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Working Paper
Explosive Dynamics in House Prices? An Exploration of Financial Market Spillovers in Housing Markets Around the World
Asset prices in general, and real house prices in particular, are often characterized by a nonlinear data-generating process which displays mildly explosive behavior in some periods. Here, we investigate the emergence of explosiveness in the dynamics of real house prices and the role played by asset market spillovers. We establish a timeline of periodically-collapsing episodes of explosiveness for a panel of 23 countries from the Federal Reserve Bank of Dallas? International House Price Database (Mack and Martnez-Garca (2011)) between first quarter 1975 and fourth quarter 2015 using the ...
Spanish-Speaking Growth in Texas Reinforces Need to Close Education Gaps
The Eleventh Federal Reserve District has the second-largest native Spanish-language population in the Federal Reserve System. That population will grow further as the number of Hispanics exceeds 20 million in Texas alone by 2050.
Working Paper
A multi-country approach to forecasting output growth using PMIs
This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence of a strong unobserved common factor can lead to an undetermined GVAR model. To solve this problem, we propose augmenting the GVAR with additional proxy equations for the strong factors and establish conditions under which forecasts from the augmented GVAR model (AugGVAR) uniformly converge in probability (as the panel dimensions N,T? ? such that N/T?? for some 0
Journal Article
Risk, uncertainty separately cloud global growth forecasting
Forecasts of global growth have historically been imprecise, punctuated by periods of optimism and pessimism. Inaccuracy in forecasting partly reflects quantifiable risks to the global outlook as well as economic uncertainty.
Journal Article
Consequences of the Euro: monetary union, economic disunion?
Forming a monetary union brings the benefits of a shared currency but also?as the experience of the euro area shows in the years following the global financial crisis?significant costs associated with the loss of monetary policy independence and exchange rate flexibility.
Journal Article
Go Figure: Texas Home Prices Head Through the Roof
Working Paper
On the Nexus of Monetary Policy and Financial Stability: Novel Asset Market Monitoring Tools for Building Economic Resilience and Mitigating Financial Risks
In this note we argue that asset pricing bubbles are an important source of financial instabilities. First, the literature has tended to overlook bubbles and their consequences under the premise that they are hard to detect in real time. We suggest that novel statistical techniques allow us to overcome those prejudices as they provide valuable signals of emerging exuberance in real‐time. Second, monetary policy has been slow to recognize that financial instability arising from bubbles can have adverse effects on the transmission mechanism of monetary policy itself and on the types of risks ...
Working Paper
A contribution to the chronology of turning points in global economic activity (1980-2012)
The Database of Global Economic Indicators (DGEI) of the Federal Reserve Bank of Dallas is aimed at standardizing and disseminating world economic indicators for the study of globalization. It includes a core sample of 40 countries with available indicators and broad coverage for quarterly real GDP, and the monthly series of industrial production (IP), Purchasing Managers Index (PMI), merchandise exports and imports, headline CPI, CPI (ex. food and energy), PPI/WPI inflation, nominal and real exchange rates, and official/policy interest rates (see Grossman, Mack, and Martnez-Garca (2013)). ...
Working Paper
Database of global economic indicators (DGEI): a methodological note
The Database of Global Economic Indicators (DGEI) from the Federal Reserve Bank of Dallas is aimed at standardizing and disseminating world economic indicators for policy analysis and scholarly work on the role of globalization. The purpose of DGEI is to offer a broad perspective on how economic developments around the world influence the U.S. economy with a wide selection of indicators. DGEI is automated within an Excel-VBA and E-views framework for the processing and aggregation of multiple country time series. It includes a core sample of 40 countries with available indicators and broad ...
Taking the Global Housing Market’s Temperature: Is It Running a Fever (Again)?
The current trajectory prompts the question: Do markets face the prospect of a housing bubble once again? Alternatively, are price increases in step with housing market fundamentals?