Search Results
Report
Revisiting useful approaches to data-rich macroeconomic forecasting
Kapetanios, George; Groen, Jan J. J.
(2008)
This paper analyzes the properties of a number of data-rich methods that are widely used in macroeconomic forecasting, in particular principal components (PC) and Bayesian regressions, as well as a lesser-known alternative, partial least squares (PLS) regression. In the latter method, linear, orthogonal combinations of a large number of predictor variables are constructed such that the covariance between a target variable and these common components is maximized. Existing studies have focused on modelling the target variable as a function of a finite set of unobserved common factors that ...
Staff Reports
, Paper 327
Working Paper
Variation in the Phillips Curve Relation across Three Phases of the Business Cycle
Verbrugge, Randal; Ashley, Richard
(2019-05-03)
We use recently developed econometric tools to demonstrate that the Phillips curve unemployment rate?inflation rate relationship varies in an economically meaningful way across three phases of the business cycle. The first (?bust phase?) relationship is the one highlighted by Stock and Watson (2010): A sharp reduction in inflation occurs as the unemployment rate is rising rapidly. The second (?recovery phase?) relationship occurs as the unemployment rate subsequently begins to fall; during this phase, inflation is unrelated to any conventional unemployment gap. The final (?overheating phase?) ...
Working Papers
, Paper 19-09
Working Paper
Economic Activity by Race
Mboup, Fatima
(2023-08-09)
We observe empirical differences between races across various macroeconomic variables for the White, Black, Asian, and Hispanic populations in the U.S. For instance, the Black unemployment rate in the U.S. is more often than not double the White unemployment rate. In this paper, I treat nine macroeconomic variables as noisy indicators of economic activity and estimate an index that measures the economic activity of racial demographic groups in the U.S., called Economic Activity by Race (EAR). The noise of the indicators motivates the use of Kalman filter estimation to extract a common ...
Working Papers
, Paper 23-16
Working Paper
The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility
Murphy, Anthony; Hizmeri, Rodrigo; Tsionas, Mike G.; Izzeldin, Marwan
(2019-03-28)
We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that vary by sector, volume and degree of jump activity. We use extended HAR-RV models, and consider different frequencies (5, 60 and 300 seconds), forecast horizons (1, 5, 22 and 66 days) and the use of standard and robust-to-noise volatility and threshold bipower variation measures. Incorporating signed finite and infinite jumps generates significantly better ...
Working Papers
, Paper 1902
Working Paper
Variable Selection in High Dimensional Linear Regressions with Parameter Instability
Chudik, Alexander; Sharifvaghefi, Mahrad; Pesaran, M. Hashem
(2024-08-05)
This paper considers the problem of variable selection allowing for parameter instability. It distinguishes between signal and pseudo-signal variables that are correlated with the target variable, and noise variables that are not, and investigates the asymptotic properties of the One Covariate at a Time Multiple Testing (OCMT) method proposed by Chudik et al. (2018) under parameter insatiability. It is established that OCMT continues to asymptotically select an approximating model that includes all the signals and none of the noise variables. Properties of post selection regressions are also ...
Globalization Institute Working Papers
, Paper 394
Working Paper
Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR
Owyang, Michael T.; McCracken, Michael W.; Sekhposyan, Tatevik
(2020-04-10)
We use a mixed-frequency vector autoregression to obtain intraquarter point and density forecasts as new, high frequency information becomes available. This model, delineated in Ghysels (2016), is specified at the lowest sampling frequency; high frequency observations are treated as different economic series occurring at the low frequency. As this type of data stacking results in a high-dimensional system, we rely on Bayesian shrinkage to mitigate parameter proliferation. We obtain high-frequency updates to forecasts by treating new data releases as conditioning information. The same ...
Working Papers
, Paper 2015-030
Working Paper
Significance Bands for Local Projections
Inoue, Atsushi; Jordà, Òscar; Kuersteiner, Guido M.
(2023-05-31)
An impulse response function describes the dynamic evolution of an outcome variable following a stimulus or treatment. A common hypothesis of interest is whether the treatment affects the outcome. We show that this hypothesis is best assessed using significance bands rather than relying on commonly displayed confidence bands. Under the null hypothesis, we show that significance bands are trivial to construct with standard statistical software using the LM principle, and should be reported as a matter of routine when displaying impulse responses graphically.
