Search Results
Working Paper
A Likelihood-Based Comparison of Macro Asset Pricing Models
Chen, Andrew Y.; Wasyk, Rebecca; Winkler, Fabian
(2017-03)
We estimate asset pricing models with multiple risks: long-run growth, long-run volatility, habit, and a residual. The Bayesian estimation accounts for the entire likelihood of consumption, dividends, and the price-dividend ratio. We find that the residual represents at least 80% of the variance of the price-dividend ratio. Moreover, the residual tracks most recognizable features of stock market history such as the 1990's boom and bust. Long run risks and habit contribute primarily in crises. The dominance of the residual comes from the low correlation between asset prices and consumption ...
Finance and Economics Discussion Series
, Paper 2017-024
Working Paper
Short-term Planning, Monetary Policy, and Macroeconomic Persistence
López-Salido, J. David; Gust, Christopher J.; Herbst, Edward
(2020-01-08)
This paper uses aggregate data to estimate and evaluate a behavioral New Keynesian (NK) model in which households and firms plan over a finite horizon. The finite-horizon (FH) model outperforms rational expectations versions of the NK model commonly used in empirical applications as well as other behavioral NK models. The better fit of the FH model reflects that it can induce slow-moving trends in key endogenous variables which deliver substantial persistence in output and inflation dynamics. In the FH model, households and firms are forward-looking in thinking about events over their ...
Finance and Economics Discussion Series
, Paper 2020-003
Report
Unconventional Monetary Policies and Inequality
Lee, Donggyu
(2024-07-01)
This paper examines the effects of unconventional monetary policies on household welfare across the wealth distribution following the Great Recession. Using a heterogeneous agent New Keynesian model, estimated with Bayesian methods, I analyze how forward guidance and quantitative easing affected inequality during this period. The findings show that while these policies boosted economic activity and benefited all households, they had non-linear distributional effects. Unconventional monetary policies reduced inequality within the bottom 90 percent by lowering unemployment but widened the ...
Staff Reports
, Paper 1108
Report
Dynamic prediction pools: an investigation of financial frictions and forecasting performance
Del Negro, Marco; Schorfheide, Frank; Hasegawa, Raiden B.
(2014-10-01)
We provide a novel methodology for estimating time-varying weights in linear prediction pools, which we call dynamic pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE) models, with and without financial frictions, for output growth and inflation in the period 1992 to 2011. We find strong evidence of time variation in the pool?s weights, reflecting the fact that the DSGE model with financial frictions produces superior forecasts in periods of financial distress but doesn?t perform as well in tranquil periods. The dynamic ...
Staff Reports
, Paper 695
Working Paper
Small Sample Properties of Bayesian Estimators of Labor Income Processes
Tonetti, Christopher; Nakata, Taisuke
(2014-03-31)
There exists an extensive literature estimating idiosyncratic labor income processes. While a wide variety of models are estimated, GMM estimators are almost always used. We examine the validity of using likelihood based estimation in this context by comparing the small sample properties of a Bayesian estimator to those of GMM. Our baseline studies estimators of a commonly used simple earnings process. We extend our analysis to more complex environments, allowing for real world phenomena such as time varying and heterogeneous parameters, missing data, unbalanced panels, and non-normal errors. ...
Finance and Economics Discussion Series
, Paper 2014-25
Working Paper
Optimal Monetary and Macroprudential Policies: Gains and Pitfalls in a Model of Financial Intermediation
Kiley, Michael T.; Sim, Jae W.
(2015-09-04)
We estimate a quantitative general equilibrium model with nominal rigidities and financial intermediation to examine the interaction of monetary and macroprudential stabilization policies. The estimation procedure uses credit spreads to help identify the role of financial shocks amenable to stabilization via monetary or macroprudential instruments. The estimated model implies that monetary policy should not respond strongly to the credit cycle and can only partially insulate the economy from the distortionary effects of financial frictions/shocks. A counter-cyclical macroprudential instrument ...
