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Author:Sbordone, Argia M. 

Report
Macroeconomic nowcasting and forecasting with big data

Data, data, data . . . Economists know it well, especially when it comes to monitoring macroeconomic conditions?the basis for making informed economic and policy decisions. Handling large and complex data sets was a challenge that macroeconomists engaged in real-time analysis faced long before ?big data? became pervasive in other disciplines. We review how methods for tracking economic conditions using big data have evolved over time and explain how econometric techniques have advanced to mimic and automate the best practices of forecasters on trading desks, at central banks, and in other ...
Staff Reports , Paper 830

Discussion Paper
Developing a Narrative: the Great Recession and Its Aftermath

The severe recession experienced by the U.S. economy between December 2007 and June 2009 has given way to a disappointing recovery. It took three and a half years for GDP to return to its pre-recession peak, and by most accounts this broad measure of economic activity remains below trend today. What precipitated the U.S. economy into the worst recession since the Great Depression? And what headwinds are holding back the recovery? Are these headwinds permanent, calling for a revision of our assessment of the economy?s speed limit? Or are they transitory, although very long-lasting, as the ...
Liberty Street Economics , Paper 20140924

Discussion Paper
Monitoring Economic Conditions during a Government Shutdown

The recent partial shutdown of the federal government has disrupted publication schedules for many U.S. Census Bureau and Bureau of Economic Analysis (BEA) data releases. Most notably, the release of GDP for the fourth quarter of 2018—originally scheduled for January 30—has been postponed indefinitely. Even without the full slate of Census Bureau and BEA releases, forecasters have continued to make predictions for 2018:Q4 GDP growth; as of February 1, the New York Fed Staff Nowcast stands at 2.6 percent, the Atlanta Fed’s GDPNow stands at 2.5 percent, and the Blue Chip Financial ...
Liberty Street Economics , Paper 20190205

Report
The FRBNY DSGE model

The goal of this paper is to present the dynamic stochastic general equilibrium (DSGE) model developed and used at the Federal Reserve Bank of New York. The paper describes how the model works, how it is estimated, how it rationalizes past history, including the Great Recession, and how it is used for forecasting and policy analysis.
Staff Reports , Paper 647

Report
A Large Bayesian VAR of the United States Economy

We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are tracked by the Federal Reserve. We show how the model can be used for understanding key features of the data, constructing counterfactual scenarios, and evaluating the macroeconomic environment both retrospectively and prospectively. Considering its breadth and versatility for policy applications, our modeling approach gives a reliable, reduced form ...
Staff Reports , Paper 976

Journal Article
Policy analysis using DSGE models: an introduction

Many central banks have come to rely on dynamic stochastic general equilibrium, or DSGE, models to inform their economic outlook and to help formulate their policy strategies. But while their use is familiar to policymakers and academics, these models are typically not well known outside these circles. This article introduces the basic structure, logic, and application of the DSGE framework to a broader public by providing an example of its use in monetary policy analysis. The authors present and estimate a simple New Keynesian DSGE model, highlighting the core features that this basic ...
Economic Policy Review , Volume 16 , Issue Oct , Pages 23-43

Working Paper
Consumer confidence and economic fluctuations

Working Paper Series, Macroeconomic Issues , Paper 93-13

Conference Paper
An optimizing model of U.S. wage and price dynamics

The objective of this paper is to provide an optimizing model of wage and price setting consistent with U.S. data. I first investigate the predictions of an optimizing labor supply model for the aggregate nominal wage, taking as given the evolution of prices and quantities. In this part I seek to determine whether a standard specification of households? preferences over consumption and leisure is consistent with the data, and to what extent nominal rigidities in the wage setting process improve the fit with the data. Then I combine the evolution of wages predicted by this model with the ...
Proceedings , Issue Mar

Report
The macroeconomics of trend inflation

Most macroeconomic models for monetary policy analysis are approximated around a zero inflation steady state, but most central banks target an inflation rate of about 2 percent. Many economists have recently proposed even higher inflation targets to reduce the incidence of the zero lower bound constraint on monetary policy. In this survey, we show that the conduct of monetary policy should be analyzed by appropriately accounting for the positive trend inflation targeted by policymakers. We first review empirical research on the evolution and dynamics of U.S. trend inflation and some proposed ...
Staff Reports , Paper 628

Journal Article
Does inflation reduce productivity?

Economic Perspectives , Volume 18 , Issue Nov

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