In this paper we present a multivariate analysis of the Federal Reserve’s forecasts. First, we use existing univariate methods to evaluate each of the Fed’s forecasts of the ten major expenditure categories of real GDP which have not previously been evaluated in the literature. Second, we...

The recent global recession requires policy makers to identify the relative importance of shock transmission mechanisms in each region and devise counter policy measures against future idiosyncratic shocks. In the last decade, world dynamics have changed considerably due to increased openness...

We provide empirical evidence on the impact of oil supply shocks on global aggregates. To do this, we first extract structural oil supply shocks from a standard oil-price determination model found in the literature. Impulse response functions are then estimated using local projections. This...

This paper examines the sources of fluctuations in inflation and output in two leading transitioneconomy candidates for admission to the European Union (EU), Poland and Hungary. Using a rational expectations, dynamic open economy aggregate supply- aggregate demand model, we consider real oil...

For over five decades, diffusion indexes have been widely used by statistical and economic agencies as an instrument to summarize the dynamics of a group of disaggregated time-series economic data. In this note we revise the methods for constructing diffusion indexes, propose a novel generalized...

Multiresolution wavelet analysis is a natural way to decompose an economic time series into trend, cycle, and noise. The method is illustrated with GDP data. The business-cycle component of the wavelet-filtered series closely resembles the series filtered by the approximate bandpass filter

This paper presents a Bayesian methodology for estimating probability of a downturn in the economy and applies it to the 2007-2008 state of the U.S. economy with the focus on investigating the occurrence of a recession. In the methodological development, information theory (Kullback and Shannon)...

Using real-time data, we analyze how the systematic expectation errors of professional forecasters in 19 advanced economies depend on the state of the business cycle. Our results indicate that the general result that forecasters systematically overestimate output growth (across all countries)...

This paper examines the sources of fluctuations in inflation and output in two leading transition- economy candidates for admission to the European Union (EU), Poland and Hungary. Using a rational expectations, dynamic open economy aggregate supply- aggregate demand model, we consider real oil...

Using a recursive modeling approach and data from the Euro area, the following paper analyzes the counter-cyclicity, stock price volatility is believed to demonstrate with respect to the state of the economy. It further tests whether such interdependence is exploitable for volatility...