Finance and Economics Discussion Series
, Paper 2015-78
Working Paper
Capital-Task Complementarity and the Decline of the U.S. Labor Share of Income
Orak, Musa
(2017-03)
This paper provides evidence that shifts in the occupational composition of the U.S. workforce are the most important factor explaining the trend decline in the labor share over the past four decades. Estimates suggest that while there is unitary elasticity between equipment capital and non-routine tasks, equipment capital and routine tasks are highly substitutable. Through the lenses of a general equilibrium model with occupational choice and the estimated production technology, I document that the fall in relative price of equipment capital alone can explain 72 percent of the observed ...
International Finance Discussion Papers
, Paper 1200
Working Paper
How To Go Viral: A COVID-19 Model with Endogenously Time-Varying Parameters
Matthes, Christian; Ho, Paul; Lubik, Thomas A.
(2020-08-21)
This paper estimates a panel model with endogenously time-varying parameters for COVID-19 cases and deaths in U.S. states. The functional form for infections incorporates important features of epidemiological models but is flexibly parameterized to capture different trajectories of the pandemic. Daily deaths are modeled as a spike-and-slab regression on lagged cases. The paper's Bayesian estimation reveals that social distancing and testing have significant effects on the parameters. For example, a 10 percentage point increase in the positive test rate is associated with a 2 percentage point ...
Working Paper
, Paper 20-10
Working Paper
Mis-specified Forecasts and Myopia in an Estimated New Keynesian Model
Hajdini, Ina
(2022-02-16)
The paper considers a New Keynesian framework in which agents form expectations based on a combination of mis-specified forecasts and myopia. The proposed expectations formation process is found to be consistent with all three empirical facts on consensus inflation forecasts, namely, that forecasters under-react to ex-ante forecast revisions, that forecasters over-react to recent events, and that the response of forecast errors to a shock initially under-shoots but then over-shoots. The paper then derives the general equilibrium solution consistent with the proposed expectations formation ...
Working Papers
, Paper 22-03
Working Paper
Indeterminacy and Learning: An Analysis of Monetary Policy in the Great Inflation
Lubik, Thomas A.; Matthes, Christian
(2014-01-31)
We argue in this paper that the Great Inflation of the 1970s can be understood as the result of equilibrium indeterminacy in which loose monetary policy engendered excess volatility in macroeconomic aggregates and prices. We show, however, that the Federal Reserve inadvertently pursued policies that were not anti-inflationary enough because it did not fully understand the economic environment it was operating in. Specifically, it had imperfect knowledge about the structure of the U.S. economy and it was subject to data misperceptions. The real-time data flow at that time did not capture the ...
Working Paper
, Paper 14-2
FILTER BY year
FILTER BY Bank
Board of Governors of the Federal Reserve System (U.S.) 17 items
Federal Reserve Bank of Dallas 7 items
Federal Reserve Bank of Philadelphia 5 items
Federal Reserve Bank of New York 4 items
Federal Reserve Bank of Cleveland 2 items
Federal Reserve Bank of Richmond 2 items
Federal Reserve Bank of St. Louis 2 items
Federal Reserve Bank of Chicago 1 items
