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Journal Article
In search of a robust inflation forecast
It is difficult to consistently improve upon forecasts of inflation based solely on the most recent data on inflation. In this article, we show how to do so. Our main finding is that the most robust forecasts combine information from several different forecasting models, each of which incorporates the information in the available inflation indicators in different ways.
Working Paper
Forecasting Economic Activity with Mixed Frequency Bayesian VARs
Mixed frequency Bayesian vector autoregressions (MF-BVARs) allow forecasters to incorporate a large number of mixed frequency indicators into forecasts of economic activity. This paper evaluates the forecast performance of MF-BVARs relative to surveys of professional forecasters and investigates the influence of certain specification choices on this performance. We leverage a novel real-time dataset to conduct an out-of-sample forecasting exercise for U.S. real gross domestic product (GDP). MF-BVARs are shown to provide an attractive alternative to surveys of professional forecasters for ...
Newsletter
Estimating the trend in employment growth
For the unemployment rate to decline, the U.S. economy needs to generate above-trend job growth. We currently estimate trend employment growth to be around 80,000 jobs per month, and we expect it to decline over the remainder of the decade, due largely to changing labor force demographics and slower population growth.
Newsletter
How does labor adjustment in this recession compare with the past?
The authors examine how firms are adjusting their work force during the current recession in comparison with other recessions over the past 40 years.
Working Paper
Gathering insights on the forest from the trees: a new metric for financial conditions
By incorporating the Harvey accumulator into the large approximate dynamic factor framework of Doz et al. (2006), we are able to construct a coincident index of financial conditions from a large unbalanced panel of mixed frequency financial indicators. We relate our financial conditions index, or FCI, to the concept of a "financial crisis" using Markov-switching techniques. After demonstrating the ability of the index to capture "crisis" periods in U.S. financial history, we present several policy-geared threshold rules for the FCI using Receiver Operator Characteristics (ROC) curve ...
Newsletter
The Chicago Fed National Activity Index and business cycles
This article discusses how the Chicago Fed National Activity Index?a monthly index designed to gauge economic activity and related inflationary pressures?can be used as an indicator of business cycle turning points.
Newsletter
Economic trends and the Chicago Fed National Activity Index
This article discusses an experimental methodology for the Chicago Fed National Activity Index?a monthly index designed to gauge overall economic activity and inflationary pressure. The goal is to see how well it accounts for recent structural changes in the U.S. economy.
Working Paper
The Chicago Fed DSGE model
The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the Federal Reserve Bank of Chicago. This article describes its specification and estimation, its dynamic characteristics and how it is used to forecast the US economy. In many respects the model resembles other medium scale New Keynesian frameworks, but there are several features which distinguish it: the monetary policy rule includes forward guidance, productivity is driven by neutral and investment specific technical change, multiple price indices identify inflation and there ...
Newsletter
A different way to review the Chicago Fed National Activity Index
This article analyzes the recent sources of strength and weakness in the Chicago Fed National Activity Index (CFNAI), using a new measure that is often a leading indicator of the index?s movements.