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Regulatory evaluation of value-at-risk models

Lopez, Jose A. - Federal Reserve Bank of New York - 1997

Beginning in 1998, U.S. commercial banks may determine their regulatory capital requirements for financial market risk exposure using value-at-risk (VaR) models i.e., models of the time-varying distributions of portfolio returns. Currently, regulators have available three hypothesis-testing...

Persistent link: https://www.econbiz.de/10005526313

Model selection criteria for factor-augmented regressions

Groen, Jan J. J.; Kapetanios, George - Federal Reserve Bank of New York - 2009

In a factor-augmented regression, the forecast of a variable depends on a few factors estimated from a large number of predictors. But how does one determine the appropriate number of factors relevant for such a regression? Existing work has focused on criteria that can consistently estimate the...

Persistent link: https://www.econbiz.de/10005420506

How stable is the predictive power of the yield curve? evidence from Germany and the United States

Estrella, Arturo; Rodrigues, Anthony P.; Schich, Sebastian - Federal Reserve Bank of New York - 2000

Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time. We...

Persistent link: https://www.econbiz.de/10005726595

Forecasting in large macroeconomic panels using Bayesian Model Averaging

Koop, Gary; Potter, Simon - Federal Reserve Bank of New York - 2003

This paper considers the problem of forecasting in large macroeconomic panels using Bayesian model averaging. Practical … apply these methods to the problem of forecasting GDP and inflation using quarterly U.S. data on 162 time series. Our … analysis indicates that models containing factors do outperform autoregressive models in forecasting both GDP and inflation …

Persistent link: https://www.econbiz.de/10005726664

Short-run fiscal policy: welfare, redistribution, and aggregate effects in the short and long run

Kitao, Sagiri - Federal Reserve Bank of New York - 2010

This paper quantifies the effects of two short-run fiscal policies, a temporary tax cut and a temporary rebate transfer, that are intended to stimulate economic activity. A reduction in income taxation provides immediate incentives to work and save more, raising aggregate output and consumption....

Persistent link: https://www.econbiz.de/10008616999

Efficient, regression-based estimation of dynamic asset pricing models

Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - Federal Reserve Bank of New York - 2011

We study regression-based estimators for beta representations of dynamic asset pricing models with affine and exponentially affine pricing kernel specifications. These estimators extend static cross-sectional asset pricing estimators to settings where prices of risk vary with observed state...

Persistent link: https://www.econbiz.de/10009024085

Sectoral price facts in a sticky-price model

Carvalho, Carlos; Lee, Jae Won - Federal Reserve Bank of New York - 2011

We develop a multi-sector sticky-price DSGE (dynamic stochastic general equilibrium) model that can endogenously deliver differential responses of prices to aggregate and sectoral shocks. Input-output production linkages induce across-sector pricing complementarities that contribute to a slow...

Persistent link: https://www.econbiz.de/10009131507

The FRBNY DSGE model

Negro, Marco Del; Eusepi, Stefano; Giannoni, Marc; … - Federal Reserve Bank of New York - 2013

history, including the Great Recession, and how it is used for forecasting and policy analysis. …

Persistent link: https://www.econbiz.de/10010702293

Inflation in the Great Recession and New Keynesian models

Negro, Marco Del; Giannoni, Marc P.; Schorfheide, Frank - Federal Reserve Bank of New York - 2013

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, and that models in which inflation depends on economic slack cannot explain the recent muted behavior of inflation, given the...

Persistent link: https://www.econbiz.de/10010659548

Time-varying structural vector autoregressions and monetary policy: a corrigendum

Negro, Marco Del; Primiceri, Giorgio - Federal Reserve Bank of New York - 2013

This note corrects a mistake in the estimation algorithm of the time-varying structural vector autoregression model of Primiceri (2005) and proposes a new algorithm that correctly applies the procedure proposed by Kim, Shephard, and Chib (1998) to the estimation of VAR or DSGE models with...

Persistent link: https://www.econbiz.de/10010659552