Search Results

Showing results 1 to 4 of approximately 4.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Rossi, Barbara 

Working Paper
Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence

Does the Federal Reserve have an “information advantage” in forecasting macroeconomic variables beyond what is known to private sector forecasters? And are market participants reacting only to monetary policy shocks or also to future information on the state of the economy that the Federal Reserve communicates in its announcements via an “information channel”? This paper investigates the evolution of the information channel over time. Although the information channel appears to be important historically, we find no empirical evidence of its presence in the recent years once ...
Working Paper Series , Paper 2020-08

Working Paper
Information criteria for impulse response function matching estimation of DSGE models

We propose a new information criterion for impulse response function matching estimators of the structural parameters of macroeconomic models. The main advantage of our procedure is that it allows the researcher to select the impulse responses that are most informative about the deep parameters, therefore reducing the bias and improving the efficiency of the estimates of the model?s parameters. We show that our method substantially changes key parameter estimates of representative dynamic stochastic general equilibrium models, thus reconciling their empirical results with the existing ...
FRB Atlanta Working Paper , Paper 2007-10

Working Paper
Can oil prices forecast exchange rates?

This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S. dollar nominal exchange rate. Despite state-of-the-art methodologies, the authors find little systematic relation between oil prices and the exchange rate at the monthly and quarterly frequencies. In contrast, the main contribution is to show the existence of a very short-term relationship at the daily frequency, which is rather robust and holds no matter whether the authors use contemporaneous (realized) or lagged oil prices in their regression. However, in the latter case ...
Working Papers , Paper 11-34

Working Paper
Out-of-sample forecast tests robust to the choice of window size

This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over a wide range of window sizes. The authors show that the tests proposed in the literature may lack the power to detect predictive ability and might be subject to data snooping across different window sizes if used repeatedly. An empirical application shows the usefulness of the methodologies for evaluating exchange rate models' forecasting ability.
Working Papers , Paper 11-31

FILTER BY year

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

C11 1 items

C14 1 items

C22 1 items

C52 1 items

C53 1 items

PREVIOUS / NEXT