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Working Paper
Real-time model uncertainty in the United States: the Fed from 1996-2003
Tetlow, Robert J.; Ironside, Brian (2006)
We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and policy analysis. To do this, we exploit archives of the model code, coefficients, baseline databases and stochastic shock sets stored after each FOMC meeting from the model's inception in July 1996 until November 2003. The period of study was one of important changes in the U.S. economy with a productivity boom, a stock market boom and bust, a recession, the Asia crisis, the Russian debt default, and an abrupt change in fiscal policy. We document the surprisingly large and ...
Finance and Economics Discussion Series , Paper 2006-08

Working Paper
Uncertainty, Curreny Exess Returns, and Risk Reversals
Sun, Bo; Rogers, John H.; Husted, Lucas F. (2017-02)
In this paper we provide strong evidence that heightened uncertainty in the U.S. real economy or financial markets significantly raises excess returns to the currency carry trade. We posit that this works through the influence of uncertainty on global investors' risk preferences. Macro and financial uncertainty also lower foreign exchange risk reversals, an effect that is particularly strong for high interest rate portfolios. Our results are consistent with the idea that an increase in uncertainty regarding the U.S. economy or financial markets increases investors' risk aversion, which in ...
International Finance Discussion Papers , Paper 1196

Conference Paper
Implications of a changing economic structure for the strategy of monetary policy
Walsh, Carl E. (2003)
Proceedings - Economic Policy Symposium - Jackson Hole

Speech
Challenges facing the U.S. economy and financial system
Checki, Terrence J. (2010)
Remarks at the Economic Club of New York, New York City.
Speech , Paper 39

Conference Paper
Certainty equivalence - discussion
Wieland, Volker W. (2005)
Proceedings

Working Paper
Risk, uncertainty, and asset prices
Bekaert, Geert; Engstrom, Eric; Xing, Yuhang (2005)
We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices, and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient asset market phenomena. While the variation in dividend yields and the equity risk premium is primarily driven by ...
Finance and Economics Discussion Series , Paper 2005-40

Speech
Testimony on housing finance reform: essential elements of a government guarantee for mortgage-backed securities
Tracy, Joseph (2013)
Testimony before the U.S. Senate Committee on Banking, Housing and Urban Affairs, Washington, D.C.
Speech , Paper 122

Report
Estimating a structural model of herd behavior in financial markets
Cipriani, Marco; Guarino, Antonio (2012)
We develop a new methodology for estimating the importance of herd behavior in financial markets. Specifically, we build a structural model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the model using 1995 stock market data for Ashland Inc., a company listed on the New York Stock Exchange. Herding occurs often and is particularly pervasive on certain days. In an information-event day, on average, 2 percent (4 percent) of informed traders herd-buy (sell). In 7 percent ...
Staff Reports , Paper 561

Speech
Output gaps and robust policy rules : a speech at the 2010 European Banking & Financial Forum, Czech National Bank, Prague, The Czech Republic, March 23, 2010
Plosser, Charles I. (2010-03-23)
Presented by Charles I. Plosser, President and Chief Executive Officer, Federal Reserve Bank of Philadelphia> 2010 European Banking & Financial Forum, Czech National Bank, Prague, The Czech Republic, March 23, 2010
Speech , Paper 36

Working Paper
A Closer Look at the Behavior of Uncertainty and Disagreement: Micro Evidence from the Euro Area
Tracy, Joseph; Rich, Robert W. (2018-07-24)
This paper examines point and density forecasts of real GDP growth, inflation and unemployment from the European Central Bank?s Survey of Professional Forecasters. We present individual uncertainty measures and introduce individual point- and density-based measures of disagreement. The data indicate substantial heterogeneity and persistence in respondents? uncertainty and disagreement, with uncertainty associated with prominent respondent effects and disagreement associated with prominent time effects. We also examine the co-movement between uncertainty and disagreement and find an ...
Working Papers , Paper 1811

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