Central banks analyze a wide range of data to obtain better measures of underlying inflationary pressures. Factor models have widely been used to formalize this procedure. Using a dynamic factor model this paper develops a measure of underlying inflation (UIG) at time horizons of relevance for...

This paper proposes a new procedure for shock identification of macroeconomic forecasts based on factor analysis. Our identification scheme for information shocks relies on data reduction techniques for daily panels and the recognition that macroeconomic releases exhibit a high level of...

This paper analyzes the pass-through from import prices to consumer price index (CPI) inflation in real time. Our strategy follows an event-study approach that compares inflation forecasts before and after import price releases. Inflation forecasts are modeled using a dynamic factor procedure...

Monetary policymakers and long-term investors would benefit greatly from a measure of underlying inflation that uses all relevant information, is available in real-time, and forecasts inflation better than traditional underlying inflation measures such as core inflation measures. This paper...

Remarks before the Japan Center for Economic Research, Tokyo, Japan.

Remarks at the SIFMA Conference on Securities Financing Transactions, New York City.

Remarks at the 2015 Primary Dealer Meeting, New York City.

Remarks at the Money Marketeers of New York University, New York City.

Remarks at New York University's Stern School of Business, New York City.

Remarks at the Annual Meeting with Primary Dealers, New York City.