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Nonlinear risk
Potter, Simon M.; Chauvet, Marcelle (1999)
This paper proposes a flexible framework for analyzing the joint time series properties of the level and volatility of expected excess stock returns. An unobservable dynamic factor is constructed as a nonlinear proxy for the market risk premia with its first moment and conditional volatility driven by a latent Markov variable. The model allows for the possibility that the risk-return relationship may not be constant across the Markov states or over time. We find a distinct business cycle pattern in the conditional expectation and variance of the monthly value-weighted excess return. ...
Staff Reports , Paper 61

Speech
Remarks to the Assembly of Governors of the Association of African Central Banks, South African Reserve Bank, Pretoria, South Africa
Potter, Simon M. (2017-08-16)
Remarks to the Assembly of Governors of the Association of African Central Banks, South African Reserve Bank, Pretoria, South Africa.
Speech , Paper 253

Discussion Paper
Conclusion: How Low Will the Unemployment Rate Go?
Potter, Simon M.; McCarthy, Jonathan; Sahin, Aysegul (2012-04-02)
A major theme of the posts in our labor market series has been that the outflows from unemployment, either into employment or out of the labor force, have been the primary determinant of unemployment rate dynamics in long expansions. The key to the importance of outflows is that within long expansions there have not been adverse shocks that lead to a burst of job losses. To illustrate the power of this mechanism, we presented simulations in a previous post that were based on the movements in the outflow and inflow rates in the previous three expansions. These simulated paths show the ...
Liberty Street Economics , Paper 20120402

Report
Recent changes in the U.S. business cycle
Chauvet, Marcelle; Potter, Simon M. (2001)
The U.S. business cycle expansion that started in March 1991 is the longest on record. This paper uses statistical techniques to examine whether this expansion is a onetime unique event or whether its length is a result of a change in the stability of the U.S. economy. Bayesian methods are used to estimate a common factor model that allows for structural breaks in the dynamics of a wide range of macroeconomic variables. We find strong evidence that a reduction in volatility is common to the series examined. Further, the reduction in volatility implies that future expansions will be ...
Staff Reports , Paper 126

Speech
Improving the measurement of inflation expectations
Potter, Simon M. (2012)
Remarks at the Barclays 16th Annual Global Inflation-Linked Conference, New York City.
Speech , Paper 84

Report
Forecasting recessions using the yield curve
Potter, Simon M.; Chauvet, Marcelle (2001)
We compare forecasts of recessions using four different specifications of the probit model: a time-invariant conditionally independent version, a business cycle specific conditionally independent model, a time-invariant probit with autocorrelated errors, and a business cycle specific probit with autocorrelated errors. ; The more sophisticated versions of the model take into account some of the potential underlying causes of the documented predictive instability of the yield curve. We find strong evidence in favor of the more sophisticated specification, which allows for multiple breakpoints ...
Staff Reports , Paper 134

Speech
The implementation of current asset purchases
Potter, Simon M. (2013)
Remarks at the Forecasters Club of New York, New York City.
Speech , Paper 100

Report
Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences
Ghysels, Eric; Onorante, Luca; Alessi, Luci; Potter, Simon M.; Peach, Richard (2014-07-01)
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
Dinner address for the Bank of England-Federal Reserve Bank of New York Conference on Money Markets and Monetary Policy Implementation
Potter, Simon M. (2015-11-16)
Remarks at the Bank of England-Federal Reserve Bank of New York Conference on Money Markets and Monetary Policy Implementation, London, United Kingdom.
Speech , Paper 186

Speech
Challenges posed by the evolution of the Treasury market
Potter, Simon M. (2015-04-13)
Remarks at the 2015 Primary Dealer Meeting, New York City.
Speech , Paper 162

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