Search Results
Showing results 1 to 10 of approximately 66.
(refine search)
Can Economists Predict Recessions?
Majerovitz, Jeremy
(2023-09-26)
An analysis of 55 years of data from the Survey of Professional Forecasters suggests that quarter-ahead recession forecasts are fairly accurate but still have a great deal of uncertainty.
On the Economy
Working Paper
How Persistent Are Unconventional Monetary Policy Effects?
Neely, Christopher J.
(2020-11-08)
This paper argues that one cannot precisely estimate the persistence of unconventional monetary policy (UMP) effects, especially with short samples and few observations. To make this point, we illustrate that the most influential model on the topic exhibits structural instability, and sensitivity to specification and outliers that render the conclusions unreliable. Restricted models that respect more plausible asset return predictability are more stable and imply that UMP shocks were persistent. Estimates of the dynamic effects of shocks should respect the limited predictability in asset ...
Working Papers
, Paper 2014-04
Discussion Paper
How Easy Is It to Forecast Commodity Prices?
Groen, Jan J. J.; Pesenti, Paolo
(2011-06-27)
Over the last decade, unprecedented spikes and drops in commodity prices have been a recurrent source of concern to both policymakers and the general public. Given all the recent attention, have economists and analysts made any progress in their ability to predict movements in commodity prices? In this post, we find there is no easy answer. We consider different strategies to forecast near-term commodity price inflation, but find that no particular approach is systematically more accurate and robust. Additionally, the results warn against interpreting current forecasts of commodity prices ...
Liberty Street Economics
, Paper 20110627
Working Paper
High-Dimensional Copula-Based Distributions with Mixed Frequency Data
Patton, Andrew J.; Oh, Dong Hwan
(2015-05-19)
This paper proposes a new model for high-dimensional distributions of asset returns that utilizes mixed frequency data and copulas. The dependence between returns is decomposed into linear and nonlinear components, enabling the use of high frequency data to accurately forecast linear dependence, and a new class of copulas designed to capture nonlinear dependence among the resulting uncorrelated, low frequency, residuals. Estimation of the new class of copulas is conducted using composite likelihood, facilitating applications involving hundreds of variables. In- and out-of-sample tests confirm ...
Finance and Economics Discussion Series
, Paper 2015-50
Working Paper
Nowcasting U.S. Headline and Core Inflation
Zaman, Saeed; Knotek, Edward S.
(2014-05-01)
Forecasting future inflation and nowcasting contemporaneous inflation are difficult. We propose a new and parsimonious model for nowcasting headline and core inflation in the U.S. price index for personal consumption expenditures (PCE) and the consumer price index (CPI). The model relies on relatively few variables and is tested using real-time data. The model?s nowcasting accuracy improves as information accumulates over the course of a month or quarter, and it easily outperforms a variety of statistical benchmarks. In head-to-head comparisons, the model?s nowcasts of CPI infl ation ...
Working Papers (Old Series)
, Paper 1403
Working Paper
Forecasting Consumption Spending Using Credit Bureau Data
Croushore, Dean; Wilshusen, Stephanie M.
(2020-06-04)
This paper considers whether the inclusion of information contained in consumer credit reports might improve the predictive accuracy of forecasting models for consumption spending. To investigate the usefulness of aggregate consumer credit information in forecasting consumption spending, this paper sets up a baseline forecasting model. Based on this model, a simulated real-time, out-of-sample exercise is conducted to forecast one-quarter ahead consumption spending. The exercise is run again after the addition of credit bureau variables to the model. Finally, a comparison is made to test ...
Working Papers
, Paper 20-22
Report
Forecasting in large macroeconomic panels using Bayesian Model Averaging
Potter, Simon M.; Koop, Gary
(2003-03-01)
This paper considers the problem of forecasting in large macroeconomic panels using Bayesian model averaging. Practical methods for implementing Bayesian model averaging with factor models are described. These methods involve algorithms that simulate from the space defined by all possible models. We explain how these simulation algorithms can also be used to select the model with the highest marginal likelihood (or highest value of an information criterion) in an efficient manner. We apply these methods to the problem of forecasting GDP and inflation using quarterly U.S. data on 162 time ...
Staff Reports
, Paper 163
Working Paper
FRED-MD: A Monthly Database for Macroeconomic Research
McCracken, Michael W.; Ng, Serena
(2015-06-15)
This paper describes a large, monthly frequency, macroeconomic database with the goal of establishing a convenient starting point for empirical analysis that requires "big data." The dataset mimics the coverage of those already used in the literature but has three appealing features. First, it is designed to be updated monthly using the FRED database. Second, it will be publicly accessible, facilitating comparison of related research and replication of empirical work. Third, it will relieve researchers from having to manage data changes and revisions. We show that factors extracted from our ...
Working Papers
, Paper 2015-12
How long is the soft-landing runway for the labor market?
Atkinson, Tyler; Richter, Alexander W.
(2023-10-19)
A normalized labor market likely entails a more-usual relationship between layoffs and labor market tightness indicators, and sooner or later, a higher unemployment rate.
