Search Results

Showing results 1 to 10 of approximately 88.

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Working Paper
Real-time forecasting with a mixed-frequency VAR
Song, Dongho; Schorfheide, Frank (2012)
This paper develops a vector autoregression (VAR) for macroeconomic time series which are observed at mixed frequencies ? quarterly and monthly. The mixed-frequency VAR is cast in state-space form and estimated with Bayesian methods under a Minnesota-style prior. Using a real-time data set, we generate and evaluate forecasts from the mixed-frequency VAR and compare them to forecasts from a VAR that is estimated based on data time-aggregated to quarterly frequency. We document how information that becomes available within the quarter improves the forecasts in real time.
Working Papers , Paper 701

Working Paper
Sources of exchange rate fluctuations: are they real or nominal?
Juvenal, Luciana (2009)
I analyze the role of real and monetary shocks on the exchange rate behavior using a structural vector autoregressive model of the US vis--vis the rest of the world. The shocks are identified using sign restrictions on the responses of the variables to orthogonal disturbances. These restrictions are derived from the predictions of a two-country DSGE model. I find that monetary shocks are unimportant in explaining exchange rate fluctuations. By contrast, demand shocks explain between 23% and 38% of exchange rate variance at 4-quarter and 20-quarter horizons, respectively. The contribution of ...
Working Papers , Paper 2009-040

Working Paper
Identification, vector autoregression, and block recursion
Zha, Tao (1996)
In the applications of identified VAR models, finite-sample properties are not obvious to obtain when identifying restrictions are imposed on some lagged relationships. As a result, researchers have either left lagged relationships unrestricted even though some restrictions clearly make economic sense or failed to provide correct inference of the estimates. We extend the Bayesian methodology in the existing literature to these cases and develop the blockwise Monte Carlo methods. We show how to implement these methods to obtain the estimation and inference.
FRB Atlanta Working Paper , Paper 96-8

Working Paper
Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach
Eliasz, Piotr; Bernanke, Ben S.; Boivin, Jean (2004)
Structural vector autoregressions (VARs) are widely used to trace out the effect of monetary policy innovations on the economy. However, the sparse information sets typically used in these empirical models lead to at least two potential problems with the results. First, to the extent that central banks and the private sector have information not reflected in the VAR, the measurement of policy innovations is likely to be contaminated. A second problem is that impulse responses can be observed only for the included variables, which generally constitute only a small subset of the variables that ...
Finance and Economics Discussion Series , Paper 2004-03

Working Paper
Using near-VARs to examine phase-dependent monetary and fiscal policy
Filardo, Andrew J. (1997)
Economic policies are known to have different effects on the economy depending on the size of policy changes and on business cycle conditions. For example, monetary policy might be more stimulative in recessions and around turning points in the business cycle than during expansions. Such dependencies, however, are usually ignored in most empirical research or are placed under the rubric of "long and variable lags." Accounting for phase-dependent policies holds out the possibility not only of better forecasting performance with our macroeconomic models and of more accurate methods to ...
Research Working Paper , Paper 97-11

Conference Paper
Another hole in the ozone layer: changes in FOMC operating procedure and the term structure
Roberts, William; Runkle, David E.; Whiteman, Charles H. (1993)
Proceedings , Paper 1, pt. 1

Working Paper
Financial aggregates as conditioning information for Australian output and inflation
Chandra, Naveen; Tallman, Ellis W. (1997)
This paper examines whether financial aggregates provide information useful for predicting real output growth and inflation, extending the inquiry conducted in Tallman and Chandra (1996). First, we investigate whether perfect knowledge of the future values of financial aggregates helps improve significantly the forecasting accuracy of output and inflation in a simple vector autoregression framework. The results display only one notable improvement to the forecasts with the addition of perfect information on the financial aggregates?future information on credit growth helps improve the ...
FRB Atlanta Working Paper , Paper 97-8

Working Paper
Non-monotonic long memory dynamics in black-market premia
Dueker, Michael J.; Asea, Patrick K. (1995)
The dynamic response of Black market premia to domestic shocks is an important issue in the design and implementation of stabilization and reform programs. We use a vector autoregressive fractionally integrated model to provide new evidence on the dynamics of the official and Black market exchange rates. We show that the official and Black market exchange rates in Hungary are cointegrated with a negative fractional order ofintegration in the cointegrating residuals. The new empirical finding means that the cointegrating residuals are positively autocorrelated in the short run due to ...
Working Papers , Paper 1995-003

Journal Article
On the identification of structural vector autoregressions
Sarte, Pierre-Daniel G. (1997-07)
Economic Quarterly , Issue Sum , Pages 45-68

Working Paper
A causal relationship between stock returns and volume
Antoniewicz, Rochelle L. (1992)
Finance and Economics Discussion Series , Paper 208

show more (3)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords