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A unified framework for dimension reduction in forecasting

Barbarino, Alessandro; Bura, Efstathia - 2017

series forecasting models for economic variables. In these models, the reduction of the predictors and the modeling and … forecasting of the response y are carried out in two separate and independent phases. We introduce a potentially more attractive … of widely used macroeconomic series data with one or two sufficient reductions delivering similar forecasting performance …

Persistent link: https://www.econbiz.de/10011708094

Income inequality, financial crises, and monetary policy

Cairó, Isabel; Sim, Jae W. - 2018

We construct a general equilibrium model in which income inequality results in insufficient aggregate demand, deflation pressure, and excessive credit growth by allocating income to agents featuring low marginal propensity to consume, and if excessive, can lead to an endogenous financial crisis....

Persistent link: https://www.econbiz.de/10011932429

Unemployment risk

Kiley, Michael T. - 2018 - Version 3

Fluctuations in upside risks to unemployment over the medium term are examined using quantile regressions. U.S. experience reveals an elevated risk of large increases in unemployment when inflation or credit growth is high and when the unemployment rate is low. Inflation was a significant...

Persistent link: https://www.econbiz.de/10012016326

How fast are semiconductor prices falling?

Byrne, David; Oliner, Stephen; Sichel, Daniel E. - 2017

The Producer Price Index (PPI) for the United States suggests that semiconductor prices have barely been falling in recent years, a dramatic contrast to the rapid declines reported from the mid-1980s to the early 2000s. This slowdown in the rate of decline is puzzling in light of evidence that...

Persistent link: https://www.econbiz.de/10011708124

Evaluating the conditionality of judgmental forecasts

Berge, Travis J.; Chang, Andrew C.; Sinha, Nitish Ranjan - 2019

We propose a framework to evaluate the conditionality of forecasts. The crux of our framework is the observation that a forecast is conditional if revisions to the conditioning factor are faithfully incorporated into the remainder of the forecast. We consider whether the Greenbook, Blue Chip,...

Persistent link: https://www.econbiz.de/10012016753

Assessing macroeconomic tail risk

Loria, Francesca; Matthes, Christian; Zhang, Donghai - 2019

What drives macroeconomic tail risk? To answer this question, we borrow a definition of macroeconomic risk from Adrian et al. (2019) by studying (left-tail) percentiles of the forecast distribution of GDP growth. We use local projections (JordÃ , 2005) to assess how this measure of risk moves...

Persistent link: https://www.econbiz.de/10012018464

Understanding the new normal : the role of demographics

Gagnon, Etienne; Johannsen, Benjamin K.; López-Salido, … - 2016

Since the onset of the Great Recession, the U.S. economy has experienced low real GDP growth and low real interest rates, including for long maturities. We show that these developments were largely predictable by calibrating an overlapping-generation model with a rich demographic structure to...

Persistent link: https://www.econbiz.de/10011578741

The Fed's asymmetric forecast errors

Chang, Andrew C. - 2018

I show that the probability that the Board of Governors of the Federal Reserve System staff's forecasts (the "Greenbooks'") overpredicted quarterly real gross domestic product (GDP) growth depends on both the forecast horizon and also whether the forecasted quarter was above or below trend real...

Persistent link: https://www.econbiz.de/10011927163

The money view versus the credit view

Baker, Sarah S.; López-Salido, José David; Nelson, Edward - 2018

We argue that Schularick and Taylor's (2012) comparison of credit growth and monetary growth as financial-crisis predictors does not necessarily provide a valid basis for achieving one of their stated intentions: evaluating the relative merits of the "money view" and "credit view" as accounts of...

Persistent link: https://www.econbiz.de/10011932271

Preventing controversial catastrophes

Baker, Steven D.; Hollifield, Burton; Osambela, Emilio - 2018

In a market-based democracy, we model different constituencies that disagree regarding the likelihood of economic disasters. Costly public policy initiatives to reduce or eliminate disasters are assessed relative to private alternatives presented by financial markets. Demand for such public...

Persistent link: https://www.econbiz.de/10012016091