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Author:Vazquez-Grande, Francisco 

Discussion Paper
Out-of-Sample Performance of Recession Probability Models

This note discusses the out-of-sample (OOS) performance of several probit models used to assess the likelihood that the U.S. economy will be in a recession within the following year.
FEDS Notes , Paper 2019-12-13-1

Discussion Paper
The Stock Market–Real Economy "Disconnect": A Closer Look

Between March and September 2020, broad equity price indexes around the world experienced a historic rally. Although this rally followed a significant decline in stock prices, it appears difficult to explain due to continuing concerns about the global pandemic and national economies running far below their potentials.
FEDS Notes , Paper 2020-10-14-2

Working Paper
Nominal Rigidities and the Term Structures of Equity and Bond Returns

A downward-sloping term structure of equity and upward-sloping term structures of interest rates arise endogenously in a general-equilibrium model with nominal rigidities and nonlinear habits in consumption. Countercyclical marginal costs exacerbate the procyclicality of dividends after a technology shock, and hence their riskiness, and generate countercyclical inflation. Marginal costs gradually fall after a negative technology shock as the price level increases sluggishly, so the payoffs of short-duration dividend claims (bonds) are more (less) procyclical than the payoffs of long-duration ...
Finance and Economics Discussion Series , Paper 2015-64

Working Paper
Measuring the Natural Rate of Interest : A Note on Transitory Shocks

We present evidence that the natural rate of interest is buffeted by both permanent and transitory shocks. We establish this result by estimating a benchmark model with Bayesian methods and loose priors on the unobserved drivers of the natural rate. When subject to transitory shocks, the median estimate for the U.S. economy is more procyclical, displays a less marked secular decline, and is therefore higher following the Great Recession than most estimates in the literature.
Finance and Economics Discussion Series , Paper 2017-059


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