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Working Paper
Central Bank Credibility During COVID-19: Evidence from Japan
Christensen, Jens H. E.; Spiegel, Mark M.
(2021-12-21)
Japanese realized and expected inflation has been below the Bank of Japan’s two percent target for many years. We use the exogenous COVID-19 pandemic shock to examine the efficacy of monetary and fiscal policy responses for elevating inflation expectations from an arbitrage-free term structure model of nominal and real yields. We find that monetary and fiscal policy announcements during this period failed to lift inflation expectations, which instead declined notably and are projected to only slowly revert back to levels far below the announced target. Hence, our results illustrate the ...
Working Paper Series
, Paper 2021-24
Report
A Bayesian Approach to Inference on Probabilistic Surveys
Del Negro, Marco; Casarin, Roberto; Bassetti, Federico
(2022-07-01)
We propose a nonparametric Bayesian approach for conducting inference on probabilistic surveys. We use this approach to study whether U.S. Survey of Professional Forecasters density projections for output growth and inflation are consistent with the noisy rational expectations hypothesis. We find that in contrast to theory, for horizons close to two years, there is no relationship whatsoever between subjective uncertainty and forecast accuracy for output growth density projections, both across forecasters and over time, and only a mild relationship for inflation projections. As the horizon ...
Staff Reports
, Paper 1025
Working Paper
Inference in Bayesian Proxy-SVARs
Rubio-Ramirez, Juan F.; Waggoner, Daniel F.; Arias, Jonas E.
(2018-11-05)
Motivated by the increasing use of external instruments to identify structural vector autoregressions SVARs), we develop algorithms for exact finite sample inference in this class of time series models, commonly known as proxy SVARs. Our algorithms make independent draws from the normal-generalized-normal family of conjugate posterior distributions over the structural parameterization of a proxy-SVAR. Importantly, our techniques can handle the case of set identification and hence they can be used to relax the additional exclusion restrictions unrelated to the external instruments often ...
Working Papers
, Paper 18-25/R
Working Paper
The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
Gospodinov, Nikolay; Jamali, Ibrahim
(2014-08-01)
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to contribute to a short-term increase in volatility, the longer-term dynamics of volatility are dominated by monetary policy's effect on fundamentals. The estimation results from a bivariate VAR-GARCH model suggest that the Fed does not ...
FRB Atlanta Working Paper
, Paper 2014-14
Working Paper
Forward Guidance with Bayesian Learning and Estimation
López-Salido, J. David; Gust, Christopher J.; Herbst, Edward
(2018-10-25)
Considerable attention has been devoted to evaluating the macroeconomic effectiveness of the Federal Reserve's communications about future policy rates (forward guidance) in light of the U.S. economy's long spell at the zero lower bound (ZLB). In this paper, we study whether forward guidance represented a shift in the systematic description of monetary policy by estimating a New Keynesian model using Bayesian techniques. In doing so, we take into account the uncertainty that agents have about policy regimes using an incomplete information setup in which they update their beliefs using Bayes ...
Finance and Economics Discussion Series
, Paper 2018-072
Working Paper
Evaluating Conditional Forecasts from Vector Autoregressions
Clark, Todd E.; McCracken, Michael W.
(2014-09-01)
Many forecasts are conditional in nature. For example, a number of central banks routinely report forecasts conditional on particular paths of policy instruments. Even though conditional forecasting is common, there has been little work on methods for evaluating conditional forecasts. This paper provides analytical, Monte Carlo, and empirical evidence on tests of predictive ability for conditional forecasts from estimated models. In the empirical analysis, we consider forecasts of growth, unemployment, and inflation from a VAR, based on conditions on the short-term interest rate. Throughout ...
Working Papers
, Paper 2014-25
Working Paper
Dynamic Identification Using System Projections and Instrumental Variables
Lewis, Daniel J.; Mertens, Karel
(2023-01-10)
We propose System Projections on Instrumental Variables (SP-IV) to estimate dynamic structural relationships using impulse responses obtained from local projections or vector autoregressions. SP-IV replaces lag sequences of instruments in traditional IV with lead sequences of endogenous variables. By allowing the inclusion of lagged variables as controls, SP-IV weakens exogeneity requirements and can improve efficiency and effective instrument strength relative to 2SLS. We provide inference procedures under strong and weak identification, and show that SP-IV outperforms conventional IV ...
