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Predictable uncertainty in economic forecasting
Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 2000
are illustrated by several analytical models, including static and dynamic models, and single-equation and multiple-equation …
Persistent link: https://www.econbiz.de/10005368311
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Forecast uncertainty in economic modeling
Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 2001
This paper provides an introduction to forecast uncertainty in empirical economic modeling. Forecast uncertainty is defined, various measures of forecast uncertainty are examined, and some sources and consequences of forecast uncertainty are analyzed. Empirical illustrations with the U.S. trade...
Persistent link: https://www.econbiz.de/10005712694
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Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses
Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 1987
those statistics are obtained for dynamic one-and two-equation models. The results illustrate the value of asymptotic theory … the finite sample properties of maximum likelihood and instrumental variables statistics for testing both nested and non … additional information gained from the instrumental variables statistics. …
Persistent link: https://www.econbiz.de/10005368195
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Post-simulation analysis of Monte Carlo experiments: interpreting Pesaran's (1974) study of non-nested hypothesis test statistics
Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 1986
"Monte Carlo experimentation in econometrics helps 'solve' deterministic problems by simulating stochastic analogues in …, and uses Pesaran's (1974) study of statistics for testing non-nested hypotheses to illustrate the techniques described. A … of different test statistics so that comparisons of their power may be made. Extensions to other finite sample properties …
Persistent link: https://www.econbiz.de/10005368405
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The Role of Oil Price Shocks in Causing U.S. Recessions
Kilian, Lutz; Vigfusson, Robert J. - Federal Reserve Board (Board of Governors of the … - 2014
Although oil price shocks have long been viewed as one of the leading candidates for explaining U.S. recessions, surprisingly little is known about the extent to which oil price shocks explain recessions. We provide a formal analysis of this question with special attention to the possible role...
Persistent link: https://www.econbiz.de/10010892323
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Why Do We Need Both Liquidity Regulations and a Lender of Last Resort? A Perspective from Federal Reserve Lending during the 2007-09 U.S. Financial Crisis
Carlson, Mark A.; Duygan-Bump, Burcu; Nelson, William R. - Federal Reserve Board (Board of Governors of the … - 2015
During the 2007-09 financial crisis, there were severe reductions in the liquidity of financial markets, runs on the shadow banking system, and destabilizing defaults and near-defaults of major financial institutions. In response, the Federal Reserve, in its role as lender of last resort (LOLR),...
Persistent link: https://www.econbiz.de/10011255344
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Do indicators of financial crises work? an evaluation of an early warning system
Edison, Hali J. - Federal Reserve Board (Board of Governors of the … - 2000
The object of this paper is to develop an operational early warning system (EWS) that can detect financial crises. To achieve this goal the paper analyzes and extends the early warning system developed by Kaminsky, Lizondo, and Reinhart (1998) and Kaminsky and Reinhart (1999) that is based on...
Persistent link: https://www.econbiz.de/10005368179
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Sudden stops, financial crises and leverage: a Fisherian deflation of Tobin's Q*
Mendoza, Enrique G. - Federal Reserve Board (Board of Governors of the … - 2008
macro-aggregates to shocks. Because of precautionary saving, Sudden Stops are low probability events nested within normal …
Persistent link: https://www.econbiz.de/10005368211
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The current international financial crisis: how much is new?
Kamin, Steven B. - Federal Reserve Board (Board of Governors of the … - 1999
The paper surveys a broad array of data to compare the scope and impact of three emerging-market financial crises: the …
Persistent link: https://www.econbiz.de/10005368271
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The Asian financial crisis, uphill flow of capital, and global imbalances: evidence from a micro study
Coulibaly, Brahima; Millar, Jonathan - Federal Reserve Board (Board of Governors of the … - 2008
This study assesses the role of the Asian financial crisis of the late 1990s in the emergence and persistence of the large current account surpluses across non-China emerging Asia, which have been a significant counterpart to the U.S. current account deficit. Using panel data encompassing nearly...
Persistent link: https://www.econbiz.de/10005368306