Search Results
Working Paper
Nowcasting Tail Risks to Economic Activity with Many Indicators
Clark, Todd E.; Carriero, Andrea; Massimiliano, Marcellino
(2020-05-11)
This paper focuses on tail risk nowcasts of economic activity, measured by GDP growth, with a potentially wide array of monthly and weekly information. We consider different models (Bayesian mixed frequency regressions with stochastic volatility, classical and Bayesian quantile regressions, quantile MIDAS regressions) and also different methods for data reduction (either the combination of forecasts from smaller models or forecasts from models that incorporate data reduction). The results show that classical and MIDAS quantile regressions perform very well in-sample but not out-of-sample, ...
Working Papers
, Paper 20-13
Working Paper
Sticky Information Versus Sticky Prices Revisited: A Bayesian VAR-GMM Approach
Kurozumi, Takushi; Oishi, Ryohei; Van Zandweghe, Willem
(2022-11-16)
Several Phillips curves based on sticky information and sticky prices are estimated and compared using Bayesian VAR-GMM. This method derives expectations in each Phillips curve from a VAR and estimates the Phillips curve parameters and the VAR coefficients simultaneously. Quasi-marginal likelihood-based model comparison selects a dual stickiness Phillips curve in which, each period, some prices remain unchanged, consistent with micro evidence. Moreover, sticky information is a more plausible source of inflation inertia in the Phillips curve than other sources proposed in previous studies. ...
Working Papers
, Paper 22-34
Working Paper
News and Uncertainty about COVID-19: Survey Evidence and Short-Run Economic Impact
Kuester, Keith; Schoenle, Raphael; Dietrich, Alexander; Muller, Gernot J.
(2021-12-22)
A tailor-made survey documents consumer perceptions of the U.S. economy’s response to a large shock: the advent of the COVID-19 pandemic. The survey ran at a daily frequency between March 2020 and July 2021. Consumer perceptions regarding output and inflation react rapidly. Uncertainty is pervasive. A business-cycle model calibrated to the consumer views provides an interpretation. The rise in household uncertainty amplifies the pandemic recession by a factor of three. Different perceptions about monetary policy can explain why consumers and professional forecasters agree on the ...
Working Papers
, Paper 20-12R
Working Paper
A DSGE Model Including Trend Information and Regime Switching at the ZLB
Gelain, Paolo; Lopez, Pierlauro
(2023-12-27)
This paper outlines the dynamic stochastic general equilibrium (DSGE) model developed at the Federal Reserve Bank of Cleveland as part of the suite of models used for forecasting and policy analysis by Cleveland Fed researchers, which we have nicknamed CLEMENTINE (CLeveland Equilibrium ModEl iNcluding Trend INformation and the Effective lower bound). This document adopts a practitioner's guide approach, detailing the construction of the model and offering practical guidance on its use as a policy tool designed to support decision-making through forecasting exercises and policy counterfactuals.
Working Papers
, Paper 23-35
Working Paper
Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions
Clark, Todd E.; Carriero, Andrea; Marcellino, Massimiliano
(2020-09-22)
A rapidly growing body of research has examined tail risks in macroeconomic outcomes. Most of this work has focused on the risks of significant declines in GDP, and it has relied on quantile regression methods to estimate tail risks. Although much of this work discusses asymmetries in conditional predictive distributions, the analysis often focuses on evidence of downside risk varying more than upside risk. We note that this pattern in risk estimates over time could obtain with conditional distributions that are symmetric but subject to simultaneous shifts in conditional means (down) and ...
Working Papers
, Paper 20-02R
Working Paper
Affirmative Action and Racial Segregation
Hinrichs, Peter
(2019-10-17)
Prior research suggests that statewide affirmative action bans reduce minority enrollment at selective colleges while leaving overall minority college enrollment unchanged. However, the effect of these bans on across-college racial segregation has not yet been estimated. This effect is theoretically ambiguous due to a U-shaped relationship across colleges between minority enrollment and college selectivity. This paper uses variation in the timing of affirmative action bans across states to estimate their effects on racial segregation as measured by standard exposure and dissimilarity indexes, ...