Dallas Fed Economics
Report
Housing demand and community choice: an empirical analysis
Rapaport, Carol
(1996)
Housing demand reflects the household's simultaneous choice of neighborhood, whether to own or rent the dwelling, and the quantity of housing services demanded. Existing literature emphasizes the final two factors, but overlooks the choice of community. This paper develops an econometric model that incorporates all three components, and then estimates this model using a sample of households in Tampa, Florida. Incorporating community choice increases the price elasticity of demand and reduces the differential between white and comparable nonwhite households. The results are robust to the ...
Staff Reports
, Paper 16
FILTER BY year
FILTER BY Bank
Federal Reserve Bank of New York 17 items
Federal Reserve Bank of Cleveland 16 items
Federal Reserve Bank of Dallas 12 items
Federal Reserve Bank of St. Louis 10 items
Board of Governors of the Federal Reserve System (U.S.) 4 items
Federal Reserve Bank of Atlanta 2 items
Federal Reserve Bank of Chicago 2 items
Federal Reserve Bank of Philadelphia 2 items
Federal Reserve Bank of San Francisco 1 items
show more (4)
show less
FILTER BY Series
Working Papers 20 items
Liberty Street Economics 10 items
Dallas Fed Economics 7 items
Staff Reports 6 items
Finance and Economics Discussion Series 4 items
Working Papers (Old Series) 4 items
Globalization Institute Working Papers 3 items
Working Paper Series 3 items
Economic Commentary 2 items
FRB Atlanta Working Paper 2 items
On the Economy 2 items
Economic Policy Review 1 items
Southwest Economy 1 items
Speech 1 items
show more (9)
show less
FILTER BY Content Type
Working Paper 36 items
Discussion Paper 10 items
Report 6 items
Journal Article 4 items
Speech 1 items
FILTER BY Author
Clark, Todd E. 7 items
Carriero, Andrea 6 items
Del Negro, Marco 5 items
McCracken, Michael W. 5 items
Neely, Christopher J. 5 items
Zaman, Saeed 4 items
Atkinson, Tyler 3 items
Giannone, Domenico 3 items
Groen, Jan J. J. 3 items
Knotek, Edward S. 3 items
Marcellino, Massimiliano 3 items
Massimiliano, Marcellino 3 items
Verbrugge, Randal 3 items
Brave, Scott A. 2 items
Butters, R. Andrew 2 items
Cañas, Jesus 2 items
Chudik, Alexander 2 items
Croushore, Dean 2 items
Fogarty, Michael 2 items
Gundam, Pranay 2 items
Hur, Sewon 2 items
Lee, Donggyu 2 items
Nallamotu, Ramya 2 items
Ng, Serena 2 items
Pacula, Brian 2 items
Pesaran, M. Hashem 2 items
Potter, Simon M. 2 items
Rich, Robert W. 2 items
Richter, Alexander W. 2 items
Schorfheide, Frank 2 items
Sharifvaghefi, Mahrad 2 items
Strackman, Braden 2 items
Adams, Brian 1 items
Almuzara, MartÃn 1 items
Amstad, Marlene 1 items
Baker, Katie 1 items
Barnichon, Regis 1 items
Bethards, Josiah 1 items
Cocci, Matthew 1 items
Coroneo, Laura 1 items
Crump, Richard K. 1 items
Dogra, Keshav 1 items
Erce, Aitor 1 items
Eusepi, Stefano 1 items
Eva, Kenneth 1 items
Garciga, Christian 1 items
Giannoni, Marc 1 items
Gospodinov, Nikolay 1 items
Hasegawa, Raiden B. 1 items
Haughwout, Andrew F. 1 items
Herbst, Daniel 1 items
Higgins, Patrick C. 1 items
Jayashankar, Aparna 1 items
Jiang, Xu 1 items
Kerr, Emily 1 items
Koop, Gary 1 items
Lee, Donghoon 1 items
Lenza, Michele 1 items
Lewis, Daniel J. 1 items
Loewenstein, Lara 1 items
Majerovitz, Jeremy 1 items
Mangrum, Daniel 1 items
Martinez-Garcia, Enrique 1 items
Mau, Ron 1 items
McCarthy, Jonathan 1 items
McGillicuddy, Joseph 1 items
Melcangi, Davide 1 items
Mertens, Karel 1 items
Mester, Loretta J. 1 items
Mesters, Geert 1 items
Modugno, Michele 1 items
Montag, Hugh 1 items
Monti, Francesca 1 items
Morales-Burnett, Diego 1 items
Naggert, Kristoph 1 items
Ngân, Trần Khánh 1 items
Noble, Adam I. 1 items
Nunes, Ricardo 1 items
Oh, Dong Hwan 1 items
Ozdagli, Ali 1 items
O’Keeffe, Hannah 1 items
Patton, Andrew J. 1 items
Peach, Richard 1 items
Pesenti, Paolo 1 items
Primiceri, Giorgio E. 1 items
Rapaport, Carol 1 items
Reichlin, Lucrezia 1 items
Sbordone, Argia M. 1 items
Scally, Joelle 1 items
Shahanaghi, Sara 1 items
Shin, Minchul 1 items
Singh, Japji 1 items
Song, Joseph 1 items
Stock, James H. 1 items
Tang, Jenny 1 items
Throckmorton, Nathaniel A. 1 items
Tracy, Joseph 1 items
Trivedi, Mihir 1 items