Working Paper Series
, Paper 2023-15
Journal Article
Comparing Measures of Potential Output
Owyang, Michael T.; Guisinger, Amy Y.; Shell, Hannah
(2018)
One of the goals of stabilization policy is to reduce the output gap?the difference between potential and actual output?during downturns. Potential output, however, is an unobserved variable whose definition can vary. For example, some view potential output as the level of output that can be produced when employment is at the natural rate. Others use trend measures of output to measure potential. We survey some of these measures using both full-sample data (all of the data that would be available through June 2017) and real-time data (the actual data that would have been available at ...
Review
, Volume 100
, Issue 4
, Pages 297-316
Working Paper
Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices
Martinez-Garcia, Enrique; Grossman, Valerie; Pavlidis, Efthymios
(2017-08-01)
The recently developed SADF and GSADF unit root tests of Phillips et al. (2011) and Phillips et al. (2015) have become popular in the literature for detecting exuberance in asset prices. In this paper, we examine through simulation experiments the effect of cross-sectional aggregation on the power properties of these tests. The simulation design considered is based on actual housing data for both U.S. metropolitan and international housing markets and thus allows us to draw conclusions for different levels of aggregation. Our findings suggest that aggregation lowers the power of both the SADF ...
Globalization Institute Working Papers
, Paper 325
Working Paper
An Alternative Measure of Core Inflation: The Trimmed Persistence PCE Price Index
O'Trakoun, John
(2023-11)
I introduce the "trimmed persistence PCE," a new measure of core inflation in which component prices are weighted according to the time-varying persistence of their price changes. The components of trimmed persistence personal consumption expenditures (PCE) display less tendency to mechanically pass-through the level of the prior period's inflation to the current period; thus, the impact of the current stance of monetary policy and real economic factors are more likely to be visible in recent trimmed persistence inflation compared to headline inflation. Trimmed persistence inflation performs ...
Working Paper
, Paper 23-10
FILTER BY year
FILTER BY Bank
Federal Reserve Bank of Dallas 26 items
Federal Reserve Bank of New York 17 items
Board of Governors of the Federal Reserve System (U.S.) 14 items
Federal Reserve Bank of Cleveland 11 items
Federal Reserve Bank of St. Louis 10 items
Federal Reserve Bank of Atlanta 6 items
Federal Reserve Bank of San Francisco 5 items
Federal Reserve Bank of Philadelphia 3 items
Federal Reserve Bank of Richmond 2 items
Federal Reserve Bank of Boston 1 items
Federal Reserve Bank of Kansas City 1 items
Federal Reserve Bank of Minneapolis 1 items
show more (7)
show less
FILTER BY Series
Working Papers 28 items
Staff Reports 16 items
Globalization Institute Working Papers 15 items
Finance and Economics Discussion Series 11 items
FRB Atlanta Working Paper 6 items
Working Paper Series 5 items
Working Papers (Old Series) 5 items
International Finance Discussion Papers 3 items
Review 2 items
Working Paper 2 items
Current Policy Perspectives 1 items
Economic Policy Review 1 items
Research Working Paper 1 items
Staff Report 1 items
show more (9)
show less
FILTER BY Content Type
FILTER BY Author
Ashley, Richard 7 items
Kilian, Lutz 7 items
Owyang, Michael T. 7 items
Chudik, Alexander 6 items
Giannone, Domenico 6 items
Inoue, Atsushi 6 items
Boyarchenko, Nina 5 items
Martinez-Garcia, Enrique 5 items
McCracken, Michael W. 5 items
Verbrugge, Randal 5 items
Gospodinov, Nikolay 4 items
Groen, Jan J. J. 4 items
Pavlidis, Efthymios 4 items
Pesaran, M. Hashem 4 items
Sharifvaghefi, Mahrad 4 items
Crump, Richard K. 3 items
Goncalves, Silvia 3 items
Grossman, Valerie 3 items
Herrera, Ana María 3 items