Federal Reserve Bank of Minneapolis 1 items
Federal Reserve Bank of San Francisco 1 items
show more (5)
show less
FILTER BY Series
Working Papers 12 items
Finance and Economics Discussion Series 11 items
International Finance Discussion Papers 6 items
Globalization Institute Working Papers 5 items
Staff Reports 4 items
Working Paper 2 items
Working Paper Series 2 items
show more (2)
show less
FILTER BY Content Type
Working Paper 38 items
Report 4 items
FILTER BY Author
Martinez-Garcia, Enrique 4 items
Schorfheide, Frank 4 items
Gust, Christopher J. 3 items
López-Salido, J. David 3 items
Shin, Minchul 3 items
Arias, Jonas E. 2 items
Aruoba, S. Boragan 2 items
Benigno, Gianluca 2 items
Cuba-Borda, Pablo A. 2 items
Del Negro, Marco 2 items
Faria-e-Castro, Miguel 2 items
Fernández-Villaverde, Jesús 2 items
Gallant, A. Ronald 2 items
Grossman, Valerie 2 items
Hajdini, Ina 2 items
Herbst, Edward 2 items
Higa-Flores, Kenji 2 items
Jahan-Parvar, Mohammad 2 items
Kiley, Michael T. 2 items
Liu, Hening 2 items
Lubik, Thomas A. 2 items
Matthes, Christian 2 items
Otrok, Christopher 2 items
Rebucci, Alessandro 2 items
Richter, Alexander W. 2 items
Rubio-Ramirez, Juan F. 2 items
Szerszen, Pawel J. 2 items
Throckmorton, Nathaniel A. 2 items
Villalvazo, Sergio 2 items
Wynne, Mark A. 2 items
Zhang, Ren 2 items
Akinci, Ozge 1 items
Albouy, David 1 items
Amisano, Gianni 1 items
Atkinson, Tyler 1 items
Beltran, Daniel O. 1 items
Chen, Andrew Y. 1 items
Draper, David 1 items
Drautzburg, Thorsten 1 items
Edge, Rochelle M. 1 items
Faccini, Renato 1 items
Foerster, Andrew 1 items
Foerster, Andrew T. 1 items
Giannoni, Marc 1 items
Gordy, Michael B. 1 items
Hasegawa, Raiden B. 1 items
Herbst, Edward P. 1 items
Hirose, Yasuo 1 items
Ho, Paul 1 items
Iacoviello, Matteo 1 items
Jahan-Parvar, Mohammad R. 1 items
Jones, Callum 1 items
Knipp, Charles 1 items
Kulish, Mariano 1 items
Kurozumi, Takushi 1 items
Laforte, Jean-Philippe 1 items
Lee, Donggyu 1 items
Melosi, Leonardo 1 items
Nakata, Taisuke 1 items
Nicolini, Juan Pablo 1 items
Orak, Musa 1 items
Sim, Jae W. 1 items
Tonetti, Christopher 1 items
Tristani, Oreste 1 items
Wasyk, Rebecca 1 items
Winkler, Fabian 1 items
show more (61)
show less
FILTER BY Jel Classification
C11 22 items
E52 12 items
E32 8 items
F41 7 items
C32 6 items
E58 6 items
E30 5 items
E43 5 items
C53 4 items
E3 4 items
E70 4 items
G12 4 items
C5 3 items
C51 3 items
E12 3 items
E4 3 items
E5 3 items
E50 3 items
C1 2 items
C13 2 items
C15 2 items
C61 2 items
D81 2 items
D84 2 items
E1 2 items
E13 2 items
E2 2 items
E31 2 items
E37 2 items
E40 2 items
E44 2 items
F42 2 items
G01 2 items
G11 2 items
I1 2 items
C18 1 items
C22 1 items
C34 1 items
C43 1 items
C50 1 items
C52 1 items
C58 1 items
E21 1 items
E22 1 items
E23 1 items
E25 1 items
E47 1 items
E61 1 items
E62 1 items
F44 1 items
G10 1 items
G15 1 items
G17 1 items
G18 1 items
H87 1 items
J24 1 items
J31 1 items
J64 1 items
R1 1 items
R3 1 items
show more (55)
show less
FILTER BY Keywords
Bayesian estimation 28 items
Bayesian Estimation 13 items
DSGE models 4 items
Monetary Policy 4 items
Monetary policy 3 items
Causality 2 items
Dynamic Stochastic General Equilibrium (DSGE) models 2 items
Epidemiological models 2 items
Great Recession 2 items
Internal Propagation 2 items
MCMC 2 items
Mexico 2 items
Myopia 2 items
Natural Rate 2 items
New Keynesian models 2 items
Particle Filter 2 items
Survey of Professional Forecasters (SPF) 2 items
TANK models 2 items
