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Working Paper
Documentation of the Estimated, Dynamic, Optimization-based (EDO) model of the U.S. economy: 2010 version
Laforte, Jean-Philippe; Kiley, Michael T.; Chung, Hess T. (2010)
This paper provides documentation for a large-scale estimated DSGE model of the U.S. economy--the Federal Reserve Board's Estimated, Dynamic, Optimization-based (FRB/EDO) model project. The model can be used to address a wide range of practical policy questions on a routine basis. The paper discusses the model's specification, estimated parameters, and key properties.
Finance and Economics Discussion Series , Paper 2010-29

Working Paper
The information content of high-frequency data for estimating equity return models and forecasting risk
Szerszen, Pawel J.; Dobrev, Dobrislav (2010)
We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient estimates lead in turn to substantial gains for forecasting various risk measures at horizons ranging from a ...
Finance and Economics Discussion Series , Paper 2010-45

Journal Article
Regional aggregation in forecasting: an application to the Federal Reserve's Eighth District
Hernandez-Murillo, Ruben; Engemann, Kristie M.; Owyang, Michael T. (2008-10)
Hernndez-Murillo and Owyang (2006) showed that accounting for spatial correlations in regional data can improve forecasts of national employment. This paper considers whether the predictive advantage of disaggregate models remains when forecasting subnational data. The authors conduct horse races among several forecasting models in which the objective is to forecast regional- or state-level employment. For some models, the objective is to forecast using the sum of further disaggregated employment (i.e., forecasts of metropolitan statistical area (MSA)-level data are summed to yield ...
Regional Economic Development , Issue Oct , Pages 15-29

Working Paper
Expectations and economic fluctuations: an analysis using survey data
Sill, Keith; Leduc, Sylvain (2010)
Using survey-based measures of future U.S. economic activity from the Livingston Survey and the Survey of Professional Forecasters, we study how changes in expectations, and their interaction with monetary policy, contribute to fluctuations in macroeconomic aggregates. We find that changes in expected future economic activity are a quantitatively important driver of economic fluctuations: a perception that good times are ahead typically leads to a significant rise in current measures of economic activity and inflation. We also find that the short-term interest rate rises in response to ...
Working Paper Series , Paper 2010-09

Journal Article
News about the future and economic fluctuations
Sill, Keith (2009-10)
In the late 1990s, as tech-stock prices were surging, we often heard discussion about a "new economy" in which advanced communications technologies would lead to higher future productivity growth and greater economic efficiency. But the boom times largely came to a halt after August 2000, and in March 2001, the economy entered a recession that lasted eight months. Economist A.C. Pigou argued that news about the future or changes in expectations are important drivers of the business cycle. His theory seems to offer a plausible explanation of what happens in boom-bust cycles. But is his ...
Business Review , Issue Q4 , Pages 22-33

Working Paper
Estimation of forward-looking relationships in closed form: an application to the New Keynesian Phillips curve
Lie, Denny; Gumbau-Brisa, Fabia; Olivei, Giovanni P.; Barnes, Michelle L. (2011)
We illustrate the importance of placing model-consistent restrictions on expectations in the estimation of forward-looking Euler equations. In two-stage limited-information settings where first-stage estimates are used to proxy for expectations, parameter estimates can differ substantially, depending on whether these restrictions are imposed or not. This is shown in an application to the New Keynesian Phillips Curve (NKPC), first in a Monte Carlo exercise, and then on actual data. The closed-form (CF) estimates require by construction that expectations of inflation be model-consistent at all ...
Working Papers , Paper 11-3

Journal Article
After rocky 2008, U.S. consumers seek stable ground in 2009
Robertson, John C.; Kollen, Sandra (2008)
An economy besieged on a number of fronts in 2008 staggers into 2009 with rising unemployment, falling house prices, and strained financial markets. A recessionary environment poses formidable challenges for U.S. consumers in the coming year.
EconSouth , Volume 10 , Issue 4

Journal Article
District digest : Economic trends across the region
Schnorbus, Robert H. (2011-10)
Manufacturing in the Fifth District: assessing its role during the great recession by Robert H. Schnorbus (p. 48-51)
Econ Focus , Volume 15 , Issue 4Q , Pages 48-51; 52-55

Working Paper
Optimal policy projections
Svensson, Lars E. O.; Tetlow, Robert J. (2005)
We outline a method to provide advice on optimal monetary policy while taking policymakers' judgment into account. The method constructs optimal policy projections (OPPs) by extracting the judgment terms that allow a model, such as the Federal Reserve Board staff economic model, FRB/US, to reproduce a forecast, such as the Greenbook forecast. Given an intertemporal loss function that represents monetary policy objectives, OPPs are the projections---of target variables, instruments, and other variables of interest---that minimize that loss function for given judgment terms. The method is ...
Finance and Economics Discussion Series , Paper 2005-34

Speech
A perspective on the economic outlook: a speech for the New Jersey Bankers Association, May 12, 2011, Aventura, Florida
Plosser, Charles I. (2011-05-12)
Presented by Charles I. Plosser, President and Chief Executive Officer, Federal Reserve Bank of Philadelphia, New Jersey Bankers Association, May 12, 2011, Aventura, Florida
Speech , Paper 53

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