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Some multi-country evidence on the effects of real exchange rates on output
Kamin, Steven B.; Klau, Marc - Federal Reserve Board (Board of Governors of the … - 1998
The simultaneous occurrence of devaluation and recession in Mexico in 1995, as well as in the East Asian economies more recently, appears to contradict the conventional view that devaluations are expansionary. Moreover, a sizeable theoretical and empirical literature also argues that, contrary...
Persistent link: https://www.econbiz.de/10005372600
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News and noise in G-7 GDP announcements
Faust, Jon; Rogers, John H.; Wright, Jonathan H. - Federal Reserve Board (Board of Governors of the … - 2000
Revisions to GDP announcements are known to be quite large in all G-7 countries: many revisions in quarterly GDP growth are over a full percentage point at an annualized rate. In this paper, we examine the predictability of these data revisions. Previous work suggests that U.S. GDP revisions are...
Persistent link: https://www.econbiz.de/10005712722
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Lack of signal error (LoSE) and implications for OLS regression: measurement error for macro data
Nalewaik, Jeremy J. - Federal Reserve Board (Board of Governors of the … - 2008
This paper proposes a simple generalization of the classical measurement error model, introducing new measurement errors that subtract signal from the true variable of interest, in addition to the usual classical measurement errors (CME) that add noise. The effect on OLS regression of these lack...
Persistent link: https://www.econbiz.de/10005721097
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Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases
Giannone, Domenico; Reichlin, Lucrezia; Small, David - Federal Reserve Board (Board of Governors of the … - 2005
This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data … Philadelphia surveys have a large marginal impact on the nowcast of both inflation variables and real variables, and this effect is … sizeable. Prices and quantities affect the precision of the estimates of inflation, while GDP is affected only by real …
Persistent link: https://www.econbiz.de/10005721098
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Integrating expenditure and income data: what to do with the statistical discrepancy?
Beaulieu, J. Joseph; Bartelsman, Eric J. - Federal Reserve Board (Board of Governors of the … - 2004
The purpose of this paper is to build consistent, integrated datasets to investigate whether various disaggregated data can shed light on the possible sources of the statistical discrepancy. Our strategy is first to use disaggregated data to estimate consistent sets of input-output models that...
Persistent link: https://www.econbiz.de/10005721267
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The Impact of Regional and Sectoral Productivity Changes on the U.S. Economy
Caliendo, Lorenzo; Parro, Fernando; Rossi-Hansberg, Esteban - Federal Reserve Board (Board of Governors of the … - 2014
We study the impact of regional and sectoral productivity changes on the U.S. economy. To that end, we consider an environment that captures the effects of interregional and intersectoral trade in propagating disaggregated productivity changes at the level of a sector in a given U.S. state to...
Persistent link: https://www.econbiz.de/10011027366
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News, noise, and estimates of the "true" unobserved state of the economy
Fixler, Dennis J.; Nalewaik, Jeremy J. - Federal Reserve Board (Board of Governors of the … - 2007
Which provides a better estimate of the "true" state of the U.S. economy, gross domestic product (GDP) or gross domestic income (GDI)? Past work has assumed the difference between each estimate and the "true" state of the economy is pure noise, taking greater variability to imply lower...
Persistent link: https://www.econbiz.de/10005393845
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Estimating probabilities of recession in real time using GDP and GDI
Nalewaik, Jeremy J. - Federal Reserve Board (Board of Governors of the … - 2006
This work estimates Markov switching models on real time data and shows that the growth rate of gross domestic income (GDI), deflated by the GDP deflator, has done a better job recognizing the start of recessions than has the growth rate of real GDP. This result suggests that placing an...
Persistent link: https://www.econbiz.de/10005393934
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Tracking the source of the decline in GDP volatility: an analysis of the automobile industry
Ramey, Valerie A.; Vine, Daniel J. - Federal Reserve Board (Board of Governors of the … - 2005
Recent papers by Kim and Nelson (1999) and McConnell and Perez-Quiros (2000) uncover a dramatic decline in the volatility of U.S. GDP growth beginning in 1984. Determining whether the source is good luck, good policy or better inventory management has since developed into an active area of...
Persistent link: https://www.econbiz.de/10005394130
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What's good for GM...? Using auto industry stock returns to forecast business cycles and test the Q-theory of investment
Duffee, Gregory R.; Prowse, Steven D. - Federal Reserve Board (Board of Governors of the … - 1996
We examine the ability of auto industry stock returns to forecast quarterly changes in the growth rates of real GDP, consumption, and investment. We find that auto stock returns are superior to aggregate stock market returns in predicting growth rates of GDP and various forms of consumption. The...
Persistent link: https://www.econbiz.de/10005512996