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Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach

Bognanni, Mark; Herbst, Edward - Federal Reserve Bank of Cleveland - 2014

Vector autoregressions with Markov-switching parameters (MS-VARs) offer dramatically better data fit than their constant-parameter predecessors. However, computational complications, as well as negative results about the importance of switching in parameters other than shock variances, have...

Persistent link: https://www.econbiz.de/10010961575

Nowcasting U.S. Headline and Core Inflation

Knotek, Edward S. Knotek, II; Zaman, Saeed - Federal Reserve Bank of Cleveland - 2014

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 … and PCE inflation also significantly outperform those from the Survey of Professional Forecasters, with similar nowcasting …

Persistent link: https://www.econbiz.de/10011114917

Independent within—not of—Government: The Emergence of the Federal Reserve as a Modern Central Bank

Humpage, Owen F. - Federal Reserve Bank of Cleveland - 2014

Independence is the hallmark of modern central banks, but independence is a mutable and fragile concept, because the governments to whom central banks are ultimately responsible can have objectives that take precedence over price stability. This paper traces the Federal Reserve’s emergence as...

Persistent link: https://www.econbiz.de/10011114901