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Working Paper
Forecasting Low Frequency Macroeconomic Events with High Frequency Data
High-frequency financial and economic indicators are usually time-aggregated before computing forecasts of macroeconomic events, such as recessions. We propose a mixed-frequency alternative that delivers high-frequency probability forecasts (including their confidence bands) for low-frequency events. The new approach is compared with single-frequency alternatives using loss functions for rare-event forecasting. We find: (i) the weekly-sampled spread improves over the monthly-sampled to predict NBER recessions, (ii) the predictive content of financial variables is supplementary to economic ...
Speech
Exploring Economic Conditions and the Implications for Monetary Policy
Eric Rosengren’s comments were delivered at the Boston Fed’s Annual Regional & Community Bankers Conference, and were a based on a speech he delivered on October 11, 2019.
Speech
Exploring Economic Conditions and the Implications for Monetary Policy
I would note that after two recent rate easings of 25 basis points each, monetary policy is already accommodative. Sustaining growth at potential depends on the U.S. consumer continuing to offset the weakness we are seeing in exports and business fixed investment. To me, it seems appropriate to continue to closely monitor incoming data to determine if the forecast of growth around potential is likely to be achieved, or if the risks I have outlined are indeed materializing.While the risks to the global and U.S. economies remain, there are also risks to easing too aggressively, as I’ve ...
Working Paper
Forecasting Low Frequency Macroeconomic Events with High Frequency Data
High-frequency financial and economic activity indicators are usually time aggregated before forecasts of low-frequency macroeconomic events, such as recessions, are computed. We propose a mixed-frequency modelling alternative that delivers high-frequency probability forecasts (including their confidence bands) for these low-frequency events. The new approach is compared with single-frequency alternatives using loss functions adequate to rare event forecasting. We provide evidence that: (i) weekly-sampled spread improves over monthly-sampled to predict NBER recessions, (ii) the predictive ...