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Working Paper
Time-varying Uncertainty of the Federal Reserve’s Output Gap Estimate
Berge, Travis J.
(2021-04-14)
A factor stochastic volatility model estimates the common component to estimates of the output gap produced by the staff of the Federal Reserve, its time-varying volatility, and time-varying, horizon-specific forecast uncertainty. Output gap estimates are very uncertain, even well after the fact, especially at business cycle turning points. However, the common component of the output gap estimates is clearly procyclical, and innovations to the common factor produce persistent positive effects on economic activity. Output gaps estimated by the Congressional Budget Office have very similar ...
Finance and Economics Discussion Series
, Paper 2020-012r1
Report
800,000 Years of Climate Risk
Adrian, Tobias; Boyarchenko, Nina; Giannone, Domenico; Prasad, Ananthakrishnan; Seneviratne, Dulani; Xiao, Yanzhe
(2022-09-01)
We use a long history of global temperature and atmospheric carbon dioxide (CO2) concentration to estimate the conditional joint evolution of temperature and CO2 at a millennial frequency. We document three basic facts. First, the temperature–CO2 dynamics are non-linear, so that large deviations in either temperature or CO2 concentrations take a long time to correct–on the scale of multiple millennia. Second, the joint dynamics of temperature and CO2 concentrations exhibit multimodality around historical turning points in temperature and concentration cycles, so that prior to the start of ...
Staff Reports
, Paper 1031
Working Paper
Forecast Combination for Euro Area Inflation - A Cure in Times of Crisis?
Hubrich, Kirstin; Skudelny, Frauke
(2016-08)
The period of extraordinary volatility in euro area headline inflation starting in 2007 raised the question whether forecast combination methods can be used to hedge against bad forecast performance of single models during such periods and provide more robust forecasts. We investigate this issue for forecasts from a range of short-term forecasting models. Our analysis shows that there is considerable variation of the relative performance of the different models over time. To take that into account we suggest employing performance-based forecast combination methods, in particular one with more ...
Finance and Economics Discussion Series
, Paper 2016-104
Working Paper
Dividend Momentum and Stock Return Predictability: A Bayesian Approach
Antolin-Diaz, Juan; Petrella, Ivan; Rubio-Ramirez, Juan F.
(2021-11-10)
A long tradition in macro finance studies the joint dynamics of aggregate stock returns and dividends using vector autoregressions (VARs), imposing the cross-equation restrictions implied by the Campbell-Shiller (CS) identity to sharpen inference. We take a Bayesian perspective and develop methods to draw from any posterior distribution of a VAR that encodes a priori skepticism about large amounts of return predictability while imposing the CS restrictions. In doing so, we show how a common empirical practice of omitting dividend growth from the system amounts to imposing the extra ...
FRB Atlanta Working Paper
, Paper 2021-25
Working Paper
Real-Time Forecasting with a Large, Mixed Frequency, Bayesian VAR
Owyang, Michael T.; McCracken, Michael W.; Sekhposyan, Tatevik
(2015-10-08)
We assess point and density forecasts from a mixed-frequency vector autoregression (VAR) to obtain intra-quarter forecasts of output growth as new information becomes available. The econometric model is specified at the lowest sampling frequency; high frequency observations are treated as different economic series occurring at the low frequency. We impose restrictions on the VAR to account explicitly for the temporal ordering of the data releases. Because this type of data stacking results in a high-dimensional system, we rely on Bayesian shrinkage to mitigate parameter proliferation. The ...
Working Papers
, Paper 2015-30
Working Paper
Tests of Conditional Predictive Ability: A Comment
McCracken, Michael W.
(2019-07-29)
We investigate a test of equal predictive ability delineated in Giacomini and White (2006; Econometrica). In contrast to a claim made in the paper, we show that their test statistic need not be asymptotically Normal when a fixed window of observations is used to estimate model parameters. An example is provided in which, instead, the test statistic diverges with probability one under the null. Simulations reinforce our analytical results.
