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The FRBNY DSGE model
The goal of this paper is to present the dynamic stochastic general equilibrium (DSGE) model developed and used at the Federal Reserve Bank of New York. The paper describes how the model works, how it is estimated, how it rationalizes past history, including the Great Recession, and how it is used for forecasting and policy analysis.
Discussion Paper
Introducing the SCE Housing Survey
In February 2014, we administered a survey on housing-related issues to the Survey of Consumer Expectations (SCE) panelists. Our primary goal was to secure rich and high-quality information on consumers? experiences and expectations regarding housing. The survey, among other things, collected data on households? perceptions and expectations of the growth in home prices, their intentions regarding moving or buying a new home, and their access to credit. In addition, for homeowners, we collected detailed information on their mortgage debt, past experiences such as foreclosure or refinancing, ...
Discussion Paper
An Assessment of the FRBNY DSGE Model's Real-Time Forecasts, 2010-2013
In this blog post, we discuss the real-time forecasts from the FRBNY DSGE model starting from March 2010, when we began producing policy forecasts, and provide an assessment of the model’s overall forecasting accuracy. The forecasts have been produced roughly eight times a year, about two weeks before each Federal Open Market Committee (FOMC) meeting, and have all been released in internal documents. Note that the FRBNY DSGE forecast is not the official FRBNY staff forecast and that the specification of the model has evolved over time, reflecting attempts to capture important features of ...
Discussion Paper
Why Are Interest Rates So Low?
In a recent series of blog posts, the former Chairman of the Federal Reserve System, Ben Bernanke, has asked the question: 'Why are interest rates so low?' (See part 1, part 2, and part 3.) He refers, of course, to the fact that the U.S. government is able to borrow at an annualized rate of around 2 percent for ten years, or around 3 percent for thirty years. If you expect that inflation is going to be on average 2 percent over the next ten or thirty years, this implies that the U.S. government can borrow at real rates of interest between 0 and 1 percent at the ten- and thirty-year ...
Discussion Paper
The FRBNY DSGE Model Forecast
The U.S. economy has been in a gradual but slow recovery. Will the future be more of the same? This post presents the current forecasts from the Federal Reserve Bank of New York’s (FRBNY) DSGE model, described in our earlier “Bird’s Eye View” post, and discusses the driving forces behind the forecasts. Find the code used for estimating the model and producing all the charts in this blog series here. (We should reiterate that these are not the official New York Fed staff forecasts, but only an input to the overall forecasting process at the Bank.)