Similar Search Results

Higgins, Patrick Curry - Federal Reserve Bank of Atlanta - 2014

This paper documents GDPNow, a "nowcasting" model for gross domestic product (GDP) growth that synthesizes the "bridge equation" approach relating GDP subcomponents to monthly source data with the factor model approach used by Giannone, Reichlin, and Small (2008). The GDPNow model forecasts GDP...

Persistent link: https://www.econbiz.de/10010942502

The effect of forecast bias on market behavior: evidence from experimental asset markets

Ackert, Lucy F.; Church, Bryan K.; Zhang, Ping - Federal Reserve Bank of Atlanta - 1999

This paper reports the results of 15 experimental asset markets designed to investigate the effect of optimistic forecast bias on market behavior. Each market is organized as a double oral auction in which participants trade a single-period asset with uncertain value. Traders are informed of the...

Persistent link: https://www.econbiz.de/10005514568

Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models

Robertson, John C.; Tallman, Ellis W. - Federal Reserve Bank of Atlanta - 1999

. In this paper, we examine how the treatment of prior uncertainty about parameter values can affect forecasting accuracy …

Persistent link: https://www.econbiz.de/10005514597

Assessing simple policy rules: a view from a complete macro model

Leeper, Eric M.; Zha, Tao - Federal Reserve Bank of Atlanta - 2000

We explore two popular approaches to empirical analysis of monetary policy: the New Keynesian and the identified vector autoregression approaches. Stylized models of private behavior coupled with simple rules describing policy behavior characterize New Keynesian work. Vector autoregressions...

Persistent link: https://www.econbiz.de/10005514599

Priors from general equilibrium models for VARs

Negro, Marco Del; Schorfheide, Frank - Federal Reserve Bank of Atlanta - 2002

resulting model is competitive with standard benchmarks in terms of forecasting and can be used for policy analysis. …

Persistent link: https://www.econbiz.de/10005401886

A quarterly Bayesian VAR model of the US economy

Roberds, William - Federal Reserve Bank of Atlanta - 1988

Persistent link: https://www.econbiz.de/10005401912

Rational expectations and the dynamic adjustment of security analysts' forecasts to new information

Ackert, Lucy F.; Hunter, William C. - Federal Reserve Bank of Atlanta - 1993

Persistent link: https://www.econbiz.de/10005401953

Forecasting Brazilian output in the presence of breaks: a comparison of linear and nonlinear models

Chauvet, Marcelle; Lima, Elcyon C.R.; Vasquez, Brisne - Federal Reserve Bank of Atlanta - 2002

This paper compares the forecasting performance of linear and nonlinear models under the presence of structural breaks … probabilities of recessions are used to analyze the Brazilian business cycle. The ability of each model in forecasting out …-of-sample the growth rates of GDP is examined. The forecasting ability of the two models is also compared with linear specifications …

Persistent link: https://www.econbiz.de/10005401964

Improving forecasts of the federal funds rate in a policy model

Robertson, John C.; Tallman, Ellis W. - Federal Reserve Bank of Atlanta - 1999

Vector autoregression (VAR) models are widely used for policy analysis. Some authors caution, however, that the forecast errors of the federal funds rate from such a VAR are large compared to those from the federal funds futures market. From these findings, it is argued that the inaccurate...

Persistent link: https://www.econbiz.de/10005401969

Learning and monetary policy shifts

Schorfheide, Frank - Federal Reserve Bank of Atlanta - 2003

This paper estimates a dynamic stochastic equilibrium model in which agents use a Bayesian rule to learn about the state of monetary policy. Monetary policy follows a nominal interest rate rule that is subject to regime shifts. The following results are obtained. First, the author's policy...

Persistent link: https://www.econbiz.de/10005401974