Here is a Chicago FedLetter with Stefania D'Amico on how much of the current round of monetary-policy tightening has already passed through to the macroeconomy. It uses an updated version of our recent paper on anticipated monetary policy to take account of tightening that occurred in advance of actual policy-rate changes through the expectations channel. (Data are as of August 2023.)
"What Does Anticipated Monetary Policy Do?" was published in the Journal of Monetary Economics.
"Central Counterparties and Systemic Liquidity Risk" was published in the International Journal of Central Banking.
Here is a little note on how monetary policy affected the performance of the stock market during the first two years of the pandemic.
An updated and much-revised version of "Securities Financing and Asset Markets: New Evidence" is available.
I discussed Schmid, Valaitis, and Villa's "Government Debt Management with Real and Nominal Bonds" at the Bank of Canada/SF Fed conference on fixed-income and macro-finance research in Ottawa in May. Slides available here.
We also have a new working paper, "One Asset Does Not Fit All: Inflation Hedging by Index and Horizon," which contains some related empirical work.
I have posted a draft of a new paper, "Real Yields and the Transmission of Central Bank Balance-Sheet Policies." The paper investigates policy options when long-term nominal yields are constrained at their lower bound and, in particular, proposes inflation-indexed term lending as a potential way to provide stimulus in that environment. Comments welcome!