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Working Paper
Assessing the macroeconomic impact of bank intermediation shocks: a structural approach
Chen, Kaiji; Zha, Tao (2015-08-01)
We take a structural approach to assessing the empirical importance of shocks to the supply of bank-intermediated credit in affecting macroeconomic fluctuations. First, we develop a theoretical model to show how credit supply shocks can be transmitted into disruptions in the production economy. Second, we use the unique micro-banking data to identify and support the model's key mechanism. Third, we find that the output effect of credit supply shocks is not only economically and statistically significant but also consistent with the vector autogression evidence. Our mode estimation indicates ...
FRB Atlanta Working Paper , Paper 2015-8

Working Paper
The Anatomy of Financial Vulnerabilities and Crises
Lee, Seung Jung; Posenau, Kelly E.; Stebunovs, Viktors (2017-02)
We extend the framework used in Aikman, Kiley, Lee, Palumbo, and Warusawitharana (2015) that maps vulnerabilities in the U.S. financial system to a broader set of advanced and emerging economies. Our extension tracks a broader set of vulnerabilities and, therefore, captures signs of different types of crises. The typical anatomy of the evolution of vulnerabilities before and after a financial crisis is as follows. Pressures in asset valuations materialize, and a build-up of imbalances in the external, financial, and nonfinancial sectors follows. A financial crisis is typically followed by a ...
International Finance Discussion Papers , Paper 1191

Working Paper
Climate Shocks in the Anthropocene Era: Should Net Domestic Product Reflect Climate Disasters?
Nakamura, Leonard I.; Sliker, Brian (2025-01-07)
The asset costs of natural disasters in the United States grew rapidly from 1980 to 2023, with the trend rising 4.9 percent annually in real terms to $90 billion in 2023. Much of this trend in costs is likely due to climate change and, as a loss of assets, implies a faster depreciation of real assets. We argue that the expected depreciation from these events should be included in Consumption of Fixed Capital (CFC), leading to lower levels and slightly lower growth rates for Net Domestic Product (NDP) and Net Domestic Investment. We use Poisson pseudo-maximum-likelihood regressions to estimate ...
Working Papers , Paper 25-01

Working Paper
Is China fudging its figures? Evidence from trading partner data
Spiegel, Mark M.; Fernald, John G.; Hsu, Eric (2015-09-21)
How reliable are China?s GDP and other data? We address this question by using trading-partner exports to China as an independent measure of its economic activity from 2000-2014. We find that the information content of Chinese GDP improves markedly after 2008. We also consider a number of plausible, non-GDP indicators of economic activity that have been identified as alternative Chinese output measures. We find that activity factors based on the first principal component of sets of indicators are substantially more informative than GDP alone. The index that best matches activity in-sample ...
Working Paper Series , Paper 2015-12

Working Paper
Climate Shocks in the Anthropocene Era: Should Net Domestic Product Be Affected by Climate Disasters
Nakamura, Leonard I.; Sliker, Brian (2023-10-30)
The monetary costs of weather and climate disasters in the U.S. have grown rapidly from 1980 to 2022, rising more than 5 percent in real terms annually. Much of this real growth in costs is likely due to climate change. Regardless of its cause, these costs imply a faster depreciation of real assets. We argue that the expected depreciation from these events could be included in the consumption of fixed capital, leading to lower levels, and slightly lower growth rates, for net domestic product (NDP). We use Poisson pseudo-maximum-likelihood regressions to estimate this expectation and to ...
Working Papers , Paper 23-24

Working Paper
Database of global economic indicators (DGEI): a methodological note
Grossman, Valerie; Mack, Adrienne; Martinez-Garcia, Enrique (2013-12-31)
The Database of Global Economic Indicators (DGEI) from the Federal Reserve Bank of Dallas is aimed at standardizing and disseminating world economic indicators for policy analysis and scholarly work on the role of globalization. The purpose of DGEI is to offer a broad perspective on how economic developments around the world influence the U.S. economy with a wide selection of indicators. DGEI is automated within an Excel-VBA and E-views framework for the processing and aggregation of multiple country time series. It includes a core sample of 40 countries with available indicators and broad ...
Globalization Institute Working Papers , Paper 166

Working Paper
The system of national accounts and alternative economic perspectives
Nakamura, Leonard I.; Nakamura, Alice O. (2015-09-01)
Brent Moulton and Nicole Mayerhauser (2015) point out that, for more than 50 years, economists have featured the concept of human capital in their models of labor, growth, productivity, and distribution of income. The authors recommend the addition to the System of National Accounts (SNA) of supplemental person-level accounts: i.e., a System of Person Accounts (SPA). They see this as the best way of recognizing the processes of human capital creation as well as related issues of how income is distributed among individuals and families. The authors argue that this change would support three ...
Working Papers , Paper 15-32

Working Paper
Raiders of the Lost High-Frequency Forecasts: New Data and Evidence on the Efficiency of the Fed's Forecasting
Chang, Andrew C.; Levinson, Trace J. (2020-10-23)
We introduce a new dataset of real gross domestic product (GDP) growth and core personal consumption expenditures (PCE) inflation forecasts produced by the staff of the Board of Governors of the Federal Reserve System. In contrast to the eight Greenbook forecasts a year the staff produces for Federal Open Market Committee (FOMC) meetings, our dataset has roughly weekly forecasts. We use these new data to study whether the staff forecasts efficiently and whether efficiency, or lack thereof, is time-varying. Prespecified regressions of forecast errors on forecast revisions show that the staff's ...
Finance and Economics Discussion Series , Paper 2020-090

Working Paper
Communicating Data Uncertainty: Multi-Wave Experimental Evidence for UK GDP
Galvão, Ana B.; Mitchell, James (2021-12-23)
Economic statistics are commonly published without any explicit indication of their uncertainty. To assess if and how the UK public interprets and understands data uncertainty, we conduct two waves of a randomized controlled online experiment. A control group is presented with the headline point estimate of GDP, as emphasized by the statistical office. Treatment groups are then presented with alternative qualitative and quantitative communications of GDP data uncertainty. We find that most of the public understands that uncertainty is inherent in official GDP numbers. But communicating ...
Working Papers , Paper 21-28

Working Paper
Is China Fudging Its GDP Figures? Evidence from Trading Partner Data
Spiegel, Mark M.; Fernald, John G.; Hsu, Eric (2019-09-04)
We propose using imports, measured as reported exports of trading partners, as an alternative benchmark to gauge the accuracy of alternative Chinese indicators (including GDP) of fluctuations in economic activity. Externally-reported imports are likely to be relatively well measured, as well as free from domestic manipulation. Using principal components, we derive activity indices from a wide range of indicators and examine their fit to (trading-partner reported) imports. We choose a preferred index of eight non-GDP indicators (which we call the China Cyclical Activity Tracker, or C-CAT). ...
Working Paper Series , Paper 2019-19

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