Michelle L. Barnes
Michelle L. Barnes
Senior Economist and Policy Advisor

Research

email  Michelle.Barnes@bos.frb.org

617-973-3317

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Primary fields of research

Empirical finance, volatility analysis, financial markets, macroeconomics

Publications

Refereed journal articles

"The Forecasting Power of Consumer Attitudes for Consumer Spending," with Giovanni P. Olivei. 2017. Journal of Money, Credit and Banking 49(5): 1031–1058.

"A Post Mortem of the Life Insurance Industry's Bid for Capital during the Financial Crisis," with James Bohn, and Cynthia Martin. 2016. Journal of Insurance Regulation.

"A TIPS Scorecard: Are They Accomplishing Their Objectives?" with Zvi Bodie, Robert K. Triest, and J. Christina Wang. 2010. Financial Analysts Journal 66(5): 68–84.

"A Principal Components Approach to Estimating Labor Market Pressure and Its Implications for Inflation," with Ryan Chahrour, Giovanni P. Olivei, and Gaoyan Tang. 2007. Federal Reserve Bank of Boston Public Policy Briefs No. 07-2.

"Threshold Relationships among Inflation, Financial Market Development and Growth," with Nicolas Duquette. 2006. Journal of Financial Transformation 17: 141–149.

"What Is the Federal Reserve Banks' Imputed Cost of Equity Capital?" with Jose A. Lopez. Federal Reserve Bank of San Francisco Economic Letter, No. 2006-06 (April 7, 2006). Reprinted by ProQuest Information and Learning in SIRS Government Reporter. 2006.

"Alternative Measures of the Federal Reserve Banks' Cost of Equity Capital," with Jose A. Lopez. 2006. The Journal of Banking and Finance 30(6): 1687–1711.

"Inside and Outside Bounds: Threshold Estimates of the Phillips Curve," with Giovanni P. Olivei. 2003. New England Economic Review.

"Inflation and Asset Returns," with John H. Boyd and Bruce D. Smith. 1999. European Economic Review, 43: 737–754.

"Inflation and Nominal Returns Revisited: A TAR Approach to 39 Countries." 1999. Journal of Multinational Financial Management, 9(3 and 4): 233–245.

Invited Refereed Journal Articles

"Modelling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities," with Pedro J. F. de Lima. Journal of Economic Surveys (not published).

Refereed Conference Publications

"On the Nature of the Dependence in the Volatility of U.S. Stock Returns." July 1999. Econometric Society of Australasia Meetings (ESAM), Sydney, Australia.

Books and book chapters

"Are China's Stock Markets Really Weak-form Efficient?" with Shiguang Ma in The Efficiency of China's Stock Market, ed. Shiguang Ma. 2004. Hampshire, United Kingdom: Ashgate Publishing.

"Market Efficiency or not? The Behaviour of China's Stock Prices in Response to the Announcement of Bonus Issues," with Shiguang Ma in The Efficiency of China's Stock Market, ed. Shiguang Ma. 2004. Hampshire, UK: Ashgate Publishing.

Working papers and other unpublished papers

"Financial Variables and Macroeconomic Forecast Errors," with Giovanni P. Olivei. 2017. Federal Reserve Bank of Boston Research Department Working Papers No. 17-17.

"Did Life Insurers Benefit from TARP or Regulatory Forbearance during the Financial Crisis of 2008–2009?" 2016. Federal Reserve Bank of Boston Research Department Working Papers No. 16-24. (Revised and Resubmitted to Journal of Banking and Finance.)

"Let's Talk About It: What Policy Tools Should the Fed Normally Use?" 2014. Federal Reserve Bank of Boston Current Policy Perspectives No. 2014-1.

"The Michigan Surveys of Consumers and Consumer Spending," with Giovanni P. Olivei. 2013. Federal Reserve Bank of Boston Research Department Public Policy Briefs No. 13-8.

"Cyclical versus Secular: Decomposing the Recent Decline in U.S. Labor Force Participation," with Fabià Gumbau-Brisa and Giovanni P. Olivei. 2013. Federal Reserve Bank of Boston Research Department Public Policy Briefs No. 13-2.

"Do Real-Time Okun's Law Errors Predict GDP Data Revisions?" with Fabià Gumbau-Brisa and Giovanni P. Olivei. 2013. Federal Reserve Bank of Boston Research Department Working Papers No. 13-13.

"Internal Sources of Finance and the Great Recession," with N. Aaron Pancost. 2010. Federal Reserve Bank of Boston Research Department Working Papers No. 10-15.

"The Sensitivity of Long-Term Interest Rates to Economic News: Comment," with N. Aaron Pancost. 2010. Federal Reserve Bank of Boston Research Department Working Papers No. 10-7.

"Closed-Form Estimates of the New Keynesian Phillips Curve with Time-Varying Trend Inflation," with Fabià Gumbau-Brisa, Denny Lie, and Giovanni P. Olivei. 2009. Federal Reserve Bank of Boston Research Department Working Papers No. 09-15.

"TIPS Scorecard: Are TIPS Accomplishing What They Were Supposed to Accomplish? Can They Be Improved?" with Zvi Bodie, Robert K. Triest, and J. Christina Wang. 2009. Federal Reserve Bank of Boston Research Department Public Policy Discussion Papers No. 09-08.

"A Principal Components Approach to Estimating Labor Markets Pressure and Its Implications for Inflation," with Ryan Chahrour, Giovanni P. Olivei and Gaoyan Tang. 2007. Federal Reserve Bank of Boston Research Department Public Policy Briefs No. 07-02.

"The Quality of Corporate Earnings since the 1980s," with Richard W. Kopcke and Maria Giduskova. 2006.

"How Important Is Forward-looking Behavior in New-Keynesian Models?" with Fabià Gumbau-Brisa and Giovanni P. Olivei. 2006.

"Alternative Measures of the Federal Reserve Banks' Cost of Equity Capital," with Jose A. Lopez. 2005. Federal Reserve Bank of Boston Research Department Public Policy Discussion Papers No. 05-02.

 "Beta Estimation and Forecasting with Quantile Regression Methods,"with Anthony W. Hughes. 2000 (latest version 2002).

"A Quantile Regression Analysis of the Cross Section of Stock Market Returns," with Anthony W. Hughes. 2002. Federal Reserve Bank of Boston Research Department Working Papers No. 02-2.

"Corporate Governance and China's Securities Markets," with Shiguang Ma and Ryan Martin. 2000.

"Beta Estimation and Forecasting with Panel Data Methods,"with Anthony W. Hughes. 2000 (latest version 2001).

"Threshold Relationships among Inflation, Financial Market Development and Growth." 2000 (latest version 2001).

"Long Memory in the Volatility of Portfolios and the Aggregation of Short-memory Processes," with Pedro J. F. de Lima. 1996 (latest version 1999).

"On the Nature of the Dependence in the Volatility of U.S. Stock Returns." 1997 (latest version 1998).