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A Re-examination of the Predictability of Economic Activity Using the Yield Spread
Hamilton, James; Kim, Dong Heon - National Bureau of Economic Research (NBER) - 2000
This paper revisits the yield spread's usefulness for predicting future real GDP growth. We show that the contribution of the spread can be decomposed into the effect of expected future changes in short rates and the effect of the term premium. We find that both factors are relevant for...
Persistent link: https://www.econbiz.de/10005828476
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Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset
Faust, Jon; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2007
Many recent papers have found that atheoretical forecasting methods using many predictors give better predictions for key macroeconomic variables than various small-model methods. The practical relevance of these results is open to question, however, because these papers generally use ex post...
Persistent link: https://www.econbiz.de/10005828664
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Real-Time Measurement of Business Conditions
Aruoba, S. Boragan; Diebold, Francis; Scotti, Chiara - National Bureau of Economic Research (NBER) - 2008
We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering. We illustrate the...
Persistent link: https://www.econbiz.de/10005829556
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Canada's Pioneering Experience with a Flexible Exchange Rate in the 1950s:(Hard) Lessons Learned for Monetary Policy in a Small Open Economy
Bordo, Michael David; Dib, Ali; Schembri, Lawrence - National Bureau of Economic Research (NBER) - 2007
This paper revisits Canada's pioneering experience with floating exchange rate over the period 1950-1962. It examines whether the floating rate was the best option for Canada in the 1950s by developing and estimating a New Keynesian small open economy model of the Canadian economy. The model is...
Persistent link: https://www.econbiz.de/10005830619
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Inflation in the Great Recession and New Keynesian Models
Del Negro, Marco; Giannoni, Marc P.; Schorfheide, Frank - National Bureau of Economic Research (NBER) - 2014
It has been argued that existing DSGE models cannot properly account for the evolution of key macroeconomic variables during and following the recent great recession. We challenge this argument by showing that a standard DSGE model with financial frictions available prior to the recent crisis...
Persistent link: https://www.econbiz.de/10011212816
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Uncertainty and Economic Activity: Evidence from Business Survey Data
Bachmann, Ruediger; Elstner, Steffen; Sims, Eric R. - National Bureau of Economic Research (NBER) - 2010
What is the impact of time-varying business uncertainty on economic activity? Using partly confidential business survey data from the U.S. and Germany in structural VARs, we find that positive innovations to business uncertainty lead to prolonged declines in economic activity. In contrast, their...
Persistent link: https://www.econbiz.de/10008628459
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The Great Inflation: Did the Shadow Know Better?
Poole, William; Rasche, Robert H.; Wheelock, David C. - National Bureau of Economic Research (NBER) - 2011
.S. policymakers to implement policies necessary to maintain price stability. This paper describes how the Committee's policy views … stability should be the primary goal of monetary policy and favored gradual adjustment of monetary growth to a rate consistent … with price stability. This paper evaluates the Shadow's policy rule in the context of the New Keynesian macroeconomic model …
Persistent link: https://www.econbiz.de/10008876847
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The Great Diversification and its Undoing
Gabaix, Xavier; Carvalho, Vasco M. - National Bureau of Economic Research (NBER) - 2010
We investigate the hypothesis that macroeconomic fluctuations are primitively the results of many microeconomic shocks, and show that it has significant explanatory power for the evolution of macroeconomic volatility. We define "fundamental" volatility as the volatility that would arise from an...
Persistent link: https://www.econbiz.de/10008674230
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Forecasting the Recovery from the Great Recession: Is This Time Different?
Dominguez, Kathryn M. E.; Shapiro, Matthew D. - National Bureau of Economic Research (NBER) - 2013
This paper asks whether the slow recovery of the US economy from the trough of the Great Recession was anticipated, and identifies some of the factors that contributed to surprises in the course of the recovery. It constructs a narrative using news reports and government announcements to...
Persistent link: https://www.econbiz.de/10010796642
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Distilling the Macroeconomic News Flow
Beber, Alessandro; Brandt, Michael W.; Luisi, Maurizio - National Bureau of Economic Research (NBER) - 2013
We propose a simple cross-sectional technique to extract daily factors from economic news released at different times and frequencies. Our approach can effectively handle the large number of different announcements that are relevant for tracking current economic conditions. We apply the...
Persistent link: https://www.econbiz.de/10010775233