Van der Klaauw, Wilbert 1 items
Verbrugge, Randal J. 1 items
Wilshusen, Stephanie M. 1 items
Winkler, Fabian 1 items
Zhong, Molin 1 items
Zigraiova, Diana 1 items
van Norden, Simon 1 items
show more (100)
show less
FILTER BY Jel Classification
C53 25 items
E37 17 items
E52 10 items
C30 7 items
C32 7 items
C55 7 items
C33 6 items
E31 6 items
E43 6 items
E17 5 items
E47 5 items
F47 5 items
C52 4 items
E2 4 items
C11 3 items
G1 3 items
G12 3 items
C12 2 items
C13 2 items
C22 2 items
C51 2 items
C8 2 items
C80 2 items
C81 2 items
D14 2 items
E01 2 items
E27 2 items
E32 2 items
E5 2 items
C14 1 items
C38 1 items
C5 1 items
C58 1 items
C82 1 items
C83 1 items
D12 1 items
D84 1 items
E0 1 items
E2;E5 1 items
E3 1 items
E30 1 items
E4 1 items
E44 1 items
E62 1 items
E66 1 items
F00 1 items
G01 1 items
G11 1 items
G15 1 items
H31 1 items
H68 1 items
J00 1 items
L60 1 items
R21 1 items
show more (49)
show less
FILTER BY Keywords
forecasting 66 items
monetary policy 14 items
inflation 9 items
big data 7 items
structural breaks 7 items
Federal Reserve 5 items
VAR 5 items
downside risk 5 items
good deal 5 items
large-scale asset purchases 5 items
quantitative easing 5 items
core inflation 4 items
COVID-19 3 items
DSGE models 3 items
international economics 3 items
mixed frequency 3 items
nowcasting 3 items
pandemics 3 items
quantile regressions 3 items
real-time data 3 items
variable selection 3 items
DSGE 2 items
Dynamic Stochastic General Equilibrium (DSGE) models 2 items
Great Recession 2 items
Greenbook 2 items
Prediction 2 items
Time-varying parameters 2 items
asymmetries 2 items
banking 2 items
business analytics 2 items
consumption 2 items
disaggregate inflation 2 items
econometrics 2 items
economic development 2 items
economic statistics 2 items
factor models 2 items
factors 2 items
finance 2 items
high-dimensionality 2 items
labor 2 items
median PCE inflation 2 items
multiple testing 2 items
one covariate at a time multiple testing (OCMT) 2 items
out-of-sample 2 items
skewness 2 items
trade 2 items
trimmed-mean PCE 2 items
Bayesian 1 items
Bayesian estimation 1 items
Bayesian vector autoregressions 1 items
Composite likelihood 1 items
Dynamic factor model 1 items
Economic growth 1 items
Euro area sovereign bond market 1 items
FOMC 1 items
Florida 1 items
GDI 1 items
GDP 1 items
GDP (gross domestic product) 1 items
Mexico 1 items
New York Fed 1 items
PLS regression 1 items
Survey of Professional Forecasters 1 items
Yield curve 1 items
average rent growth 1 items
behavioral bias 1 items
border region 1 items
commodity futures 1 items
commodity prices 1 items
consumer credit information 1 items
consumption spending 1 items
convenience yields 1 items
deficits 1 items
diffusion index 1 items
dynamic Nelson-Siegel model 1 items
dynamic factor models 1 items
excess savings 1 items
exchange rates 1 items
financial frictions 1 items
fiscal policy 1 items
government bonds 1 items
growth 1 items
headline inflation 1 items
hierarchical models 1 items
high frequency 1 items
high frequency data 1 items
house prices 1 items
household finance 1 items
housing 1 items
impulse responses 1 items
inflation measurement 1 items
initial conditions 1 items
interest rates 1 items
labor force participation rate 1 items
lagged effects 1 items
large datasets 1 items
linear prediction pools 1 items
macroeconometric forecasting 1 items
macroeconomics 1 items
manufacturing 1 items
marginal rent growth 1 items
measurement of economic activity 1 items
median 1 items
mixed-frequency data 1 items
models 1 items
neighborhoods 1 items
nonlinear dependence 1 items
oil prices 1 items
optimal policy 1 items
out-of-sample prediction 1 items
overfitting 1 items
pandemic 1 items
panel 1 items
professional forecasters 1 items
rational expectations 1 items
real estate 1 items
recession forecasts 1 items
recessions 1 items
rent growth 1 items
rent inflation 1 items
sovereign debt crises 1 items
sovereign market access 1 items
stochastic volatility 1 items
structural shocks 1 items
survey data 1 items
surveys 1 items
temporal aggregation 1 items
term structure of interest rates 1 items
trimmed mean 1 items
unemployment rates 1 items
weekly economic index 1 items
show more (127)
show less