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Unspanned macroeconomic factors in the yield curve

Coroneo, Laura; Giannone, Domenico; Modugno, Michele - Federal Reserve Board (Board of Governors of the … - 2014

In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of...

Persistent link: https://www.econbiz.de/10010886225

Consumers' Attitudes and Their Inflation Expectations

Ehrmann, Michael; Pfajfar, Damjan; Santoro, Emilianio - Federal Reserve Board (Board of Governors of the … - 2015

This paper studies consumers' inflation expectations using micro-level data from the Surveys of Consumers conducted by University of Michigan. It shows that beyond the well-established socio-economic factors such as income, age or gender, other characteristics such as the households' financial...

Persistent link: https://www.econbiz.de/10011261278

The Importance of Updating: Evidence from a Brazilian Nowcasting Model

Bragoli, Daniela; Metelli, Luca; Modugno, Michele - Federal Reserve Board (Board of Governors of the … - 2014

GDP and other variables. The aim of this article is to evaluate the forecasting performance of the Central Bank of Brazil …

Persistent link: https://www.econbiz.de/10011075127

The expected real return to equity

Warusawitharana, Missaka - Federal Reserve Board (Board of Governors of the … - 2011

The expected return to equity--typically measured as a historical average--is a key variable in the decision making of investors. A recent literature based on analysts forecasts and practitioner surveys finds estimates of expected returns that are sometimes much lower than historical averages....

Persistent link: https://www.econbiz.de/10008872031

The information content of the embedded deflation pption in TIPS

Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing - Federal Reserve Board (Board of Governors of the … - 2011

In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option...

Persistent link: https://www.econbiz.de/10009395282

IT investment and Hicks' composite-good theorem: the U.S. experience

Marquez, Jaime; Wang, Shing-Yi - Federal Reserve Board (Board of Governors of the … - 2003

pattern that is consistent with Hicks' composite-good theorem and that may be used for forecasting. To determine whether one …

Persistent link: https://www.econbiz.de/10005368144

A framework for economic forecasting

Ericsson, Neil R.; Marquez, Jaime - Federal Reserve Board (Board of Governors of the … - 1998

from other aspects of the forecasting process, resulting in inefficient forecasting techniques and seemingly puzzling … forecasting process. …

Persistent link: https://www.econbiz.de/10005368254

Bayesian Model Averaging and exchange rate forecasts

Wright, Jonathan H. - Federal Reserve Board (Board of Governors of the … - 2003

Exchange rate forecasting is hard and the seminal result of Meese and Rogoff (1983) that the exchange rate is well … constructing other forecasting models. However, in several other macro and financial forecasting applications, researchers in … recent years have considered methods for forecasting that combine the information in a large number of time series. One …

Persistent link: https://www.econbiz.de/10005368310

Predictable uncertainty in economic forecasting

Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 2000

This paper provides an introduction to predictable forecast uncertainty in empirical economic modelling. The sources of both predictable and unpredictable forecast uncertainty are categorized. Key features of predictable forecast uncertainty are illustrated by several analytical models,...

Persistent link: https://www.econbiz.de/10005368311

Improving the forecast accuracy of provisional data: an application of the Kalman filter to retail sales estimates

Pauls, B. Dianne - Federal Reserve Board (Board of Governors of the … - 1987

If forecasts of economic activity are to rely on preliminary data, the predictable component of the data revisions should be taken into account. This paper applies the Kalman filter to improve the forecast accuracy of published preliminary estimates of retail sales. Successive estimates of...

Persistent link: https://www.econbiz.de/10005368331