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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
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Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs
Li, Canlin; Wei, Min - Federal Reserve Board (Board of Governors of the … - 2014
This paper estimates an arbitrage-free term structure model with both observable yield factors and Treasury and Agency MBS supply factors, and uses it to evaluate the term premium effects of the Federal Reserve's large-scale asset purchase programs. Our estimates show that the first and the...
Persistent link: https://www.econbiz.de/10010784178
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Inflation Expectations and Recovery from the Depression in 1933: Evidence from the Narrative Record
Jalil, Andrew; Rua, Gisela - Federal Reserve Board (Board of Governors of the … - 2015
This paper uses the historical narrative record to determine whether inflation expectations shifted during the second … and the forecasts of contemporary business analysts, we show that inflation expectations increased dramatically. Second …, using an event-studies approach, we identify the impact on financial markets of the key events that shifted inflation …
Persistent link: https://www.econbiz.de/10011273691
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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 … inflation. Equivalent results are found during recessions. …
Persistent link: https://www.econbiz.de/10011261278
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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