Working Papers
, Paper 16-36R
Working Paper
Migration as a Vector of Economic Losses from Disaster-Affected Areas in the United States
Fussell, Elizabeth; DeWaard, Jack; Price, Kobie; Soto, Michael; Curtis, Katherine; McConnell, Kathryn; Castro, Catalina Anampa; Whitaker, Stephan
(2021-10-13)
In this paper, we infuse consideration of migration into research on economic losses from extreme weather disasters. Taking a comparative case study approach and using data from the Federal Reserve Bank of New York/Equifax Consumer Credit Panel, we document the size of economic losses via migration from 23 disaster-affected areas in the United States after the most damaging hurricanes, tornadoes, and wildfires on record. We then employ demographic standardization and decomposition to determine if these losses primarily reflect changes in out-migration or changes in the economic resources that ...
Working Papers
, Paper 21-22
Working Paper
A Unified Framework to Estimate Macroeconomic Stars
Zaman, Saeed
(2024-05-31)
This paper develops a semi-structural model to jointly estimate “stars” — long-run levels of output (its growth rate), the unemployment rate, the real interest rate, productivity growth, price inflation, and wage inflation. It features links between survey expectations and stars, time-variation in macroeconomic relationships, and stochastic volatility. Survey data help discipline stars’ estimates and have been crucial in estimating a high-dimensional model since the pandemic. The model has desirable real-time properties, competitive forecasting performance, and superior fit to the ...
Working Papers
, Paper 21-23R2
Working Paper
The Value of Unemployment Insurance: Liquidity vs. Insurance Value
Liu, Kaixin; Hernandez Martinez, Victor
(2022-05-18)
This paper argues that the value of unemployment insurance (UI) can be decomposed into a liquidity component and an insurance component. While the liquidity component captures the value of relieving the cost to access liquidity during unemployment, the insurance component captures the value of protecting the worker against a potential permanent future income loss. We develop a novel sufficient statistics method to identify each component that requires only the labor supply responses to changes in the potential duration of UI and severance payment and implement it using Spanish administrative ...
Working Papers
, Paper 22-16
Working Paper
The Effect of Local Economic Shocks on Local and National Elections
Herreño, Juan; Morales, Matias; Pedemonte, Mathieu
(2023-03-29)
We study the reaction of voters to shifts in local economic conditions. Using the departure from the gold standard of US trading partners in 1931 and the US in 1933, we exploit heterogeneity in export destinations, creating local differences in expenditure-switching in US counties by isolating the aggregate effects of the monetary shocks using time fixed effects. We find significant changes in local voting behavior in response to both shocks, one originating abroad, and another domestically. The response to both shocks have similar magnitude. We argue that voters punished and rewarded ...
Working Papers
, Paper 23-08
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Firms' Expectations 1 items
Fiscal Policy Transmission 1 items
Forecast density combination 1 items
Forecasting 1 items
Forecasting Errors 1 items
Fraud duration 1 items
Fraud effort 1 items
Frictions 1 items
Full-information Rational Expectations 1 items
GDP growth forecasts 1 items
Gaussian process 1 items
Global Financial Cycle 1 items
Gold Standard 1 items
Government Bonds 1 items
Government Spending 1 items
Government debt limits 1 items
Granularity 1 items
Growth and Development 1 items
HP trend 1 items
Habit formation 1 items
Heterogeneous Beliefs 1 items
Heterogeneous Effects of Monetary Policy 1 items
Heterogeneous Expectations 1 items
Hierarchical shrinkage 1 items
House Price Overvaluation 1 items
Household expectations 1 items
Housing Bubbles 1 items
Human Capital 1 items
IT investment 1 items
Income 1 items
Income and Earnings Distribution 1 items
Income fluctuation problems 1 items
Indeterminacy 1 items
Inelastic/Elastic Currency 1 items
Inevitable Disclosure Doctrine 1 items
