We use a dynamic factor model to disentangle changes in prices due to economy-wide (common) shocks, from changes in prices due to idiosyncratic shocks. Using 146 disaggregated individual price series from the U.S. PCE price index, we find that most of the fluctuations in core PCE prices observed...

This paper decomposes consumer price inflation into pure inflation, relative price inflation, and idiosyncratic inflation by estimating a dynamic factor model á la Reis and Watson (2010) on a data set of 146 monthly disaggregated prices from 1995 to 2019. We find that pure inflation is the...

The period of extraordinary volatility in euro area headline inflation starting in 2007 raised the question whether forecast combination methods can be used to hedge against bad forecast performance of single models during such periods and provide more robust forecasts. We investigate this issue...

We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...

We estimate the oil price pass-through into consumer prices both in the US and in the euro area. In particular, we disentangle the specific effect that an oil price change might have on each disaggregate price, from the effect on all prices that an oil price change might have since it affects...

This paper examines whether the measurement of trend inflation can be improved by using wage data in a dynamic factor model of disaggregated prices and wages for the United States. The model features time-varying coefficients and stochastic volatility. An estimate of trend inflation is a...

Credit to consumers and business is critical to the efficient functioning of the U.S. economy, and finance companies are a key source of such credit. Every five years, the Federal Reserve conducts a two-part survey: the Census of Finance Companies (CFC) to identify the universe of such firms and...

Several U.S. panel surveys measure household wealth. At the same time, many important questions about household wealth accumulation remain somewhat unresolved. We consider whether measurement error on the existing suite of longitudinal surveys hinders their usefulness for addressing these...

Web-based surveys have become increasingly common in economic, marketing, and other social science research. However, questions exist about the comparability of data gathered using a web interview and data gathered using more traditional survey modes, particularly for surveys on household...

Survey responses to quantitative financial questions frequently display strong patterns of heaping at round numbers. This paper uses two studies to examine variation in rounding across questions and by individual characteristics. Rounding was more common for respondents low in ability, for...