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Journal Article
Economic Activity during the COVID-19 Pandemic: A Model with “Acquired Immunity”
Carranza, Juan Esteban; Riascos, Álvaro José; Martin, Juan David (2022)
We calibrate a macroeconomic model with epidemiological restrictions using Colombian data. The key feature of our model is that a portion of the population is immune and cannot transmit the virus, which improves substantially the fit of the model to the observed contagion and economic activity data. The model implies that during 2020, government restrictions and the endogenous changes in individual behavior saved around 15,000 lives and decreased consumption by about 4.7 percent. The results suggest that most of this effect was the result of government policies.
Review , Volume 104 , Issue 1 , Pages 1-16

Working Paper
The St. Louis Fed DSGE Model
Faria-e-Castro, Miguel (2025-09-25)
This document contains a technical description of the dynamic stochastic general equilibrium (DSGE) model developed and maintained by the Research Division of the St. Louis Fed as one of its tools for forecasting and policy analysis. The St. Louis Fed model departs from an otherwise standard medium-scale New Keynesian DSGE model along two main dimensions: first, it allows for household heterogeneity, in the form of workers and capitalists, who have different marginal propensities to consume (MPC). Second, it explicitly models a fiscal sector endowed with multiple spending and revenue ...
Working Papers , Paper 2024-014

Working Paper
Responding to COVID-19: A Note
Tavares, Marina; Drozd, Lukasz A. (2020-04-14)
We consider several epidemiological simulations of the COVID-19 pandemic using the textbook SIR model and discuss the basic implications of these results for crafting an adequate response to the ensuing economic crisis. Our simulations are meant to be illustrative of the ﬁndings reported in the epidemiological literature using more sophisticated models (e.g., Ferguson et al. (2020)). The key observation we stress is that moderating the epidemiological response of social distancing according to the models may come at a steep price of extending the duration of the pandemic and hence the time ...
Working Papers , Paper 20-14

Working Paper
Attention and a Paradox of Uncertainty
Chiang, Yu-Ting (2024-10-08)
I show that macroeconomic uncertainty during recessions can arise from people paying more attention to aggregate events. When information is dispersed, people's attempts to acquire more information can lead to higher aggregate volatility, forecast dispersion, and uncertainty about aggregate output. Information rigidity is reduced, consistent with evidence in forecast surveys, and distinct from the prediction of exogenous volatility shocks. When the model is calibrated to U.S. data, endogenous attention accounts for half of the observed fluctuations in volatility, forecast dispersion, and ...
Working Papers , Paper 2022-004

Working Paper
Monetary Tightening and Financial Stress during Supply- versus Demand-Driven Inflation
Boissay, Frederic; Collard, Fabrice; Manea, Cristina; Shapiro, Adam Hale (2024-08-12)
The paper explores the state-dependent effects of a monetary policy tightening on financial stress, focusing on a novel dimension: whether inflation is driven by supply factors versus demand factors at the time of the policy intervention. We use local projections to estimate the effect of high frequency identified monetary policy surprises on a variety of financial stress measures, differentiating the effects based on whether inflation is supply-driven or demand-driven. We find that financial stress flares up after a monetary tightening when inflation is supply-driven whereas it remains ...
Working Paper Series , Paper 2023-38

Working Paper
How Fast are Semiconductor Prices Falling?
Oliner, Stephen D.; Sichel, Daniel E.; Byrne, David M. (2017-01)
The Producer Price Index (PPI) for the United States suggests that semiconductor prices have barely been falling in recent years, a dramatic contrast to the rapid declines reported from the mid-1980s to the early 2000s. This slowdown in the rate of decline is puzzling in light of evidence that the performance of microprocessor units (MPUs) has continued to improve at a rapid pace. Over the course of the 2000s, the MPU prices posted by Intel, the dominant producer of MPUs, became much stickier over the chips' life cycle. As a result of this change, we argue that the matched-model methodology ...
Finance and Economics Discussion Series , Paper 2017-005

Working Paper
Attention and Fluctuations in Macroeconomic Uncertainty
Chiang, Yu-Ting (2022-03-08)
This paper studies a dispersed information economy in which agents can exert costly attention to learn about an unknown aggregate state of the economy. Under certain conditions, attention and four measures of uncertainty are countercyclical: Agents pay more attention when they expect the economy to be in a bad state, and their reaction generates higher (i) aggregate output volatility, (ii) cross-sectional output dispersion, (iii) forecast dispersion about aggregate output, and (iv) subjective uncertainty about aggregate output faced by each agent. All these phenomena are prominent features of ...
Working Papers , Paper 2022-004

Working Paper
The Mechanics of Individually- and Socially-Optimal Decisions during an Epidemic
Vandenbroucke, Guillaume (2021-09-14)
I present a model where work implies social interactions and the spread of a disease is described by an SIR-type framework. Upon the outbreak of a disease reduced social contacts are decided at the cost of lower consumption. Private individuals do not internalize the effects of their decisions on the evolution of the epidemic while the planner does. Specifically, the planner internalizes that an early reduction in contacts implies fewer infectious in the future and, therefore, a lower risk of infection. This additional (relative to private individuals) benefit of reduced contacts implies that ...
Working Papers , Paper 2020-013

Working Paper
Estimating the Euler equation for output
Rudebusch, Glenn D.; Fuhrer, Jeffrey C. (2002-09-01)
New Keynesian macroeconomic models have generally emphasized that expectations of future output are a key factor in determining current output. The theoretical motivation for such forward-looking behavior relies on a straightforward generalization of the well-known Euler equation for consumption. In this paper, we use maximum likelihood and generalized method of moments (GMM) methods to explore the empirical importance of output expectations. We find little evidence that rational expectations of future output help determine current output, especially after taking into account the small-sample ...
Working Paper Series , Paper 2002-12

Working Paper
The Chicago Fed DSGE Model: Version 2
Campbell, Jeffrey R.; Ferroni, Filippo; Fisher, Jonas D. M.; Melosi, Leonardo (2023-09-26)
The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the Federal Reserve Bank of Chicago. This guide describes its specification, estimation, dynamic characteristics, and how it is used to forecast the U.S. economy. In many respects the model resembles other medium-scale New Keynesian frameworks, but there are several features which distinguish it: the monetary policy rule includes anticipated future deviations, productivity is driven by both neutral and investment specific technical change, multiple price and wage indices identify ...
Working Paper Series , Paper WP 2023-36

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