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Jel Classification:C8 

Working Paper
Modeling to Inform Economy-Wide Pandemic Policy: Bringing Epidemiologists and Economists Together

Facing unprecedented uncertainty and drastic trade-offs between public health and other forms of human well-being, policymakers during the Covid-19 pandemic have sought the guidance of epidemiologists and economists. Unfortunately, while both groups of scientists use many of the same basic mathematical tools, the models they develop to inform policy tend to rely on different sets of assumptions and, thus, often lead to different policy conclusions. This divergence in policy recommendations can lead to uncertainty and confusion, opening the door to disinformation, distrust of institutions, and ...
FRB Atlanta Working Paper , Paper 2021-26

Working Paper
Macroeconomic Forecasting and Variable Ordering in Multivariate Stochastic Volatility Models

We document five novel empirical findings on the well-known potential ordering drawback associated with the time-varying parameter vector autoregression with stochastic volatility developed by Cogley and Sargent (2005) and Primiceri (2005), CSP-SV. First, the ordering does not affect point prediction. Second, the standard deviation of the predictive densities implied by different orderings can differ substantially. Third, the average length of the prediction intervals is also sensitive to the ordering. Fourth, the best ordering for one variable in terms of log-predictive scores does not ...
Working Papers , Paper 21-21

Working Paper
The Effect of Component Disaggregation on Measures of the Median and Trimmed-Mean CPI

For decades, the Federal Reserve Bank of Cleveland (FRBC) has produced median and trimmed-mean consumer price index (CPI) measures. These have proven useful in various contexts, such as forecasting and understanding post-COVID inflation dynamics. Revisions to the FRBC methodology have historically involved increasing the level of disaggregation in the CPI components, which has improved accuracy. Thus, it may seem logical that further disaggregation would continue to enhance its accuracy. However, we theoretically demonstrate that this may not necessarily be the case. We then explore the ...
Working Papers , Paper 24-02

Working Paper
Avoiding Nash Inflation : Bayesian and Robust Responses to Model Uncertainty

We examine learning, model misspecification, and robust policy responses to misspecification in a quasi-real-time environment. The laboratory for the analysis is the Sargent (1999) explanation for the origins of inflation in the 1970s and the subsequent disinflation. Three robust policy rules are derived that differ according to the extent that misspecification is taken as a parametric phenomenon. These responses to drifting estimated parameters and apparent misspecification are compared to the certainty-equivalent case studied by Sargent. We find gains from utilizing robust approaches to ...
Finance and Economics Discussion Series , Paper 2002-09

Working Paper
A new monthly indicator of global real economic activity

In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely the Kilian?s index of global real economic activity and the index of OECD World industrial production. We develop an econometric approach based on desirable econometric properties in relation to the quarterly measure of World or global gross domestic product to evaluate and to choose across different alternatives. The method is designed to evaluate short-term, long-term and ...
Globalization Institute Working Papers , Paper 244

Working Paper
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates

We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even the ex post best forecaster) are outperformed by our regularized mixtures. From the Great Recession onward, the optimal regularization tends to move density forecasts’ probability mass from the centers to the tails, correcting for overconfidence.
Working Papers , Paper 21-06

Working Paper
FRED-QD: A Quarterly Database for Macroeconomic Research

In this paper we present and describe a large quarterly frequency, macroeconomic database. The data provided are closely modeled to that used in Stock and Watson (2012a). As in our previous work on FRED-MD, our goal is simply to provide a publicly available source of macroeconomic “big data” that is updated in real time using the FRED database. We show that factors extracted from this data set exhibit similar behavior to those extracted from the original Stock and Watson data set. The dominant factors are shown to be insensitive to outliers, but outliers do affect the relative influence ...
Working Papers , Paper 2020-005

Working Paper
Creativity and economic growth: theory, measures, and potentials for morocco

The current era of globalization is dominated by the rise of investments in intangible capital rather than tangible capital ? the ascendance of creativity over plant and equipment. This brief paper is motivated by the possibility that emerging market economies such as Morocco might take greater advantage of new tools and policies designed for this new era. To begin, I discuss the transformation of the global economy and the consequences of the transformed global economy for economic thinking and measurement. I refer to both old and new literature on the measurement of intangible investment ...
Working Papers , Paper 15-21

Working Paper
Is It Time to Reassess the Focal Role of Core PCE Inflation?

In this paper, I review the history of “core” PCE inflation and its rationale: remove volatile items with transitory shocks to better highlight the trend in inflation. Structural changes in the inflation process imply that, on a “reducing volatility” basis, the list of items excluded from the “core” inflation basket (aside from gasoline) is far from optimal. This is true whether one assesses volatility on the basis of a weighted component monthly, or an index monthly, or a 12-month index, or a 5-year index. In addition, I demonstrate other deficiencies of exclusion indexes. ...
Working Papers , Paper 21-10

A review of the experience of fielding the Survey of Consumer Expectations

Remarks at the Barclays Global Inflation Conference, New York City.
Speech , Paper 139


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