Search Results
Working Paper
Evaluating McCallum's rule when monetary policy matters
This paper provides new evidence on the usefulness of McCallum's proposed rule for monetary policy. The rule targets nominal GDP using the monetary base as the instrument. We analyze the rule using three very different economic models to see if the rule works well in different environments. Our results suggest that while the rule leads to lower inflation than there has been over the last 30 years, instability problems suggest that the rule should be modified to feed back on the growth rate of nominal GDP rather than the level.
Working Paper
Forecasting coin demand.
Shortages of coins in 1999 and 2000 motivated the authors to develop models for forecasting coin demand. A variety of models were developed, tested, and used in realtime forecasting. This paper describes the models that were developed and examines the forecast errors from the models both in quasi-ex-ante forecasting exercises and in realtime use. Tests for forecast efficiency are run on each model. Real-time forecasts are examined. The authors conclude with suggestions for further refinements of the models.
Journal Article
Real-time performance of GDPplus and alternative model-based measures of GDP: 2005—2014
Like most macroeconomic variables, real gross domestic product is subject to measurement error. Because the U.S. Bureau of Economic Analysis lacks complete information at the time it publishes its initial GDP estimates, revisions are often substantial. Analysts concerned about the accuracy of these early estimates for expenditure GDP could focus instead on gross domestic income, the BEA?s measure of U.S. output on the income side of the national accounts. Conceptually, GDP on the expenditure side should equal GDP on the income side, and there should be no choice to make between the two ...
Journal Article
Evaluating McCallum's rule for monetary policy
Working Paper
A real-time data set for marcoeconomists: does the data vintage matter?
This paper presents a real-time data set that can be used by economists for testing the robustness of published econometric results, for analyzing policy, and for forecasting. The data set consists of vintages, or snapshots, of the major macroeconomic data available at quarterly intervals in real time. The paper illustrates why such data may matter, explains the construction of the data set, examines the properties of several of the variables in the data set across vintages, and examines key empirical papers in macroeconomics, investigating their robustness to different vintages.
Working Paper
Do Phillips curves conditionally help to forecast inflation?
This paper reexamines the forecasting ability of Phillips curves from both an unconditional and conditional perspective by applying the method developed by Giacomini and White (2006). We find that forecasts from our Phillips curve models tend to be unconditionally inferior to those from our univariate forecasting models. We also find, however, that conditioning on the state of the economy sometimes does improve the performance of the Phillips curve model in a statistically significant manner. When we do find improvement, it is asymmetric -- Phillips curve forecasts tend to be more accurate ...
Working Paper
Do Phillips Curves Conditionally Help to Forecast Inflation?
This paper reexamines the forecasting ability of Phillips curves from both an unconditional and conditional perspective by applying the method developed by Giacomini and White (2006). We find that forecasts from our Phillips curve models tend to be unconditionally inferior to those from our univariate forecasting models. Significantly, we also find conditional inferiority, with some exceptions. When we do find improvement, it is asymmetric - Phillips curve forecasts tend to be more accurate when the economy is weak and less accurate when the economy is strong. Any improvement we find, ...
Working Paper
Macroeconomic forecasts and microeconomic forecasters in the Survey of Professional Forecasters
Do professional forecasters distort their reported forecasts in a way that compromises accuracy? New research in the theory of forecasting suggests such a possibility. In a recent paper, Owen Lamont finds that forecasters in the Business Week survey make more radical forecasts as they gain experience. In this paper, the authors uses forecasts from the Federal Reserve Bank of Philadelphia's Survey of Professional Forecasters to test the robustness of Lamont's results. The author's results contradict Lamont's. However, careful examination of a methodological difference in the two surveys ...