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Working Paper
Assessing the Role of Global Demand and Supply Shocks in the Recent US Inflation Experience Using a Cross-Country Panel Dataset of Professional Forecasts
Higgins, Patrick C. (2025-10-06)
Although there have been a range of studies investigating the role and importance of global supply and demand shocks in US inflation developments during and since the pandemic, this study uses a heretofore unused dataset for this purpose: a quarterly panel of professional forecasts from Consensus Economics. We use real-time data with daily vintage snapshots since 2005 from the Federal Reserve Board of Governors FAME database to disentangle forecast errors from revisions and to exploit the monthly frequency and partial availability of CPI inflation and industrial production. Our measures of ...
FRB Atlanta Working Paper , Paper 2025-10

Working Paper
On Model Aggregation and Forecast Combination
Massoumi, Esfandiar; Gospodinov, Nikolay (2025-10-09)
Policy makers express their views and decisions via the lens of a particular model or theory. But since any model is a highly stylized representation of the unknowable object of interest, all these models are inherently misspecified, and the resulting ambiguity injects uncertainty in the decision-making process. We argue that entropy-based aggregation is a convenient device to confront this uncertainty and summarize relevant information from a set of candidate models and forecasts. The proposed aggregation tends to robustify the decision-making process to various sources of risks and ...
FRB Atlanta Working Paper , Paper 2025-12

Working Paper
Nowcasting with Mixed Frequency Principal Components When Not All Months Are the Same
Higgins, Patrick C. (2026-09-25)
This paper develops algorithms for estimating a principal components (PC) model for monthly macroeconomic data mixed with either weekly or daily data. The algorithms’ utilization of high frequency data allows it to account for differences in the temporal aggregation patterns among the monthly series that are simple aggregates or averages and those that have an alternative aggregation pattern such as data from the monthly employment report where the aggregation pattern is often series- and month-specific and depends on the timing of the twelfth day of the month. The algorithms are applied to ...
FRB Atlanta Working Paper , Paper 2026-15

Working Paper
Search Complementarities, Aggregate Fluctuations, and Fiscal Policy
Yu, Yang; Fernández-Villaverde, Jesús; Zanetti, Francesco; Mandelman, Federico S. (2019-05-01)
We develop a quantitative business cycle model with search complementarities in the inter-firm matching process that entails a multiplicity of equilibria. An active equilibrium with strong joint venture formation, large output, and low unemployment coexists with a passive equilibrium with low joint venture formation, low output, and high unemployment. {{p}} Changes in fundamentals move the system between the two equilibria, generating large and persistent business cycle fluctuations. The volatility of shocks is important for the selection and duration of each equilibrium. Sufficiently adverse ...
FRB Atlanta Working Paper , Paper 2019-9

Working Paper
GDPNow: A Model for GDP "Nowcasting"
Higgins, Patrick C. (2014-07-01)
This paper documents GDPNow, a "nowcasting" model for gross domestic product (GDP) growth that synthesizes the "bridge equation" approach relating GDP subcomponents to monthly source data with the factor model approach used by Giannone, Reichlin, and Small (2008). The GDPNow model forecasts GDP growth by aggregating 13 subcomponents that make up GDP with the chain-weighting methodology used by the U.S. Bureau of Economic Analysis. Using current vintage data, out-of-sample GDPNow model forecasts are found to be more accurate than a number of statistical benchmarks since 2000. Using real-time ...
FRB Atlanta Working Paper , Paper 2014-7

Working Paper
Trimmed-Mean Inflation Statistics: Just Hit the One in the Middle
Meyer, Brent; Venkatu, Guhan (2014-03-01)
This paper reinvestigates the performance of trimmed-mean inflation measures some 20 years since their inception, asking whether there is a particular trimmed-mean measure that dominates the median consumer price index (CPI). Unlike previous research, we evaluate the performance of symmetric and asymmetric trimmed means using a well known equality of prediction test. We find that there is a large swath of trimmed means that have statistically indistinguishable performance. Also, although the swath of statistically similar trims changes slightly over different sample periods, it always ...
FRB Atlanta Working Paper , Paper 2014-3

Working Paper
The Usefulness of the Median CPI in Bayesian VARs Used for Macroeconomic Forecasting and Policy
Meyer, Brent; Zaman, Saeed (2016-11-01)
In this paper we investigate the forecasting performance of the median Consumer Price Index (CPI) in a variety of Bayesian vector autoregressions (BVARs) that are often used for monetary policy. Until now, the use of trimmed-mean price statistics in forecasting inflation has often been relegated to simple univariate or Phillips curve approaches, thus limiting their usefulness in applications that require consistent forecasts of multiple macro variables. We find that inclusion of an extreme trimmed-mean measure?the median CPI?improves the forecasts of both core and headline inflation (CPI and ...
FRB Atlanta Working Paper , Paper 2016-13

Working Paper
The role of commodity prices in forecasting U.S. core inflation
Gospodinov, Nikolay (2016-02-01)
This note documents a curious finding about the substantial forecast ability of a simple aggregator of three commodity futures prices for U.S. core inflation. The proposed aggregator reduces the out-of-sample root mean squared error for 12-month-ahead inflation forecasts of the benchmark AR(1) model by 28 percent (20 percent) for the PCE (CPI) measure of core inflation. To avoid obfuscation of the sources of forecast ability, the model is intentionally kept simple, although extensions for improving and increasing the robustness of the forecast procedure are also discussed.
FRB Atlanta Working Paper , Paper 2016-5

Working Paper
The inflation expectations of firms: what do they look like, are they accurate, and do they matter?
Meyer, Brent; Parker, Nicholas B.; Bryan, Michael F. (2014-12-01)
The purpose of this paper is to answer the three questions in the title. Using a large monthly survey of businesses, we investigate the inflation expectations and uncertainties of firms. We document that, in the aggregate, firm inflation expectations are very similar to the predictions of professional forecasters for national inflation statistics, despite a somewhat greater heterogeneity of expectations that we attribute to the idiosyncratic cost structure firms face. We also show that firm inflation expectations bear little in common with the "prices in general" expectations reported by ...
FRB Atlanta Working Paper , Paper 2014-27

Working Paper
The "Matthew Effect" and Market Concentration: Search Complementarities and Monopsony Power
Yu, Yang; Fernández-Villaverde, Jesús; Zanetti, Francesco; Mandelman, Federico S. (2021-01-15)
This paper develops a dynamic general equilibrium model with heterogeneous firms that face search complementarities in the formation of vendor contracts. Search complementarities amplify small differences in productivity among firms. Market concentration fosters monopsony power in the labor market, magnifying profits and further enhancing the output share of high-productivity firms. The combination of search complementarities and monopsony power induce a strong "Matthew effect" that endogenously generates superstar firms out of uniform idiosyncratic productivity distributions. Reductions in ...
FRB Atlanta Working Paper , Paper 2021-4

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