Working Papers
, Paper 2204
Report
Online Appendix for: International Evidence on Long-Run Money Demand
Nicolini, Juan Pablo; Lucas, Robert E.; Benati, Luca; Weber, Warren E.
(2019-06-18)
This appendix supports Staff Report 587. An earlier version of this Staff Report circulated as Working Paper 738.
Staff Report
, Paper 588
Working Paper
Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings
Kilian, Lutz; Plante, Michael D.; Richter, Alexander W.
(2022-11-23)
A common practice in empirical macroeconomics is to examine alternative recursive orderings of the variables in structural vector autoregressive (VAR) models. When the implied impulse responses look similar, the estimates are considered trustworthy. When they do not, the estimates are used to bound the true response without directly addressing the identification challenge. A leading example of this practice is the literature on the effects of uncertainty shocks on economic activity. We prove by counterexample that this practice is invalid in general, whether the data generating process is a ...
Working Papers
, Paper 2223
Working Paper
Theory and practice of GVAR modeling
Pesaran, M. Hashem; Chudik, Alexander
(2014-05-01)
The Global Vector Autoregressive (GVAR) approach has proven to be a very useful approach to analyze interactions in the global macroeconomy and other data networks where both the cross-section and the time dimensions are large. This paper surveys the latest developments in the GVAR modeling, examining both the theoretical foundations of the approach and its numerous empirical applications. We provide a synthesis of existing literature and highlight areas for future research.
Globalization Institute Working Papers
, Paper 180
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Tailored 1 items
Tailored proposal densities 1 items
Term Structure of Interest Rates 1 items
Term structure 1 items
Term structure of inflation expectations and inflation uncertainty 1 items
Threshold models 1 items
Threshold-augmented Global VAR (TGVAR) 1 items
Trade credit 1 items
Trade linkages 1 items
Transmission of monetary policy 1 items
Treasury Inflation-Protected Securities (TIPS) 1 items
Treasury market 1 items
Trend-cycle correlation 1 items
U.S. aggregate output 1 items
Unobserved Components Model 1 items
VARs 1 items
Variable Ordering 1 items
Vector Autoregression (VAR) 1 items
Vector Autoregression Representation 1 items
Volatility-in-mean 1 items
WARN Act 1 items
Wage Inflation 1 items
Wages 1 items
Wavelets 1 items
Weak IV 1 items
absolute loss 1 items
advanced economies 1 items
affine models 1 items
agents' information 1 items
aggregate shocks 1 items
attention 1 items
bandpass filter 1 items
belief shocks 1 items
bid-ask spreads 1 items
bivariate GARCH 1 items
blockmodels 1 items
bond prices 1 items
bond-specific risk premia 1 items
borrowing constraints 1 items
break tests 1 items
building permits 1 items
carry trade 1 items
censored regressor 1 items
central banks’ objectives 1 items
clustered Markov switching 1 items
cojumps 1 items
commitment 1 items
common trend 1 items
comovements 1 items
comprehensive revisions 1 items
conditional forecasting 1 items
conditional forecasts 1 items
convenience yields 1 items
credit shocks 1 items
credit spreads 1 items
credit-risk spillovers 1 items
debt 1 items
deflation 1 items
deflation protection 1 items
deflation risk 1 items
demographics 1 items
density forecasting 1 items
dependent Bayesian nonparametrics 1 items
derivatives 1 items
discretion 1 items
dollar. 1 items
dynamic responses 1 items
dynamic striation adjustments 1 items
economic research 1 items
effective sample size 1 items
emerging markets 1 items
energy prices 1 items
euro 1 items
euro launch 1 items
exchange rate forecasting 1 items
exchange rates 1 items
expectation 1 items
expected shortfall 1 items
factor-augmented VAR (FAVAR) 1 items
fat tails 1 items
federal funds futures 1 items
financial conditions index 1 items
financial market frictions 1 items
financial markets 1 items
financial stress indices 1 items
firm networks 1 items
fiscal multipliers 1 items
forecast combinations 1 items
forecast rationality 1 items
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