Search Results

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Working Paper
Fitting a distribution to survey data for the half-life of deviations from PPP
Fisher, Mark (2015-12-15)
This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as an average of shape-restricted Bernstein polynomials, each of which has been skewed according to a preliminary parametric fit. A sparsity prior is adopted for regularization.
FRB Atlanta Working Paper , Paper 2015-15

Working Paper
The S-curve: Understanding the Dynamics of Worldwide Financial Liberalization
Li, Nan; Papageorgiou, Chris; Zha, Tao (2021-07-13)
Using a novel database of domestic financial reforms in 90 countries from 1973 to 2014, we document that global financial liberalization followed an S-curve path: reforms were slow and gradual in early periods, accelerated during the 1990s, and slowed down after 2000. We estimate a learning model that explains these dynamics. Policymakers updated their beliefs about the growth effects of financial reforms by learning from their own and other countries' experiences. Positive growth surprises in advanced economies helped accelerate belief updating worldwide, leading to the global wave of ...
FRB Atlanta Working Paper , Paper 2021-19

Working Paper
Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models
D'Agostino, Antonello; Giannone, Domenico; Lenza, Michele; Modugno, Michele (2015-08-06)
We develop a framework for measuring and monitoring business cycles in real time. Following a long tradition in macroeconometrics, inference is based on a variety of indicators of economic activity, treated as imperfect measures of an underlying index of business cycle conditions. We extend existing approaches by permitting for heterogenous lead-lag patterns of the various indicators along the business cycles. The framework is well suited for high-frequency monitoring of current economic conditions in real time - nowcasting - since inference can be conducted in presence of mixed frequency ...
Finance and Economics Discussion Series , Paper 2015-66

Working Paper
Monetary Policy, Self-Fulfilling Expectations and the U.S. Business Cycle
Nicolo, Giovanni (2020-05-05)
I estimate a medium-scale New-Keynesian model and relax the conventional assumption that the central bank adopted an active monetary policy by pursuing inflation and output stability over the entire post-war period. Even after accounting for a rich structure, I find that monetary policy was passive prior to the Volcker disinflation. Sunspot shocks did not represent quantitatively relevant sources of volatility. By contrast, such passive interest rate policy accommodated fundamental productivity and cost shocks that de-anchored inflation expectations, propagated via self-fulfilling inflation ...
Finance and Economics Discussion Series , Paper 2020-035

Working Paper
Short-term Planning, Monetary Policy, and Macroeconomic Persistence
López-Salido, J. David; Gust, Christopher J.; Herbst, Edward (2020-01-08)
This paper uses aggregate data to estimate and evaluate a behavioral New Keynesian (NK) model in which households and firms plan over a finite horizon. The finite-horizon (FH) model outperforms rational expectations versions of the NK model commonly used in empirical applications as well as other behavioral NK models. The better fit of the FH model reflects that it can induce slow-moving trends in key endogenous variables which deliver substantial persistence in output and inflation dynamics. In the FH model, households and firms are forward-looking in thinking about events over their ...
Finance and Economics Discussion Series , Paper 2020-003

Working Paper
Bayesian Nonparametric Learning of How Skill Is Distributed across the Mutual Fund Industry
Fisher, Mark; Jensen, Mark J.; Tkac, Paula A. (2019-03-01)
In this paper, we use Bayesian nonparametric learning to estimate the skill of actively managed mutual funds and also to estimate the population distribution for this skill. A nonparametric hierarchical prior, where the hyperprior distribution is unknown and modeled with a Dirichlet process prior, is used for the skill parameter, with its posterior predictive distribution being an estimate of the population distribution. Our nonparametric approach is equivalent to an infinitely ordered mixture of normals where we resolve the uncertainty in the mixture order by partitioning the funds into ...
FRB Atlanta Working Paper , Paper 2019-3

Report
A Large Bayesian VAR of the United States Economy
Crump, Richard K.; Eusepi, Stefano; Giannone, Domenico; Qian, Eric; Sbordone, Argia M. (2021-08-01)
We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are tracked by the Federal Reserve. We show how the model can be used for understanding key features of the data, constructing counterfactual scenarios, and evaluating the macroeconomic environment both retrospectively and prospectively. Considering its breadth and versatility for policy applications, our modeling approach gives a reliable, reduced form ...
Staff Reports , Paper 976

Report
Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach
Benigno, Gianluca; Foerster, Andrew T.; Otrok, Christopher; Rebucci, Alessandro (2020-10-01)
We estimate a workhorse dynamic stochastic general equilibrium (DSGE) model with an occasionally binding borrowing constraint. First, we propose a new speciﬁcation of the occasionally binding constraint, where the transition between the unconstrained and constrained states is a stochastic function of the leverage level and the constraint multiplier. This speciﬁcation maps into an endogenous regime-switching model. Second, we develop a general perturbation method for the solution of such a model. Third, we estimate the model with Bayesian methods to ﬁt Mexico’s business cycle and ...
Staff Reports , Paper 944

Working Paper
Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach
Herbst, Edward P.; Bognanni, Mark (2014-11-12)
Vector autoregressions with Markov-switching parameters (MS-VARs) offer dramatically better data fit than their constant-parameter predecessors. However, computational complications, as well as negative results about the importance of switching in parameters other than shock variances, have caused MS-VARs to see only sparse usage. For our first contribution, we document the effectiveness of Sequential Monte Carlo (SMC) algorithms at estimating MSVAR posteriors. Relative to multi-step, model-specific MCMC routines, SMC has the advantages of being simpler to implement, readily parallelizable, ...
Working Papers (Old Series) , Paper 1427

Report
Forecasting in large macroeconomic panels using Bayesian Model Averaging
Potter, Simon M.; Koop, Gary (2003-03-01)
This paper considers the problem of forecasting in large macroeconomic panels using Bayesian model averaging. Practical methods for implementing Bayesian model averaging with factor models are described. These methods involve algorithms that simulate from the space defined by all possible models. We explain how these simulation algorithms can also be used to select the model with the highest marginal likelihood (or highest value of an information criterion) in an efficient manner. We apply these methods to the problem of forecasting GDP and inflation using quarterly U.S. data on 162 time ...
Staff Reports , Paper 163

show more (94)

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