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Author:Potter, Simon M. 

Report
Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences

This paper documents macroeconomic forecasting during the global financial crisis by two key central banks: the European Central Bank and the Federal Reserve Bank of New York. The paper is the result of a collaborative effort between the two institutions, allowing us to study the time-stamped forecasts as they were made throughout the crisis. The analysis does not focus exclusively on point forecast performance. It also examines density forecasts, as well as methodological contributions, including how financial market data could have been incorporated into the forecasting process.
Staff Reports , Paper 680

Speech
Is there room for more monetary cooperation?: panel discussion remarks at the Global Financial Stability in a New Monetary Environment conference, Paris, France

Panel discussion remarks at the Global Financial Stability in a New Monetary Environment conference, Paris, France.
Speech , Paper 218

Working Paper
Monetary policy implementation with an ample supply of reserves

Methods of monetary policy implementation continue to change. The level of reserve supply—scarce, abundant, or somewhere in between—has implications for the efficiency and effectiveness of an implementation regime. The money market events of September 2019 highlight the need for an analytical framework to better understand implementation regimes. We discuss major issues relevant to the choice of an implementation regime, using a parsimonious framework and drawing from the experience in the United States since the 2007-2009 financial crisis. We find that the optimal level of reserve supply ...
Working Paper Series , Paper WP-2020-02

Speech
The implementation of current asset purchases

Remarks at the Annual Meeting with Primary Dealers, New York City.
Speech , Paper 98

Speech
Discussion of “Evaluating Monetary Policy Operational Frameworks” by Ulrich Bindseil: remarks at the 2016 Economic Policy Symposium at Jackson Hole, Wyoming

Remarks at the 2016 Economic Policy Symposium at Jackson Hole, Wyoming.
Speech , Paper 216

Speech
Improving the measurement of inflation expectations

Remarks at the Barclays 16th Annual Global Inflation-Linked Conference, New York City.
Speech , Paper 84

Speech
Money markets and monetary policy normalization

Remarks at the Money Marketeers of New York University, New York City.
Speech

Report
Dynamic hierarchical factor models

This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework achieves dimension reduction and yet explicitly allows for heterogeneity between blocks. The model is estimated using a Markov chain Monte-Carlo algorithm that takes into account the hierarchical structure of the factors. We organize a panel of 447 series into blocks according to the timing of data ...
Staff Reports , Paper 412

Speech
Models only get you so far: remarks for the Federal Reserve Banks of Atlanta and New York's First Annual Joint Research Day on Quantitative Tools for Monitoring Macroeconomic and Financial Conditions, Federal Reserve Bank of New York, New York City

Remarks for the Federal Reserve Banks of Atlanta and New York's First Annual Joint Research Day on Quantitative Tools for Monitoring Macroeconomic and Financial Conditions, Federal Reserve Bank of New York, New York City.
Speech , Paper 306

Report
Forecasting and estimating multiple change-point models with an unknown number of change points

This paper develops a new approach to change-point modeling that allows for an unknown number of change points in the observed sample. Our model assumes that regime durations have a Poisson distribution. The model approximately nests the two most common approaches: the time-varying parameter model with a change point every period and the change-point model with a small number of regimes. We focus on the construction of reasonable hierarchical priors both for regime durations and for the parameters that characterize each regime. A Markov Chain Monte Carlo posterior sampler is constructed to ...
Staff Reports , Paper 196

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