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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

Learning, Rare Disasters, and Asset Prices

Lu, Yang; Siemer, Michael - Federal Reserve Board (Board of Governors of the … - 2013

In this paper, we examine how learning about disaster risk affects asset pricing in an endowment economy. We extend the literature on rare disasters by allowing for two sources of uncertainty: (1) the lack of historical data results in unknown parameters for the disaster process, and (2) the...

Persistent link: https://www.econbiz.de/10010728883

In Search of a Risk-free Asset

Yankov, Vladimir - Federal Reserve Board (Board of Governors of the … - 2014

To attract retail time deposits, over 7,000 FDIC insured U.S. commercial banks publicly post their yield offers. I document an economically sizable and highly pro-cyclical cross-sectional dispersion in these yield offers during the period 1997 - 2011. Banks adjusted their yields rigidly and...

Persistent link: https://www.econbiz.de/10011115663

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

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