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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

Macroeconomic volatility, predictability and uncertainty in the Great Moderation: evidence from the survey of professional forecasters

Campbell, Sean D. - Federal Reserve Board (Board of Governors of the … - 2004

An emerging and influential literature finds a large and significant decline in macroeconomic volatility since the middle of the 1980's. In this paper, I examine the extent to which the decline in annual and quarterly real output volatility since the onset of this period of Great Moderation can...

Persistent link: https://www.econbiz.de/10005393759

Do provisional estimates of output miss economic turning points?

Dynan, Karen E.; Elmendorf, Douglas - Federal Reserve Board (Board of Governors of the … - 2001

Initial estimates of aggregate output and its components are based on very incomplete source data, so they may not fully capture shifts in economic conditions. In particular, if those estimates are based partly on trends in preceding quarters, provisional estimates may overstate activity when...

Persistent link: https://www.econbiz.de/10005512986

A Global Trade Model for the Euro Area

Modugno, Michele; D'Agostino, Antonello; Osbat, Chiara - Federal Reserve Board (Board of Governors of the … - 2015

We propose a model for analyzing euro area trade based on the interaction between macroeconomic and trade variables. First, we show that macroeconomic variables are necessary to generate accurate short-term trade forecasts; this result can be explained by the high correlation between trade and...

Persistent link: https://www.econbiz.de/10011255346

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

High frequency data, frequency domain inference and volatility forecasting

Wright, Jonathan H.; Bollerslev, Tim - Federal Reserve Board (Board of Governors of the … - 1999

construct volatility forecasts, which compare favorably with some leading alternatives in an out-of-sample forecasting exercise. …

Persistent link: https://www.econbiz.de/10005368451

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