Hizmeri, Rodrigo 3 items
Izzeldin, Marwan 3 items
Jordà, Òscar 3 items
Murphy, Anthony 3 items
Pesavento, Elena 3 items
Petrova, Katerina 3 items
Prono, Todd 3 items
Sekhposyan, Tatevik 3 items
Tsang, Kwok Ping 3 items
Tsionas, Mike G. 3 items
Adrian, Tobias 2 items
Arias, Jonas E. 2 items
Ascari, Guido 2 items
Borup, Daniel 2 items
Branzoli, Nicola 2 items
Bu, Ruijun 2 items
Castelnuovo, Efrem 2 items
Firestone, Simon 2 items
Francis, Neville 2 items
Godin, Nathan Y. 2 items
Goulet Coulombe, Philippe 2 items
Horvath, Akos 2 items
Jahan-Parvar, Mohammad R. 2 items
Kovner, Anna 2 items
Kuersteiner, Guido M. 2 items
Lopez Gaffney, Ignacio 2 items
Lunsford, Kurt Graden 2 items
McGillicuddy, Joseph 2 items
Montes Schütte, Erik Christian 2 items
Neely, Christopher J. 2 items
Rapach, David E. 2 items
Sagi, Jacob 2 items
Schwenk-Nebbe, Sander 2 items
Soques, Daniel 2 items
Szerszen, Pawel J. 2 items
Verbrugge, Randal J. 2 items
West, Kenneth D. 2 items
Wright, Jonathan H. 2 items
Adams, Patrick A. 1 items
Antzoulatos, Angelos A. 1 items
Argys, Laura 1 items
Aruoba, S. Boragan 1 items
Assa, Hirbod 1 items
Bartolini, Leonardo 1 items
Beltran, Daniel O. 1 items
Benigno, Gianluca 1 items
Berge, Travis J. 1 items
Bibinger, Markus 1 items
Boldin, Michael D. 1 items
Camacho, Maximo 1 items
Caspi, Itamar 1 items
Chang, Andrew C. 1 items
Choi, Chi-Young 1 items
Cook, Thomas R. 1 items
Diebold, Francis X. 1 items
Dobrev, Dobrislav 1 items
Doh, Taeyoung 1 items
Erdemlioglu, Deniz 1 items
Everaert, Miro 1 items
Fatum, Rasmus 1 items
Gargiulo, Valeria 1 items
Georgiadis, Georgios 1 items
Giorgianni, Lorenzo 1 items
Grover, Sean P. 1 items
Guisinger, Amy Y. 1 items
Gómez-González, José E. 1 items
Hjalmarsson, Erik 1 items
Hoesch, Lukas 1 items
Hundtofte , Sean 1 items
Hutchison, Michael M. 1 items
Jensen, Mark J. 1 items
Kapetanios, George 1 items
Kliesen, Kevin L. 1 items
Knipp, Charles 1 items
Mack, Adrienne 1 items
Magdalinos, Tassos 1 items
Martinez, Andrew 1 items
Martinez-Martin, Jaime 1 items
Matthes, Christian 1 items
Mboup, Fatima 1 items
Mroz, Thomas 1 items
Nalewaik, Jeremy J. 1 items
Nattinger, Michael 1 items
Ng, Serena 1 items
O'Trakoun, John 1 items
Ojeda-Joya, Jair N. 1 items
Paap, Richard 1 items
Paine, Fiona A. 1 items
Paya, Ivan 1 items
Peel, David 1 items
Pitts, M. Melinda 1 items
Plante, Michael D. 1 items
Ravazzolo, Francesco 1 items
Rey-Guerra, Catalina 1 items
Rich, Robert W. 1 items
Rogers, John H. 1 items
Rossi, Barbara 1 items
Rudebusch, Glenn D. 1 items
Shachar, Or 1 items
Shell, Hannah 1 items
Sicard, Natalia 1 items
Sinha, Nitish R. 1 items
Smallwood, Aaron 1 items
Strickler, Grant 1 items
Tallman, Ellis W. 1 items
Taylor, Alan M. 1 items
Tracy, Joseph 1 items
Vasilopoulos, Kostas 1 items
Winkelmann, Lars 1 items
Wu, Thomas 1 items
Xu, Jiawen 1 items
Yang, Xiye 1 items
Yusupova, Alisa 1 items
Zaman, Saeed 1 items
Zhao, Bo 1 items
http://fedora:8080/fcrepo/rest/objects/authors/ 1 items
show more (130)
show less
FILTER BY Jel Classification
C53 30 items
C32 18 items
C52 15 items
E37 14 items
E31 12 items
C12 11 items
C11 10 items
E52 8 items
C51 7 items
C58 7 items
G12 7 items
C55 6 items
E17 6 items
E32 6 items
C13 5 items
C14 5 items
C23 5 items
C15 4 items
E5 4 items
G21 4 items
R31 4 items
E00 3 items
E62 3 items
G10 3 items
G17 3 items
G18 3 items
C24 2 items
C44 2 items
C45 2 items
C87 2 items
D80 2 items
E27 2 items
E47 2 items
E51 2 items
E58 2 items
F31 2 items
G01 2 items
G1 2 items
R21 2 items
R30 2 items
R38 2 items
C01 1 items
C18 1 items
C20 1 items
C26 1 items
C54 1 items
C80 1 items
E01 1 items
E21 1 items
E3 1 items
E30 1 items
E39 1 items
E43 1 items
E44 1 items
E60 1 items
F01 1 items
F47 1 items
G11 1 items
G13 1 items
G14 1 items
G15 1 items
G28 1 items
H20 1 items
H71 1 items
J15 1 items
Q40 1 items
Q43 1 items
Q54 1 items
R12 1 items
show more (65)
show less
FILTER BY Keywords
local projections 7 items
Forecasting 7 items
quantile regressions 7 items
monetary policy 6 items
