Search Results

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Report
Revisiting useful approaches to data-rich macroeconomic forecasting
Kapetanios, George; Groen, Jan J. J. (2008)
This paper analyzes the properties of a number of data-rich methods that are widely used in macroeconomic forecasting, in particular principal components (PC) and Bayesian regressions, as well as a lesser-known alternative, partial least squares (PLS) regression. In the latter method, linear, orthogonal combinations of a large number of predictor variables are constructed such that the covariance between a target variable and these common components is maximized. Existing studies have focused on modelling the target variable as a function of a finite set of unobserved common factors that ...
Staff Reports , Paper 327

Working Paper
The Intermittent Phillips Curve: Finding a Stable (But Persistence-Dependent) Phillips Curve Model Specification
Verbrugge, Randal; Ashley, Richard (2023-02-14)
We establish that the Phillips curve is persistence-dependent: inflation responds differently to persistent versus moderately persistent (or versus transient) fluctuations in the unemployment rate gap. This persistence-dependent relationship appears to align with business-cycle stages and is thus consistent with existing theory. Previous work fails to model this dependence, thereby finding numerous "inflation puzzles" – e.g., missing inflation/disinflation – noted in the literature. Our specification eliminates these puzzles; for example, the Phillips curve has not weakened, nor was ...
Working Papers , Paper 19-09R2

Working Paper
Hedging and Pricing in Imperfect Markets under Non-Convexity
Assa, Hirbod; Gospodinov, Nikolay (2014-08-01)
This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies for a wide family of risk measures and pricing rules, which are possibly non-convex. The practical implications of our proposed theoretical approach are illustrated with an application on hedging economic risk.
FRB Atlanta Working Paper , Paper 2014-13

Report
Changing Risk-Return Profiles
Hundtofte , Sean; Giannone, Domenico; Crump, Richard K.; Everaert, Miro (2018-06-01)
We show that realized volatility in market returns and financial sector stock returns have strong predictive content for the future distribution of market returns. This is a robust feature of the last century of U.S. data and, most importantly, can be exploited in real time. Current realized volatility has the most information content on the uncertainty of future returns, whereas it has only limited content about the location of the future return distribution. When volatility is low, the predicted distribution of returns is less dispersed and probabilistic forecasts are sharper.
Staff Reports , Paper 850

Report
Flighty liquidity
Giannone, Domenico; Boyarchenko, Nina; Shachar, Or (2018-10-01)
We study how the risks to future liquidity flow across corporate bond, Treasury, and stock markets. We document distribution ?flight-to-safety? effects: a deterioration in the liquidity of high-yield corporate bonds forecasts an increase in the average liquidity of Treasury securities and a decrease in uncertainty about the liquidity of investment-grade corporate bonds. While the liquidity of Treasury securities both affects and is affected by the liquidity in the other two markets, corporate bond and equity market liquidity appear to be largely divorced from each other. Finally, we show that ...
Staff Reports , Paper 870

Report
Vulnerable growth
Giannone, Domenico; Boyarchenko, Nina; Adrian, Tobias (2016-09-29)
We study the conditional distribution of GDP growth as a function of economic and financial conditions. Deteriorating financial conditions are associated with an increase in the conditional volatility and a decline in the conditional mean of GDP growth, leading the lower quantiles of GDP growth to vary with financial conditions and the upper quantiles to be stable over time: Upside risks to GDP growth are low in most periods while downside risks increase as financial conditions become tighter. We argue that amplification mechanisms in the financial sector generate the observed growth ...
Staff Reports , Paper 794

Working Paper
Explosive Dynamics in House Prices? An Exploration of Financial Market Spillovers in Housing Markets Around the World
Martinez-Garcia, Enrique; Grossman, Valerie (2018-07-01)
Asset prices in general, and real house prices in particular, are often characterized by a nonlinear data-generating process which displays mildly explosive behavior in some periods. Here, we investigate the emergence of explosiveness in the dynamics of real house prices and the role played by asset market spillovers. We establish a timeline of periodically-collapsing episodes of explosiveness for a panel of 23 countries from the Federal Reserve Bank of Dallas? International House Price Database (Mack and Martnez-Garca (2011)) between first quarter 1975 and fourth quarter 2015 using the ...
Globalization Institute Working Papers , Paper 342

Report
A New Jackknife Variance Estimator for Time-Series and Panel Regressions
Lopez Gaffney, Ignacio; Crump, Richard K.; Gospodinov, Nikolay (2024-10-01)
We introduce a new jackknife variance estimator for time-series and panel-data regressions. The novelty in our approach is that we first rotate the data using a particular choice of trigonometric basis functions. This rotation removes serial correlation in a broad class of time-series processes, including random walks, and enables the use of the conventional leave-one-out jackknife on the transformed space of the regressors and residuals. The procedure is tuning-parameter free and naturally adapts to the degree of persistence of the data. We prove the asymptotic validity of our variance ...
Staff Reports , Paper 1133

Working Paper
Variation in the Phillips Curve Relation across Three Phases of the Business Cycle
Verbrugge, Randal; Ashley, Richard (2019-05-03)
We use recently developed econometric tools to demonstrate that the Phillips curve unemployment rate?inflation rate relationship varies in an economically meaningful way across three phases of the business cycle. The first (?bust phase?) relationship is the one highlighted by Stock and Watson (2010): A sharp reduction in inflation occurs as the unemployment rate is rising rapidly. The second (?recovery phase?) relationship occurs as the unemployment rate subsequently begins to fall; during this phase, inflation is unrelated to any conventional unemployment gap. The final (?overheating phase?) ...
Working Papers , Paper 19-09

Working Paper
The Uniform Validity of Impulse Response Inference in Autoregressions
Kilian, Lutz; Inoue, Atsushi (2019-08-11)
Existing proofs of the asymptotic validity of conventional methods of impulse response inference based on higher-order autoregressions are pointwise only. In this paper, we establish the uniform asymptotic validity of conventional asymptotic and bootstrap inference about individual impulse responses and vectors of impulse responses when the horizon is fixed with respect to the sample size. For inference about vectors of impulse responses based on Wald test statistics to be uniformly valid, lag-augmented autoregressions are required, whereas inference about individual impulse responses is ...
Working Papers , Paper 1908

show more (67)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords