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Working Paper
Documentation of the Estimated, Dynamic, Optimization-based (EDO) model of the U.S. economy: 2010 version
Laforte, Jean-Philippe; Kiley, Michael T.; Chung, Hess T. (2010)
This paper provides documentation for a large-scale estimated DSGE model of the U.S. economy--the Federal Reserve Board's Estimated, Dynamic, Optimization-based (FRB/EDO) model project. The model can be used to address a wide range of practical policy questions on a routine basis. The paper discusses the model's specification, estimated parameters, and key properties.
Finance and Economics Discussion Series , Paper 2010-29

Working Paper
Mapping Heat in the U.S. Financial System
Palumbo, Michael G.; Lee, Seung Jung; Warusawitharana, Missaka; Aikman, David; Kiley, Michael T. (2015-06-24)
We provide a framework for assessing the build-up of vulnerabilities in the U.S. financial system. We collect forty-four indicators of financial and balance-sheet conditions, cutting across measures of valuation pressures, nonfinancial borrowing, and financial-sector health. We place the data in economic categories, track their evolution, and develop an algorithmic approach to monitoring vulnerabilities that can complement the more judgmental approach of most official-sector organizations. Our approach picks up rising imbalances in the U.S. financial system through the mid-2000s, presaging ...
Finance and Economics Discussion Series , Paper 2015-59

Working Paper
Optimal Monetary and Macroprudential Policies: Gains and Pitfalls in a Model of Financial Intermediation
Kiley, Michael T.; Sim, Jae W. (2015-09-04)
We estimate a quantitative general equilibrium model with nominal rigidities and financial intermediation to examine the interaction of monetary and macroprudential stabilization policies. The estimation procedure uses credit spreads to help identify the role of financial shocks amenable to stabilization via monetary or macroprudential instruments. The estimated model implies that monetary policy should not respond strongly to the credit cycle and can only partially insulate the economy from the distortionary effects of financial frictions/shocks. A counter-cyclical macroprudential instrument ...
Finance and Economics Discussion Series , Paper 2015-78

Working Paper
The response of equity prices to movements in long-term interest rates associated with monetary policy statements: before and after the zero lower bound
Kiley, Michael T. (2013)
Monetary policy actions since 2008 have influenced long-term interest rates through forward guidance and quantitative easing. We propose a strategy to identify the comovement between interest rate and equity price movements induced by monetary policy when an observable representing policy changes, such as changes in the interbank rate, is not available. A decline in long-term interest rates induced by monetary policy statements prior to 2009 is accompanied by a 6- to 9-percent increase in equity prices. This association is substantially attenuated in the period since the zero-lower bound has ...
Finance and Economics Discussion Series , Paper 2013-15

Discussion Paper
Anchored or Not: A Short Summary of a Bayesian Approach to the Persistence of Inflation
Kiley, Michael T. (2022-04-08)
Consumer price inflation in the United States, as measured by the Consumer Price Index, jumped to just above 7 percent in the twelve months ending in December 2021. Inflation in 2021 reached the highest level seen since the early 1980s. The jump in inflation outside of the range experienced over several decades has raised questions regarding the speed with which, or the degree to which, inflation may return to the 2-percent range consistent with the Federal Reserve's inflation objective.
FEDS Notes , Paper 2022-04-08

Working Paper
A comparison of forecast performance between Federal Reserve staff forecasts, simple reduced-form models, and a DSGE model
Edge, Rochelle M.; Kiley, Michael T.; Laforte, Jean-Philippe (2009)
This paper considers the "real-time" forecast performance of the Federal Reserve staff, time-series models, and an estimated dynamic stochastic general equilibrium (DSGE) model--the Federal Reserve Board's new Estimated, Dynamic, Optimization-based (Edo) model. We evaluate forecast performance using out-of-sample predictions from 1996 through 2005, thereby examining over 70 forecasts presented to the Federal Open Market Committee (FOMC). Our analysis builds on previous real-time forecasting exercises along two dimensions. First, we consider time-series models, a structural DSGE model that ...
Finance and Economics Discussion Series , Paper 2009-10

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