl, Robert TownsendHeterogeneity and Risk Sharing in Village Economies2011-01-05T12:37:59ZHeterogeneity and Risk Sharing in Village EconomiesFull texthttp://www.minneapolisfed.org/research/WP/WP683.pdfRobert TownsendSam Schulhofer-WohlPierre-Andre ChiapporiKrislert SamphantharakPierre-Andre Chiappori, Krislert Samphantharak, Sam Schulhofer-Wohl, Robert Townsend2011-01Federal Reserve Bank of Minneapolis Working PapersNegative Equity Does Not Reduce Homeowners' Mobility
http://www.minneapolisfed.org/research/WP/WP682.pdf
Minneapolis Fed Working Papers by Sam Schulhofer-WohlNegative Equity Does Not Reduce Homeowners' Mobility2010-12-23T06:23:00ZNegative Equity Does Not Reduce Homeowners' MobilityFull texthttp://www.minneapolisfed.org/research/WP/WP682.pdfSam Schulhofer-WohlSam Schulhofer-Wohl2010-12Federal Reserve Bank of Minneapolis Working PapersInterstate Migration Has Fallen Less Than You Think: Consequences of Hot Deck Imputation in the Current Population Survey
http://www.minneapolisfed.org/research/WP/WP681.pdf
Minneapolis Fed Working Papers by Greg Kaplan, Sam Schulhofer-WohlInterstate Migration Has Fallen Less Than You Think: Consequences of Hot Deck Imputation in the Current Population Survey2010-11-09T06:23:59ZInterstate Migration Has Fallen Less Than You Think: Consequences of Hot Deck Imputation in the Current Population SurveyFull texthttp://www.minneapolisfed.org/research/WP/WP681.pdfGreg KaplanSam Schulhofer-WohlGreg Kaplan, Sam Schulhofer-Wohl2010-11Federal Reserve Bank of Minneapolis Working Papers