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Keywords:real-time data 

Working Paper
On the Real-Time Predictive Content of Financial Conditions Indices for Growth

We provide evidence on the real-time predictive content of the National Financial Conditions Index (NFCI), for conditional quantiles of U.S. real GDP growth. Our work is distinct from the literature in two specific ways. First, we construct (unofficial) real-time vintages of the NFCI. This allows us to conduct out-of-sample analysis without introducing the kind of look-ahead biases that are naturally introduced when using a single current vintage. We then develop methods for conducting asymptotic inference on tests of equal tick loss between nested quantile regression models when the data are ...
Working Papers , Paper 2022-003

Working Paper
Bootstrapping out-of-sample predictability tests with real-time data

In this paper we develop a block bootstrap approach to out-of-sample inference when real-time data are used to produce forecasts. In particular, we establish its first-order asymptotic validity for West-type (1996) tests of predictive ability in the presence of regular data revisions. This allows the user to conduct asymptotically valid inference without having to estimate the asymptotic variances derived in Clark and McCracken’s (2009) extension of West (1996) when data are subject to revision. Monte Carlo experiments indicate that the bootstrap can provide satisfactory finite sample size ...
Working Papers , Paper 2023-029

Working Paper
The Accuracy of Forecasts Prepared for the Federal Open Market Committee

We analyze forecasts of consumption, nonresidential investment, residential investment, government spending, exports, imports, inventories, gross domestic product, inflation, and unemployment prepared by the staff of the Board of Governors of the Federal Reserve System for meetings of the Federal Open Market Committee from 1997 to 2008, called the Greenbooks. We compare the root mean squared error, mean absolute error, and the proportion of directional errors of Greenbook forecasts of these macroeconomic indicators to the errors from three forecasting benchmarks: a random walk, a first-order ...
Finance and Economics Discussion Series , Paper 2015-62

Working Paper
Forecasting GDP Growth with NIPA Aggregates

Beyond GDP, which is measured using expenditure data, the U.S. national income and product accounts (NIPAs) provide an income-based measure of the economy (gross domestic income, or GDI), a measure that averages GDP and GDI, and various aggregates that include combinations of GDP components. This paper compiles real-time data on a variety of NIPA aggregates and uses these in simple time-series models to construct out-of-sample forecasts for GDP growth. Over short forecast horizons, NIPA aggregates?particularly consumption and GDP less inventories and trade?together with these simple ...
Working Papers (Old Series) , Paper 1708

Working Paper
Growth-at-Risk is Investment-at-Risk

We investigate the role financial conditions play in the composition of U.S. growth-at-risk. We document that, by a wide margin, growth-at-risk is investment-at-risk. That is, if financial conditions indicate U.S. real GDP growth will be in the lower tail of its conditional distribution, we know that the main contributor is a decline in investment. Consumption contributes under extreme financial stress. Government spending and net exports do not play a role. We show that leverage plays a key role in determining both consumption- and investment-at-risk, which provides support to the financial ...
Working Papers , Paper 2023-020

Working Paper
Frequency Dependence in a Real-Time Monetary Policy Rule

We estimate a monetary policy rule for the US allowing for possible frequency dependence?i.e., allowing the central bank to respond differently to more persistent innovations than to more transitory innovations, in both the unemployment rate and the inflation rate. Our estimation method uses real-time data in these rates?as did the FOMC?and requires no a priori assumptions on the pattern of frequency dependence or on the nature of the processes generating either the data or the natural rate of unemployment. Unlike other approaches, our estimation method allows for possible feedback in the ...
Working Papers (Old Series) , Paper 1430

Working Paper
On the Real-Time Predictive Content of Financial Conditions Indices for Growth

We provide evidence on the real-time predictive content of the National Financial Conditions Index (NFCI), for conditional quantiles of U.S. real GDP growth. Our work is distinct from the literature in two specific ways. First, we construct (unofficial) real-time vintages of the NFCI. This allows us to conduct out-of-sample analysis without introducing the kind of look-ahead biases that are naturally introduced when using a single current vintage. We then develop methods for conducting asymptotic inference on tests of equal tick loss between nested quantile regression models when the data are ...
Working Papers , Paper 2022-003

Working Paper
Combining Survey Long-Run Forecasts and Nowcasts with BVAR Forecasts Using Relative Entropy

This paper constructs hybrid forecasts that combine both short- and long-term conditioning information from external surveys with forecasts from a standard fixed-coefficient vector autoregression (VAR) model. Specifically, we use relative entropy to tilt one-step ahead and long-horizon VAR forecasts to match the nowcast and long-horizon forecast from the Survey of Professional Forecasters. The results indicate meaningful gains in multi-horizon forecast accuracy relative to model forecasts that do not incorporate long-term survey conditions. The accuracy gains are achieved for a range of ...
Working Papers (Old Series) , Paper 1809

Working Paper
Two Measures of Core Inflation: A Comparison

Trimmed-mean Personal Consumption Expenditure (PCE) inflation does not clearly dominate ex-food-and-energy PCE inflation in real-time forecasting of headline PCE inflation. However, trimmed-mean inflation is the superior communications and policy tool because it is a less-biased real-time estimator of headline inflation and because it more successfully filters out headline inflation?s transitory variation, leaving only cyclical and trend components.
Working Papers , Paper 1903

Working Paper
The Labor Market Impact of a Pandemic: Validation and Application of a Do-It-Yourself CPS

The Current Population Survey (CPS) is a central source of U.S. labor market data. We show that, for a few thousand dollars, researchers can quickly design and implement their own online survey to supplement the CPS. The survey closely follows core features of the CPS, ensuring that outcomes are conceptually compatible and allowing researchers to weight and validate results using the official CPS. Yet the survey also allows for faster data collection, added flexibility and novel questions. We show that the survey provided useful estimates of U.S. labor market aggregates several weeks ahead of ...
Working Papers , Paper 2031

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