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Working Paper
Banking relationships and sell-side research
Singh, Ajai K.; Madureira, Leonardo; Nayar, Nandkumar; Ergungor, O. Emre (2011)
This paper examines disclosures by sell-side analysts when their institution has a lending relationship with the firms being covered. Lending-affiliated analysts? earnings forecasts are found to be more accurate relative to forecasts by other analysts but this differential accuracy manifests itself only after the advent of the loan. Despite this increased earnings forecast accuracy, lending-affiliated analysts exhibit undue optimism in their brokerage recommendations and forecasts of long term growth. The optimism exists both before and after the lending commences. The evidence suggests that ...
Working Papers (Old Series) , Paper 1114

Working Paper
Manufacturing Sentiment: Forecasting Industrial Production with Text Analysis
Cajner, Tomaz; Crane, Leland D.; Kurz, Christopher J.; Morin, Norman J.; Soto, Paul E.; Vrankovich, Betsy (2024-05-03)
This paper examines the link between industrial production and the sentiment expressed in natural language survey responses from U.S. manufacturing firms. We compare several natural language processing (NLP) techniques for classifying sentiment, ranging from dictionary-based methods to modern deep learning methods. Using a manually labeled sample as ground truth, we find that deep learning models partially trained on a human-labeled sample of our data outperform other methods for classifying the sentiment of survey responses. Further, we capitalize on the panel nature of the data to train ...
Finance and Economics Discussion Series , Paper 2024-026

Working Paper
Forecasting structural change with a regional econometric input-output model
Sonis, Michael; Israilevich, Philip R.; Hewings, Geoffrey J. D.; Schindler, Graham (1996)
The sophistication of regional economic models has been demonstrated in several ways, most recently in the form of linking several modeling systems or in the expansion in the number of equations that can be manipulated successfully to produce impact analyses or forecasts. In this paper, an alternative perspective is employed. What do regional macro-level forecasts indicate about the process of structural change? A new methodology is illustrated that enables analysts to make forecasts of detailed structural change in the interindustry relations in an economy. Using a regional ...
Working Paper Series, Regional Economic Issues , Paper WP-96-2

Working Paper
Predictability in international asset returns: a reexamination
Weller, Paul A.; Neely, Christopher J. (1999)
This paper argues that inferring long-horizon asset-return predictability from the properties of vector autoregressive (VAR) models on relatively short spans of data is potentially unreliable. We illustrate the problems that can arise by re-examining the findings of Bekaert and Hodrick (1992), who detected evidence of in-sample predictability in international equity and foreign exchange markets using VAR methodology for a variety of countries over the period 1981-1989. The VAR predictions are significantly biased in most out-of-sample forecasts and are conclusively outperformed by a simple ...
Working Papers , Paper 1997-010

Journal Article
Risks in the economic outlook
Parry, Robert T. (1999)
FRBSF Economic Letter

Working Paper
Should fixed coefficients be reestimated every period for extrapolation?
Swamy, P. A. V. B.; Schinasi, Garry J. (1986)
This paper demonstrates that forecast accuracy is not necessarily improved when fixed coefficient models are sequentially reestimated, and used for prediction, after updating the database with the latest observation(s). This is at variance with the now popular method (see Meese and Rogoff (1983, 1985)) of sequentially reestimating fixed coefficient models for prediction as new data "rolls" in. It is argued that although "rolling" may minimize the variance of predictions for some classes of estimators, "rolling" does not necessarily yield accurate predictions (i.e., predictions that are ...
International Finance Discussion Papers , Paper 287

Conference Paper
Are banking supervisory data useful for macroeconomic forecasts?
Feldman, Ron J.; Miller, Preston J.; Schmidt, Jason; Kim, Jangryoul (2002)
Proceedings , Paper 825

Journal Article
Business forecasts 1978 : a year of moderate economic growth
Summers, Bruce J.; Baker, Sandra D. (1978-01)
An abstract for this article is not available
Economic Review , Volume 64 , Issue Jan , Pages 2-6

Conference Paper
Indicator variables for optimal policy
Woodford, Michael; Svensson, Lars E. O. (2000)
The optimal weights on indicators in models with partial information about the state of the economy and forward-looking variables are derived and interpreted, both for equilibria under discretion and under commitment. An example of optimal monetary policy with a partially observable potential output and a forward-looking indicator is examined. The optimal response to the optimal estimate of potential output displays certainty-equivalence, whereas the optimal response to the imperfect observation of output depends on the noise in this observation.
Proceedings

Journal Article
District economy to expand modestly
Grunewald, Rob; Madden, Tobias (2003-01)
Fedgazette , Volume 15 , Issue Jan , Pages 8-11

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