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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

Dynamic hierarchical factor models

Moench, Emanuel; Ng, Serena; Potter, Simon - Federal Reserve Bank of New York - 2009

This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework...

Persistent link: https://www.econbiz.de/10008636156

Forecasting recessions using the yield curve

Chauvet, Marcelle; Potter, Simon - Federal Reserve Bank of New York - 2001

business cycles and autocorrelation. We also develop a new approach to the construction of real time forecasting of recession …

Persistent link: https://www.econbiz.de/10005420520

Equity premium predictions with adaptive macro indexes

Bai, Jennie - Federal Reserve Bank of New York - 2010

adequately capture the changing nature of economic conditions and hence have limited power in forecasting equity returns. To … stock returns and have more forecasting power than both the historical average of stock returns and commonly used predictors …. The forecasting power exhibits a strong cyclical pattern, implying the ability of adaptive macro indexes to capture time …

Persistent link: https://www.econbiz.de/10008679732

Structural estimates of the U.S. sacrifice ratio

Cecchetti, Stephen G.; Rich, Robert W. - Federal Reserve Bank of New York - 1999

This paper investigates the statistical properties of the U.S. sacrifice ratio -- the cumulative output loss arising from a permanent reduction in inflation. We derive estimates of the sacrifice ratio from three structural VAR models and then conduct Monte Carlo simulations to analyze their...

Persistent link: https://www.econbiz.de/10005420561

What was behind the M2 breakdown?

Lown, Cara S.; Peristiani, Stavros; Robinson, Kenneth J. - Federal Reserve Bank of New York - 1999

superior M2 forecasting results, and produce a more stable relationship between M2 and the ultimate goals of policy. Our work …

Persistent link: https://www.econbiz.de/10005420485

The production impact of "cash-for-clunkers": implications for stabilization policy

Copeland, Adam; Kahn, James - Federal Reserve Bank of New York - 2011

Stabilization policies frequently aim to boost spending as a means to increase GDP. Spending does not necessarily translate into production, however, especially when inventories are involved. We look at the “cash-for-clunkers” program that helped finance the purchase of nearly 700,000...

Persistent link: https://www.econbiz.de/10009206339

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