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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

Bayesian Estimation of Time-Changed Default Intensity Models

Gordy, Michael B.; Szerszen, Pawel J. - Federal Reserve Board (Board of Governors of the … - 2015

We estimate a reduced-form model of credit risk that incorporates stochastic volatility in default intensity via stochastic time-change. Our Bayesian MCMC estimation method overcomes nonlinearity in the measurement equation and state-dependent volatility in the state equation. We implement on...

Persistent link: https://www.econbiz.de/10011273702

Financial Frictions, Financial Shocks, and Aggregate Volatility

Fuentes-Albero, Cristina - Federal Reserve Board (Board of Governors of the … - 2014

I revisit the Great Inflation and the Great Moderation. I document an immoderation in corporate balance sheet variables so that the Great Moderation is best described as a period of divergent patterns in volatilities for real, nominal and financial variables. A model with time-varying financial...

Persistent link: https://www.econbiz.de/10011075129

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

Monetary Policy, Trend Inflation and the Great Moderation: An Alternative Interpretation - Comment

Arias, Jonas E.; Ascari, Guido; Branzoli, Nicola; … - Federal Reserve Board (Board of Governors of the … - 2014

Working with a small-scale calibrated New-Keynesian model, Coibion and Gorodnichenko (2011) find that the reduction in trend inflation during Volcker's mandate was a key factor behind the Great Moderation. We revisit this finding with an estimated New-Keynesian model with trend inflation and no...

Persistent link: https://www.econbiz.de/10011268461

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