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Working Paper
Monetary policy shocks and foreign investment income: evidence from a large Bayesian VAR
Auer, Simone
(2014-02-13)
This paper assesses the transmission of monetary policy in a large Bayesian vector autoregression based on the approach proposed by Banbura, Giannone and Reichlin (2010). The paper analyzes the impact of monetary policy shocks in the United States and Canada not only on a range of domestic aggregates, trade flows, and exchange rates, but also foreign investment income. The analysis provides three main results. First, a surprise monetary policy action has a statistically and economically significant impact on both gross and net foreign investment income flows in both countries. Against the ...
Globalization Institute Working Papers
, Paper 170
Working Paper
Reconsidering the Fed’s Forecasting Advantage
Owyang, Michael T.; McCracken, Michael W.; Guisinger, Amy Y.
(2022-01)
Previous studies show the Fed has a forecast advantage over the private sector, either because it devotes more resources to forecasting or because it has an informational advantage in knowing the path of future monetary policy. We evaluate the Fed’s forecast advantage to determine how much of it results from the Fed’s knowledge of the conditioning path. We develop two tests—an instrumental variable encompassing test and a path-dependent encompassing test—to equalize the Fed’s information set with the private sector’s. We find that, generally, the Fed does not encompass the private ...
Working Papers
, Paper 2022-001
Discussion Paper
Exploring the use of anonymized consumer credit information to estimate economic conditions: an application of big data
Wilshusen, Stephanie M.
(2015-11-06)
The emergence of high-frequency administrative data and other big data offers an opportunity for improvements to economic forecasting models. This paper considers the potential advantages and limitations of using information contained in anonymized consumer credit reports for improving estimates of current and future economic conditions for various geographic areas and demographic markets. Aggregate consumer credit information is found to be correlated with macroeconomic variables such as gross domestic product, retail sales, and employment and can serve as leading indicators such that lagged ...
Consumer Finance Institute discussion papers
, Paper 15-5
Report
Macroeconomic nowcasting and forecasting with big data
Bok, Brandyn; Caratelli, Daniele; Giannone, Domenico; Sbordone, Argia M.; Tambalotti, Andrea
(2017-11-01)
Data, data, data . . . Economists know it well, especially when it comes to monitoring macroeconomic conditions?the basis for making informed economic and policy decisions. Handling large and complex data sets was a challenge that macroeconomists engaged in real-time analysis faced long before ?big data? became pervasive in other disciplines. We review how methods for tracking economic conditions using big data have evolved over time and explain how econometric techniques have advanced to mimic and automate the best practices of forecasters on trading desks, at central banks, and in other ...
Staff Reports
, Paper 830
Working Paper
A multi-country approach to forecasting output growth using PMIs
Pesaran, M. Hashem; Grossman, Valerie; Chudik, Alexander
(2014-11-01)
This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence of a strong unobserved common factor can lead to an undetermined GVAR model. To solve this problem, we propose augmenting the GVAR with additional proxy equations for the strong factors and establish conditions under which forecasts from the augmented GVAR model (AugGVAR) uniformly converge in probability (as the panel dimensions N,T? ? such that N/T?? for some 0
Globalization Institute Working Papers
, Paper 213
Working Paper
Forecasting US Inflation Using Bayesian Nonparametric Models
Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, Massimiliano
(2022-03-02)
The relationship between inflation and predictors such as unemployment is potentially nonlinear with a strength that varies over time, and prediction errors error may be subject to large, asymmetric shocks. Inspired by these concerns, we develop a model for inflation forecasting that is nonparametric both in the conditional mean and in the error using Gaussian and Dirichlet processes, respectively. We discuss how both these features may be important in producing accurate forecasts of inflation. In a forecasting exercise involving CPI inflation, we find that our approach has substantial ...
Working Papers
, Paper 22-05
Working Paper
What's the Story? A New Perspective on the Value of Economic Forecasts
Sinha, Nitish R.; Hollrah, Christopher A.; Sharpe, Steven A.
(2017-11-03)
We apply textual analysis tools to measure the degree of optimism versus pessimism of the text that describes Federal Reserve Board forecasts published in the Greenbook. The resulting measure of Greenbook text sentiment, ?Tonality,? is found to be strongly correlated, in the intuitive direction, with the Greenbook point forecast for key economic variables such as unemployment and inflation. We then examine whether Tonality has incremental power for predicting unemployment, GDP growth, and inflation up to four quarters ahead. We find it to have significant and substantive predictive power for ...
Finance and Economics Discussion Series
, Paper 2017-107
Working Paper
A Nowcasting Model for Canada: Do U.S. Variables Matter?
Bragoli, Daniela; Modugno, Michele
(2016-04)
We propose a dynamic factor model for nowcasting the growth rate of quarterly real{{p}}Canadian gross domestic product. We show that the proposed model produces more accurate nowcasts than those produced by institutional forecasters, like the Bank of Canada, the The Organisation for Economic Co-operation and Development (OECD), and the survey collected by Bloomberg, which reflects the median forecast of market participants. We show that including U.S. data in a nowcasting model for Canada dramatically improves its predictive accuracy, mainly because of the absence of timely production data ...
Finance and Economics Discussion Series
, Paper 2016-036
Working Paper
Foreign exchange predictability during the financial crisis: implications for carry trade profitability
Anatolyev, Stanislav; Liu, Xiaochun; Gospodinov, Nikolay; Jamali, Ibrahim
(2015-08-01)
In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability than raw returns. We allow the two components to respond to currency-specific risk factors and use the joint conditional distribution of these components to obtain forecasts of future carry trade returns. Our results suggest that the decomposition model produces higher forecast and directional accuracy ...
FRB Atlanta Working Paper
, Paper 2015-6
Working Paper
Is China fudging its figures? Evidence from trading partner data
Spiegel, Mark M.; Fernald, John G.; Hsu, Eric
(2015-09-21)
How reliable are China?s GDP and other data? We address this question by using trading-partner exports to China as an independent measure of its economic activity from 2000-2014. We find that the information content of Chinese GDP improves markedly after 2008. We also consider a number of plausible, non-GDP indicators of economic activity that have been identified as alternative Chinese output measures. We find that activity factors based on the first principal component of sets of indicators are substantially more informative than GDP alone. The index that best matches activity in-sample ...
Working Paper Series
, Paper 2015-12
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quantile scores 1 items
quantitative methods 1 items
random walk 1 items
real activity 1 items
real-time data flow 1 items
recession predictability 1 items
regime switching 1 items
relative entropy 1 items
return decomposition 1 items
revenue forecasting 1 items
scenario analysis 1 items
sovereign debt crises 1 items
sovereign market access 1 items
state tax revenues 1 items
sticky information 1 items
stress testing 1 items
structural shocks 1 items
supervised machine learning 1 items
survey data 1 items
tail forecasting 1 items
temporal aggregation 1 items
term spread 1 items
term structures 1 items
terrorism 1 items
threshold estimation 1 items
time series 1 items
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