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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
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The effects of weather on retail sales
Starr-McCluer, Martha - Federal Reserve Board (Board of Governors of the … - 2000
Monthly fluctuations in consumer spending are often attributed to the weather. This paper presents a model in which weather affects the productivity of time in nonmarket activities (such as shopping or recreation), and so, via time and budget constraints, may induce substitution in spending...
Persistent link: https://www.econbiz.de/10005721159
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Yesterday's bad times are today's good old times: retail price changes in the 1890s were smaller, less frequent, and more permanent
Kackmeister, Alan - Federal Reserve Board (Board of Governors of the … - 2005
This paper compares nominal price rigidity in retail stores during two 28-month periods: 1889-1891 and 1997-1999. The 1889-1891 microdata price quotes show: 1. a lower frequency of price changes; 2. a smaller average magnitude of price changes; 3. fewer "small" price changes; and, 4. fewer...
Persistent link: https://www.econbiz.de/10005394006
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Sticky prices: new evidence from retail catalogs
Kashyap, Anil K. - Federal Reserve Board (Board of Governors of the … - 1990
Persistent link: https://www.econbiz.de/10005512983
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Securitization with recourse: an instrument that offers uninsured bank depositors sequential claims
Benveniste, Lawrence M.; Berger, Allen N. - Federal Reserve Board (Board of Governors of the … - 1987
Persistent link: https://www.econbiz.de/10005361181
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How consistent are credit ratings? a geographic and sectoral analysis of default risk
Ammer, John; Packer, Frank - Federal Reserve Board (Board of Governors of the … - 2000
We examine differences in default rates by sector and obligor domicile. We find evidence that credit ratings have been imperfectly calibrated across issuer sectors in the past. Controlling for year of issue and rating, default rates appear to be higher for U.S. financial firms than for U.S....
Persistent link: https://www.econbiz.de/10005368242
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On risk, rational expectations, and efficient asset markets
Stevens, Guy V.G.; Akbarian, Dara - Federal Reserve Board (Board of Governors of the … - 1994
portfolio size and degree of risk aversion of potential investors, the ability to borrow, and the hedging opportunities provided …
Persistent link: https://www.econbiz.de/10005368265
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Pitfalls in tests for changes in correlations
Boyer, Brian H.; Gibson, Michael S.; Loretan, Mico - Federal Reserve Board (Board of Governors of the … - 1997
"correlation breakdown." As a result, risk managers worry that their hedges will be useless when they are most needed, namely …. We make this point analytically, by way of several numerical examples, and via an empirical illustration. ; But, risk …
Persistent link: https://www.econbiz.de/10005368286
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Information systems for risk management
Gibson, Michael S. - Federal Reserve Board (Board of Governors of the … - 1997
Risk management information systems are designed to overcome the problem of aggregating data across diverse trading … units. The design of an information system depends on the risk measurement methodology that a firm chooses. Inherent in the … design of both a risk management information system and a risk measurement methodology is a tradeoff between the accuracy of …
Persistent link: https://www.econbiz.de/10005368299
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Exchange rate variability and the level of international trade
Gagnon, Joseph E. - Federal Reserve Board (Board of Governors of the … - 1989
There have been numerous theoretical and empirical studies of the effect of exchange rate variability on the level of international trade. Most theoretical studies have concluded that under reasonable assumptions exchange rate variability ought to depress the level of trade. Empirical studies...
Persistent link: https://www.econbiz.de/10005368341