Search Results
Journal Article
Is inflation targeting best-practice monetary policy?
Working Paper
Credit spreads as predictors of real-time economic activity: a Bayesian Model-Averaging approach
Employing a large number of financial indicators, we use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. The indicators include credit spreads based on portfolios--constructed directly from the secondary market prices of outstanding bonds--sorted by maturity and credit risk. Relative to an autoregressive benchmark, BMA yields consistent improvements in the prediction of the cyclically-sensitive measures of economic activity at horizons from the current quarter out to four quarters hence. The gains in forecast accuracy are statistically significant and ...
Journal Article
Will higher corporate debt worsen future recessions?
Working Paper
Block distributed methods for solving multi-country econometric models.
This paper examines variations on a baseline Fair-Taylor algorithm used to solve multi-country, rational expectations models. One notable feature of these variations is the ability to exploit small-scale distributed processing using a network of workstations or PCs. Using four processors to solve MX-4 (152 endogenous variables), the largest speedup factor relative to Fair-Taylor is 59; for RE-7 (978 endogenous variables) the maximum speedup factor is 12.
Working Paper
Exchange rate forecasting: the errors we've really made
We examine the forecasting performance of standard macro models of exchange rates in real time, using dozens of different vintages of the OECD's Main Economic Indicators database. We calculate out-of-sample forecasts as they would have been made at the time, and compare them to a random walk alternative. The resulting "time series" of forecast performance indicates that both data revisions and changes in the sample period typically have large effects on exchange rate predictability. We show that the favorable evidence of long-horizon exchange rate predictability for the DM and Yen in Mark ...
Journal Article
Summary of Papers Presented at the Conference "Models and Monetary Policy: Research in the Tradition of Dale Henderson, Richard Porter, and Peter Tinsley"
On March 26 and 27, 2004, the Federal Reserve Board held a conference in Washington, D.C., on the application of economic models to the analysis of monetary policy issues. The papers presented at the conference addressed several topics that, because they are of interest to central bankers, have been a prominent feature of Federal Reserve research over the years. In particular, the papers represent research in the tradition of work carried out over the past thirty-five years at the Federal Reserve by three prominent staff economists -- Dale W. Henderson, Richard D. Porter, and Peter A. ...
Working Paper
The equilibrium degree of transparency and control in monetary policy
We examine a central bank's endogenous choice of degree of control and degree of transparency, under both commitment and discretion. Under commitment, we find that the deliberate choice of sloppy control is far less likely under a standard central-bank loss function than reported for a less-standard loss function by Cukierman and Meltzer. Under discretion, the maximum degree of control is the only equilibrium. With regard to the degree of transparency, under commitment, a sufficiently patient bank with sufficiently low average inflation bias will always choose minimum transparency. Under ...
Journal Article
Velocity behavior of the new monetary aggregates
Journal Article
Does the inverted yield curve signal a recession?