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The real exchange rate in sticky price models: does investment matter?

Martinez-Garcia, Enrique; Søndergaard, Jens - Federal Reserve Bank of Dallas - 2008

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

Technical note on "The real exchange rate in sticky price models: does investment matter?"

Martinez-Garcia, Enrique; Søndergaard, Jens - Federal Reserve Bank of Dallas - 2008

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

Building a regional forecasting model utilizing long-term relationships and short-term indicators

Phillips, Keith R.; Chang, Chih-Ping - Federal Reserve Bank of Dallas - 1995

Persistent link: https://www.econbiz.de/10005346051

The dynamics of economics functions: modelling and forecasting the yield curve

Bowsher, Clive G.; Meeks, Roland - Federal Reserve Bank of Dallas - 2008

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

Indeterminacy and forecastability

Fujiwara, Ippei; Hirose, Yasuo - Federal Reserve Bank of Dallas - 2011

Recent studies document the deteriorating performance of forecasting models during the Great Moderation. This …

Persistent link: https://www.econbiz.de/10009321088

A real-time historical database for the OECD

Fernandez, Adriana Z.; Koenig, Evan F.; … - Federal Reserve Bank of Dallas - 2011

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

PCE inflation and core inflation

Smith, Julie K. - Federal Reserve Bank of Dallas - 2012

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

Introductory remarks to the Price Measurement for Monetary Policy Conference

Fisher, Richard W. - Federal Reserve Bank of Dallas - 2007

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

Confessions of a data dependent

Fisher, Richard W. - Federal Reserve Bank of Dallas - 2006

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

Can long-horizon forecasts beat the random walk under the Engel-West explanation?

Engel, Charles; Wang, Jian; Wu, Jason - Federal Reserve Bank of Dallas - 2009

place greater weight on future fundamentals. Consequently, current fundamentals have very weak forecasting power and … econometrician, long-horizon regressions generally do not have significant forecasting power. However, when EW's assumptions are … show that long-horizon regression can have substantial forecasting power for exchange rates. …

Persistent link: https://www.econbiz.de/10008489231