Inflation 1 items
Inflation Inertia 1 items
Inflation expectations 1 items
Inflation gap persistence 1 items
Information production 1 items
Intermediate Target 1 items
Interpersonal Violence 1 items
J6 1 items
Job Polarization 1 items
Knowledge Specialization 1 items
Krusell-Smith 1 items
Labor Market Slack 1 items
Labor Mobility 1 items
Labor Supply 1 items
Layoffs 1 items
Lead bank 1 items
Lightning Network 1 items
Liquidity Constraints 1 items
Local Government Bonds 1 items
Local government 1 items
Long-term care insurance 1 items
Longitudinal 1 items
Lucas proof 1 items
Macro-finance separation 1 items
Macroeconomic Time Series 1 items
Macroeconomic uncertainty 1 items
Markov Chain Approximation 1 items
Markov Regime Shifts 1 items
Markov chain 1 items
Markov chain approximation 1 items
Markups 1 items
Marvin Goodfriend 1 items
Mass Layoffs 1 items
Medicaid 1 items
Missing data 1 items
Mixed-frequency data 1 items
Mixing 1 items
Monetary Policy Spillovers 1 items
Monetary Union 1 items
Money 1 items
Multi-agent firms 1 items
Multi-country VARs 1 items
Natural Disaster 1 items
Natural Rate 1 items
Neighborhood 1 items
Neighborhood Effect 1 items
Neo-Fisherianism 1 items
Neural Networks 1 items
New York Clearing House 1 items
Nominal rigidities 1 items
Nonlinearity 1 items
Nonparametric Modeling 1 items
Nonparametric VAR 1 items
Nurturing Relationship 1 items
OTC markets 1 items
Opportunity Atlas 1 items
Overdifferenced 1 items
Overlapping Generations 1 items
OxyContin 1 items
PETs 1 items
Panel Data 1 items
Panic of 1907 1 items
Persistence Dependence 1 items
Perturbation methods 1 items
Phillips Curve 1 items
Policy Effects 1 items
Policy Interventions 1 items
Predictability 1 items
Prediction 1 items
Price-setting 1 items
Proxy Variables 1 items
Quantile regression 1 items
Quantitative easing 1 items
R&D 1 items
R1 1 items
RMVN 1 items
Rao-Blackwellization 1 items
Rate of Return Heterogeneity 1 items
Regression Trees 1 items
Rent-price Ratio 1 items
Reserve Bank Organization Committee 1 items
Reserve pyramiding 1 items
Residual-Based Moving Block Bootstrap 1 items
Risk 1 items
Risk Committee 1 items
Risky steady state 1 items
Rivals 1 items
S&P 500 1 items
Saving Jobs 1 items
Scale mixtures 1 items
Search 1 items
Sectoral Heterogeneity 1 items
Sectoral expectations 1 items
Security Markets 1 items
Sequential Monte Carlo 1 items
Simulation 1 items
Small business lending 1 items
Social Insurance 1 items
Solving dynamic equilibrium models 1 items
Spatial Inequality 1 items
Spatial Sorting 1 items
Stabilization 1 items
Steady-state Inflation 1 items
Sticky Information 1 items
Sticky Price 1 items
Sticky Wages 1 items
Stochastic Volatility 1 items
Stochastic volatility 1 items
Structural Vector Autoregression 1 items
Structural term structure modeling 1 items
Supercore inflation 1 items
Survey 1 items
Survey Data 1 items
Survey of Professional Forecasters 1 items
Surveys 1 items
TANK 1 items
Tax reform 1 items
Taylor Rule 1 items
Term structure 1 items
Time-varying Parameters 1 items
Time-varying risk premia 1 items
Toxic Stress 1 items
Trade 1 items
Treasury note 1 items
US Elections 1 items
US Treasury 1 items
Universal Basic Income 1 items
Urban Wage Premium 1 items
Variance forecasts 1 items
WARN Act 1 items
WARN act 1 items
Wage Inequality 1 items
Wage Rigidity 1 items
Waves of Over- and Under-Reaction 1 items
Wealth 1 items
Wealth Effects 1 items
Wealth Inequality 1 items
Wild Bootstrap 1 items
Yield curve 1 items
Zero Interest Rates 1 items
accelerated depreciation 1 items
addiction 1 items
adverse selection 1 items
affirmative action 1 items
age distribution 1 items
aggregate consumption 1 items
aggregate productivity 1 items
aggregation effects 1 items
ambiguous communication 1 items
amplification 1 items
asymmetry 1 items
attention 1 items
auctions 1 items
average inflation targeting 1 items
average markup 1 items
average rent growth 1 items
bank capital 1 items
bank credit 1 items
banking 1 items
banking networks 1 items
bitcoin 1 items
blockchain 1 items
business taxation 1 items
capital requirements 1 items
capital-skill complementarity 1 items
cash buyers 1 items
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