Model Averaging 5 items
inflation 5 items
structural breaks 5 items
variable selection 5 items
instrumental variables 5 items
NAIRU 4 items
one covariate at a time multiple testing (OCMT) 4 items
Realized Volatility 4 items
impulse response 4 items
loss function 4 items
persistence dependence 4 items
Phillips curve 3 items
Signed Jumps 3 items
Volatility Forecasts 3 items
high-dimensionality 3 items
impulse responses 3 items
overheating 3 items
recession gap 3 items
threshold regressions 3 items
Mildly explosive time series 3 items
Regular variation 3 items
Taylor rule 3 items
macroeconomic forecasting 3 items
real-time data 3 items
Bayesian methods 2 items
Finite Activity Jumps 2 items
Global Financial Crisis 2 items
Great Inflation 2 items
Implied volatility 2 items
Infinite Activity Jumps 2 items
Kalman filter 2 items
Lending standards 2 items
Loan underwriting 2 items
Mixed-frequency estimation 2 items
Mortgages 2 items
Noise-Robust Realized Volatility 2 items
Nowcasting 2 items
Qual-VAR 2 items
R 2 items
Real estate finance 2 items
Right-tailed unit root tests 2 items
Shapley value 2 items
Stacked vector autoregression 2 items
Time-varying parameters 2 items
Trend-cycle decomposition 2 items
Vector autoregression 2 items
capital ratios 2 items
conditional forecasts 2 items
density forecasts 2 items
determinacy 2 items
generalized impulse response functions 2 items
growth-at-risk 2 items
identification 2 items
joint inference 2 items
machine learning 2 items
multiple testing 2 items
oil shocks 2 items
persistence 2 items
recession 2 items
spectral regression 2 items
threshold models 2 items
trigonometric basis functions 2 items
Heavy Tails 2 items
High-frequency data 2 items
Inflation forecasting 2 items
Intermediate Target 2 items
Outliers 2 items
Panel data 2 items
Time Variation 2 items
Trend inflation 2 items
Uncertainty 2 items
(weak) factor models 1 items
ARCH 1 items
ARMA Models 1 items
Bayes 1 items
Bayesian VAR 1 items
Bayesian analysis 1 items
Bayesian estimation 1 items
Bayesian model averaging 1 items
Bayesian ridge regression 1 items
Blocking model 1 items
COVID-19 1 items
Cauchy distribution 1 items
China 1 items
Closed Form Estimation 1 items
Closed form 1 items
Colombia 1 items
Core PCE prices 1 items
Credit 1 items
Credit Gap 1 items
DSGE models 1 items
Downside risk 1 items
Dynamic Model Averaging 1 items
Dynamic Panel Logit Model 1 items
ECM 1 items
Factor model 1 items
Federal Open Market Committee (FOMC) news 1 items
Financial Spillovers 1 items
Finite Jumps 1 items
Forecast efficiency 1 items
GARCH 1 items
GARCH Models 1 items
GDP growth rate 1 items
GFESM 1 items
GMM 1 items
Haar prior 1 items
Heavy tail 1 items
Huberization 1 items
Infinite Jumps 1 items
Inflation expectations 1 items
Information Channel of Monetary Policy 1 items
Instabilities 1 items
International Housing Markets 1 items
Kitagawa decomposition 1 items
Lasso 1 items
Long-horizon regressions 1 items
MIDAS 1 items
Macroeconomic Time Series 1 items
Markov chain Monte Carlo 1 items
Markov-switching 1 items
Maximum likelihood estimation 1 items
Missing data 1 items
Mixed frequencies 1 items
Monte Carlo integration 1 items
NEPPC 1 items
Natural Rate 1 items
Noise-Robust Volatility 1 items
Online forecasting 1 items
Optimization 1 items
Out-of-sample forecasting 1 items
Overdifferenced 1 items
Panel data model 1 items
Parameter uncertainty 1 items
Pareto tails 1 items
Phillips correlations 1 items
Prediction 1 items
Predictive Power 1 items
Predictive regressions 1 items
Prior 1 items
Quantile regression 1 items
Randomization 1 items
Real interest rate 1 items
Right-Tailed Unit-Root Tests 1 items
Robustness 1 items
Sea ice extent 1 items
Sequential Monte Carlo methods 1 items
Simulation 1 items
Stock return predictability 1 items
Survey Forecasts 1 items
Survey of Professional Forecasters (SPF) 1 items
Threshold GARCH 1 items
Two stage least squares 1 items
U.S. cities 1 items
Unconventional policies 1 items
Unemployment 1 items