Wicksellian Natural Rate 2 items
fiscal policy 2 items
long-run risks 2 items
particle filter 2 items
policy analysis 2 items
zero lower bound 2 items
zero lower bound (ZLB) 2 items
Ambiguity 1 items
Ambiguity aversion 1 items
Banks 1 items
Bayesian VARs 1 items
Bayesian learning 1 items
Business Cycles 1 items
CDS 1 items
CIR process 1 items
Capital-task complementarity 1 items
DSGE model 1 items
Econometric modeling 1 items
Elasticity of substitution 1 items
Endogenous Regime-Switching 1 items
Equity Premium Puzzle 1 items
Equity premium puzzle 1 items
Euro Area 1 items
Excess Volatility 1 items
Federal Reserve 1 items
Financial Crises 1 items
Financial frictions 1 items
Finite horizon planning 1 items
Finite-horizon planning 1 items
Fiscal policy 1 items
Forecast Data 1 items
GMM 1 items
Great Moderation 1 items
Great recession 1 items
Habit 1 items
Heterogeneous-agent New Keynesian (HANK) model 1 items
Inflation expectations 1 items
Inversion Filter 1 items
Job polarization 1 items
Kalman filter 1 items
Labor income process 1 items
Labor share 1 items
Learning 1 items
Least Squares Learning 1 items
Likelihood 1 items
Local identifcation 1 items
Macroprudential policy 1 items
Markov switching 1 items
Markov-switching 1 items
Maximum likelihood estimation 1 items
Monetary policy rules 1 items
Narrative shocks 1 items
Natural rate of interest 1 items
New Keynesian 1 items
New keynesian model 1 items
Nonlinear Filtering 1 items
Nonlinear Solution Methods 1 items
Nonlinear filtering 1 items
Nonlinear solution methods 1 items
OccBin 1 items
Occasionally Binding Constraints 1 items
Online forecasting 1 items
Open Economy Model 1 items
Open-Economy New Keynesian Model 1 items
Out-of-sample forecasting 1 items
Panel 1 items
Parameter uncertainty 1 items
Particle MCMC 1 items
Policy interventions 1 items
Policy-relevant parameters 1 items
Potential output 1 items
Prior-versus-posterior comparison 1 items
Priors 1 items
Projection Methods 1 items
Rare Disasters 1 items
Regime switches 1 items
Sensitivity analysis 1 items
Sequential Monte Carlo methods 1 items
Slope of the Phillips curve 1 items
Small Open Economy Model 1 items
State-level data 1 items
Survey Expectations 1 items
Technological change 1 items
Technology News Shock 1 items
Technology Shock 1 items
Term structure of interest rates 1 items
Time-Varying Parameters 1 items
Trend-cycle decomposition 1 items
Two-sector growth model 1 items
Uncertainty shocks 1 items
Unemployment rate 1 items
bayesian estimation 1 items
beliefs 1 items
business cycle fluctuations 1 items
business cycles 1 items
collateral constraints 1 items
country risk premium 1 items
credit derivatives 1 items
employment gap 1 items
endogenous regime-switching 1 items
equity premiums 1 items
error component models 1 items
financial crises 1 items
financial frictions 1 items
forecasting 1 items
forward guidance 1 items
fundamental inflation 1 items
hierarchical modeling 1 items
hiring frictions 1 items
housing 1 items
inequality 1 items
international business cycles 1 items
labor market trends 1 items
land values 1 items
linear prediction pools 1 items
missing disinflation 1 items
model comparisons 1 items
occasionally binding constraints 1 items
particle MCMC 1 items
policy interventions 1 items
quantitative easing 1 items
small open economy model 1 items
small sample properties 1 items
spatial data 1 items
stochastic time change 1 items
unconventional monetary policy 1 items
show more (139)
show less