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Working Paper
The Role of Observed and Unobserved Heterogeneity in the Duration of Unemployment Spells
Ahn, Hie Joo (2022-03-25)
This paper studies the degree to which observable and unobservable worker characteristics account for the variation in the aggregate duration of unemployment. I model the distribution of unobserved worker heterogeneity as time varying to capture the interaction of latent attributes with changes in labor-market conditions. Unobserved heterogeneity is the main explanation for the duration dependence of unemployment hazards. Both cyclical and low-frequency variations in the mean duration of unemployment are mainly driven by one subgroup: workers who, for unobserved reasons, stay unemployed for a ...
Finance and Economics Discussion Series , Paper 2016-063r1

Journal Article
Assessing Labor Market Conditions Using High-Frequency Data
Dvorkin, Maximiliano; Isaacson, Maggie (2021-10-18)
When the COVID-19 pandemic struck in March 2020, the U.S. economy experienced a sharp, unexpected recession with large employment losses. The information on employment available from traditional data sources arrives with a lag and does not promptly reflect sudden changes in labor market conditions. In this article, we discuss how new high-frequency data from Homebase and Ultimate Kronos Group can offer critical information on the state of labor markets in real time. Using these datasets, we construct coincident employment indices to assess employment at a high frequency. Employment during the ...
Review , Volume 103 , Issue 4 , Pages 461-476

Working Paper
Raiders of the Lost High-Frequency Forecasts: New Data and Evidence on the Efficiency of the Fed's Forecasting
Chang, Andrew C.; Levinson, Trace J. (2020-10-23)
We introduce a new dataset of real gross domestic product (GDP) growth and core personal consumption expenditures (PCE) inflation forecasts produced by the staff of the Board of Governors of the Federal Reserve System. In contrast to the eight Greenbook forecasts a year the staff produces for Federal Open Market Committee (FOMC) meetings, our dataset has roughly weekly forecasts. We use these new data to study whether the staff forecasts efficiently and whether efficiency, or lack thereof, is time-varying. Prespecified regressions of forecast errors on forecast revisions show that the staff's ...
Finance and Economics Discussion Series , Paper 2020-090

Working Paper
Words Speak as Loudly as Actions: Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements
Gardner, Benjamin; Scotti, Chiara; Vega, Clara (2021-11-18)
While the literature has already widely documented the effects of macroeconomic news announcements on asset prices, as well as their asymmetric impact during good and bad times, we focus on the reaction to news based on the description of the state of the economy as painted by the Federal Open Market Committee (FOMC) statements. We develop a novel FOMC sentiment index using textual analysis techniques, and find that news has a bigger (smaller) effect on equity prices during bad (good) times as described by the FOMC sentiment index. Our analysis suggests that the FOMC sentiment index offers a ...
Finance and Economics Discussion Series , Paper 2021-074

Working Paper
Approximating Time Varying Structural Models With Time Invariant Structures
Matthes, Christian; Ferroni, Filippo; Canova, Fabio (2015-10-23)
The paper studies how parameter variation affects the decision rules of a DSGE model and structural inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. Identifi cation and inferential distortions when a constant parameter model is incorrectly assumed are examined. Likelihood and VAR-based estimates of the structural dynamics when parameter variations are neglected are compared. Time variations in the financial frictions of Gertler and Karadi's (2010) model are studied.
Working Paper , Paper 15-10

Working Paper
COVID-19: A View from the Labor Market
Bernstein, Joshua; Throckmorton, Nathaniel A.; Richter, Alexander W. (2020-04-17)
This paper examines the response of the U.S. labor market to a large and persistent job separation rate shock, motivated by the ongoing economic effects of the COVID-19 pandemic. We use nonlinear methods to analytically and numerically characterize the responses of vacancy creation and unemployment. Vacancies decline in response to the shock when firms expect persistent job destruction and the number of unemployed searching for work is low. Quantitatively, under our baseline forecast the unemployment rate peaks at 19.7%, 2 months after the shock, and takes 1 year to return to 5%. Relative to ...
Working Papers , Paper 2010

Working Paper
Forecasting Consumption Spending Using Credit Bureau Data
Croushore, Dean; Wilshusen, Stephanie M. (2020-06-04)
This paper considers whether the inclusion of information contained in consumer credit reports might improve the predictive accuracy of forecasting models for consumption spending. To investigate the usefulness of aggregate consumer credit information in forecasting consumption spending, this paper sets up a baseline forecasting model. Based on this model, a simulated real-time, out-of-sample exercise is conducted to forecast one-quarter ahead consumption spending. The exercise is run again after the addition of credit bureau variables to the model. Finally, a comparison is made to test ...
Working Papers , Paper 20-22

Working Paper
The Accuracy of Forecasts Prepared for the Federal Open Market Committee
Hanson, Tyler J.; Chang, Andrew C. (2015-07-09)
We analyze forecasts of consumption, nonresidential investment, residential investment, government spending, exports, imports, inventories, gross domestic product, inflation, and unemployment prepared by the staff of the Board of Governors of the Federal Reserve System for meetings of the Federal Open Market Committee from 1997 to 2008, called the Greenbooks. We compare the root mean squared error, mean absolute error, and the proportion of directional errors of Greenbook forecasts of these macroeconomic indicators to the errors from three forecasting benchmarks: a random walk, a first-order ...
Finance and Economics Discussion Series , Paper 2015-62

Working Paper
Mind the gap! Stylized Dynamic Facts and Structural Models.
Canova, Fabio; Ferroni, Filippo (2020-11-13)
We study what happens to identified shocks and to dynamic responses when the data generating process features q disturbances but q1
Working Paper Series , Paper WP-2020-29

Working Paper
A Composite Likelihood Approach for Dynamic Structural Models
Matthes, Christian; Canova, Fabio (2018-07-23)
We describe how to use the composite likelihood to ameliorate estimation, computational, and inferential problems in dynamic stochastic general equilibrium models. We present a number of situations where the methodology has the potential to resolve well-known problems. In each case we consider, we provide an example to illustrate how the approach works and its properties in practice.
Working Paper , Paper 18-12

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