VAR models 1 items
Wage Inflation 1 items
Weather 1 items
Wild Bootstrap 1 items
absolute loss 1 items
alternative growth indicator 1 items
asset pricing 1 items
asymptotic normality 1 items
autoregression 1 items
bias 1 items
bootstrap 1 items
business cycle 1 items
business sentiment 1 items
censored regressor 1 items
climate change 1 items
climate models 1 items
climate prediction 1 items
climate trends 1 items
cluster-robust variance estimation 1 items
cointegration 1 items
cojumps 1 items
conditional heteroskedasticity 1 items
confidence bands 1 items
consumption 1 items
core inflation 1 items
corporate bond liquidity 1 items
credit supply 1 items
crude oil price differentials 1 items
cryospheric science 1 items
dependence 1 items
disaggregated inflation forecasting models 1 items
economic activity 1 items
employment data 1 items
entropy 1 items
estimation and inference 1 items
event studies 1 items
expectations 1 items
explosive autoregression 1 items
financial conditions 1 items
forecast interval 1 items
foreign exchange rates 1 items
fractional integration 1 items
frequency dependence 1 items
frequency-dependence 1 items
generalized information equality 1 items
generalized lambda distribution 1 items
hedging 1 items
heterogeneous treatment effects 1 items
high time-series persistence and spurious regressions 1 items
house prices 1 items
housing price bubbles 1 items
imperfect markets 1 items
impulse response functions 1 items
income 1 items
inference 1 items
infinite variance 1 items
inflation dynamics 1 items
inflation persistence 1 items
inflation predictions 1 items
jump intensity 1 items
lag augmentation 1 items
leave-one-out frequency approach 1 items
leave-one-out jackknife 1 items
linear process 1 items
liquidity uncertainty 1 items
log determinant 1 items
log score 1 items
long-memory 1 items
low frequency 1 items
macroeconomic data 1 items
macroeconomic uncertainty 1 items
market microstructure 1 items
market-wide jumps 1 items
mean response function 1 items
mean square error 1 items
mean-reverting 1 items
median 1 items
median response function 1 items
mixingale 1 items
modal model 1 items
model interpretation 1 items
model uncertainty 1 items
monetary policy announcements 1 items
money demand 1 items
multiplier 1 items
multipliers 1 items
natural rates 1 items
news impact 1 items
non-Gaussian errors 1 items
non-invertibility 1 items
nonlinear VAR 1 items
nonlinear responses 1 items
nonlinear structural model 1 items
nonlinear time series models 1 items
nonlinear transformation 1 items
oil 1 items
optimal pools 1 items
orthogonalization 1 items
out-of-sample performance 1 items
parameter instability 1 items
partial least squares 1 items
point forecasts 1 items
policy evaluation 1 items
posterior 1 items
potential outcomes model 1 items
predictor importance 1 items
price jump 1 items
pricing rule 1 items
principal components 1 items
racial disparities 1 items
racial stratification 1 items
regime switching models 1 items
regime-dependence 1 items
regression diagnostic 1 items
relative contributions of different frequencies 1 items
revenue forecasting 1 items
risk measures 1 items
sandwich form covariance 1 items
seasonal adjustment 1 items
seemingly related regression 1 items
set-identification 1 items
shocks 1 items
sign restrictions 1 items
simulation-based estimation 1 items
slowdown 1 items
state tax revenues 1 items
state-dependence 1 items
state-dependent impulse responses 1 items
stationarity 1 items
stock returns 1 items
strong time-series and cross-sectional dependence 1 items
structural models 1 items
systemic risk 1 items
tail risks 1 items
temporal aggregation 1 items
threshold 1 items
time-varying 1 items
time-varying tail risk 1 items
trade policy 1 items
trend-cycle model 1 items
triangular array 1 items
unemployment rate 1 items
uniform inference 1 items
unit-root tests 1 items
variable importance 1 items
volatility jump. 1 items
wavelets 1 items
show more (328)
show less