Showing 1 - 10 of 19
This paper re-examines the ability of sticky-price models to generate volatile and persistent real exchange rates. We use a DSGE framework with pricing-to-market akin to those in Chari, et al. (2002) and Steinsson (2008) to illustrate the link between real exchange rate dynamics and what the...
Persistent link: https://www.econbiz.de/10005367958
This technical note is developed as a mathematical companion to the paper "The Real Exchange Rate in Sticky Price Models: Does Investment Matter?" (Institute working paper no. 17). It contains three basic calculations. First, we derive the equilibrium conditions of the model. Second, we compute...
Persistent link: https://www.econbiz.de/10005367963
Persistent link: https://www.econbiz.de/10005346051
and forecasting time series of economic functions. The underlying, continuous economic function (or "signal") is a natural … its dynamics as the cross-sectional dimension N becomes large, and can feasibly be estimated and used for forecasting when … forecasting 36-dimensional yield curves for US Treasury bonds at the one month ahead horizon. The method consistently outperforms …
Persistent link: https://www.econbiz.de/10005346105
Recent studies document the deteriorating performance of forecasting models during the Great Moderation. This …
Persistent link: https://www.econbiz.de/10009321088
Ongoing economic globalization makes real-time international data increasingly relevant, though little work has been done on collecting and analyzing real-time data for economies other than the U.S. In this paper, we introduce and examine a new international real-time dataset assembled from...
Persistent link: https://www.econbiz.de/10009366928
This paper investigates the forecasting accuracy of the trimmed mean inflation rate of the Personal Consumption … Expenditure (PCE) deflator. Earlier works have examined the forecasting ability of limited-influence estimators (trimmed means and …
Persistent link: https://www.econbiz.de/10010554999
Remarks given to a conference organized by the Federal Reserve Banks of Dallas and Cleveland, Dallas, Texas, May 24, 2007 ; "One of our main criticisms here at the Dallas Fed of much of the core inflation literature is that it lacks theoretical coherence. It reminds me of the time-honored saying...
Persistent link: https://www.econbiz.de/10010726020
Remarks before the New York Association for Business Economics, New York, November 2, 2006 ; "Globalization brings new influences into the Fed's navigation calculations to determine the best flight path for the U.S. economy. To determine that course...we must develop a better understanding of...
Persistent link: https://www.econbiz.de/10010726054
-of-sample interval forecasting. Most studies in the literature focus on point forecasts. In this paper, we apply Robust Semi …-parametric (RS) interval forecasting to a group of Taylor rule models. Forecast intervals for twelve OECD exchange rates are … fundamentals: economic variables contain information useful in forecasting the distributions of exchange rates. The benchmark …
Persistent link: https://www.econbiz.de/10004993850