Working Papers
, Paper 2019-18
Working Paper
exuber: Recursive Right-Tailed Unit Root Testing with R
http://fedora:8080/fcrepo/rest/objects/authors/; Martinez-Garcia, Enrique; Pavlidis, Efthymios
(2020-05-12)
This paper introduces the R package exuber for testing and date-stamping periods of mildly explosive dynamics (exuberance) in time series. The package computes test statistics for the supremum ADF test (SADF) of Phillips, Wu and Yu (2011), the generalized SADF (GSADF) of Phillips, Shi and Yu (2015a,b), and the panel GSADF proposed by Pavlidis, Yusupova, Paya, Peel, Martínez-García, Mack and Grossman (2016); generates finite-sample critical values based on Monte Carlo and bootstrap methods; and implements the corresponding date-stamping procedures. The recursive least-squares algorithm that ...
Globalization Institute Working Papers
, Paper 383
Working Paper
Nowcasting U.S. Headline and Core Inflation
Zaman, Saeed; Knotek, Edward S.
(2014-05-01)
Forecasting future inflation and nowcasting contemporaneous inflation are difficult. We propose a new and parsimonious model for nowcasting headline and core inflation in the U.S. price index for personal consumption expenditures (PCE) and the consumer price index (CPI). The model relies on relatively few variables and is tested using real-time data. The model?s nowcasting accuracy improves as information accumulates over the course of a month or quarter, and it easily outperforms a variety of statistical benchmarks. In head-to-head comparisons, the model?s nowcasts of CPI infl ation ...
Working Papers (Old Series)
, Paper 1403
Working Paper
Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics
Mitchell, James; Zhu, Dan; Poon, Aubrey
(2023-04-11)
Quantile regression methods are increasingly used to forecast tail risks and uncertainties in macroeconomic outcomes. This paper reconsiders how to construct predictive densities from quantile regressions. We compare a popular two-step approach that fits a specific parametric density to the quantile forecasts with a nonparametric alternative that lets the "data speak." Simulation evidence and an application revisiting GDP growth uncertainties in the US demonstrate the flexibility of the nonparametric approach when constructing density forecasts from both frequentist and Bayesian quantile ...
Working Papers
, Paper 22-12R
Report
Economic predictions with big data: the illusion of sparsity
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E.
(2018-04-01)
We compare sparse and dense representations of predictive models in macroeconomics, microeconomics, and finance. To deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The posterior distribution does not typically concentrate on a single sparse or dense model, but on a wide set of models. A clearer pattern of sparsity can only emerge when models of very low dimension are strongly favored a priori.
Staff Reports
, Paper 847
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commodity futures 1 items
common factor 1 items
conditional forecasting 1 items
consumption 1 items
consumption spending 1 items
convenience yields 1 items
copula 1 items
core inflation 1 items
cryospheric science 1 items
data collection and modeling 1 items
default prediction 1 items
density combinations 1 items
density nowcasts 1 items
disaggregate unemployment 1 items
disaggregated inflation forecasting models 1 items
distressed properties 1 items
economic forecasting 1 items
efficient probit estimator 1 items
exchange rate forecasting 1 items
exchange rates 1 items
expert forecast 1 items
financial conditions index 1 items
financial frictions 1 items
financial stability 1 items
financial variables 1 items
forecast aggregation 1 items
forecast combinations 1 items
forecast errors 1 items
forecast performance 1 items
forecasting from VARs 1 items
forecasting out-of-sample 1 items
forward guidance 1 items
government bonds 1 items
growth 1 items
heterogeneous expectations 1 items
heteroskedasticity 1 items
high dimensional data 1 items
high frequency 1 items
high-dimensional data 1 items
imperfect information 1 items
inflation expectations measures 1 items
inflation uncertainty 1 items
joint predictive distribution 1 items
judgmental forecasts 1 items
leading indicators 1 items
linear prediction pools 1 items
log determinant 1 items
log score 1 items
macroeconometric forecasting 1 items
macroeconomic data 1 items
macroeconomics 1 items
macroeconomy 1 items
market forecast 1 items
mean square error 1 items
mixed-frequency Bayesian vector autoregression 1 items
model combination 1 items
model interpretation 1 items
model selection 1 items
model uncertainty 1 items
models 1 items
monitoring economic conditions 1 items
multimodality 1 items
national income and product accounts 1 items
natural rates 1 items
news 1 items
no arbitrage 1 items
non-Gaussian models 1 items
nonlinear state space model 1 items
nonlinearities 1 items
nonparametric regressions 1 items
normal mixtures 1 items
nowcasts 1 items
optimal allocation 1 items
optimal transport 1 items
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