Search Results

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Journal Article
Foretelling the future
Jacobson, Robert (1981)
FRBSF Economic Letter

Working Paper
Financial innovations, money demand, and disaggregation: some time series evidence
Chirinko, Robert S.; Farr, Dorsey D. (1996)
This paper explores the instability in estimated money demand functions. Using a new data series on credit card usage, we evaluate the role of financial innovations in stabilizing the M1 demand function over three troubling episodes. We find that our measure of financial innovations improves the short-term predictive ability of the M1 demand function, but does not generate stable long-run elasticities. Structural instability remains even after accounting for seasonal adjustment, the turbulence in the second and third quarters of 1980, and an alternative transactions measure. ; Financial ...
Research Working Paper , Paper 96-06

Report
How stable is the predictive power of the yield curve? evidence from Germany and the United States
Estrella, Arturo; Rodrigues, Anthony P.; Schich, Sebastian (2000)
Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time. We use recent econometric techniques for break testing to examine whether the empirical relationships are in fact stable. We consider continuous models, which predict either economic growth or inflation, and binary models, which predict either recessions or inflationary pressure. In each case, we draw on ...
Staff Reports , Paper 113

Working Paper
Linear cointegration of nonlinear time series with an application to interest rate dynamics
Jones, Barry E.; Nesmith, Travis D. (2006)
We derive a definition of linear cointegration for nonlinear stochastic processes using a martingale representation theorem. The result shows that stationary linear cointegrations can exhibit nonlinear dynamics, in contrast with the normal assumption of linearity. We propose a sequential nonparametric method to test first for cointegration and second for nonlinear dynamics in the cointegrated system. We apply this method to weekly US interest rates constructed using a multirate filter rather than averaging. The Treasury Bill, Commercial Paper and Federal Funds rates are cointegrated, with two ...
Finance and Economics Discussion Series , Paper 2007-03

Working Paper
A comparison of forecast performance between Federal Reserve staff forecasts, simple reduced-form models, and a DSGE model
Edge, Rochelle M.; Kiley, Michael T.; Laforte, Jean-Philippe (2009)
This paper considers the "real-time" forecast performance of the Federal Reserve staff, time-series models, and an estimated dynamic stochastic general equilibrium (DSGE) model--the Federal Reserve Board's new Estimated, Dynamic, Optimization-based (Edo) model. We evaluate forecast performance using out-of-sample predictions from 1996 through 2005, thereby examining over 70 forecasts presented to the Federal Open Market Committee (FOMC). Our analysis builds on previous real-time forecasting exercises along two dimensions. First, we consider time-series models, a structural DSGE model that ...
Finance and Economics Discussion Series , Paper 2009-10

Working Paper
Budget constraints and time-series evidence on consumption: comment
Roberds, William (1992)
FRB Atlanta Working Paper , Paper 92-14

Working Paper
Forecasting using contemporaneous correlations
Bagshaw, Michael L. (1984)
In this paper, we present a forecasting technique that uses contemporaneous correlations for forecasting in a time series model when only a subset of the variables are available for the current period. This method potentially provides more accurate forecasts than the standard time series forecasting method, which does not use contemporaneous data. This procedure is illustrated with an example of forecasting the gross national product (GNP), given current N-i in a trivariate autoregressive moving average time series model, Results indicate that during the more stable economic period of 1976:IQ ...
Working Papers (Old Series) , Paper 8403

Working Paper
Theoretical confidence level problems with confidence intervals for the spectrum of a time series
Faust, Jon (1996)
Textbook approaches to forming asymptotically justified confidence intervals for the spectrum under very general assumptions were developed by the mid-1970s. This paper shows that under the textbook assumptions, the true confidence level for these intervals does not converge to the asymptotic level, and instead is fixed at zero in all sample sizes. The paper explores necessary conditions for solving this problem, most notably showing that under weak conditions, forming valid confidence intervals requires that one limit consideration to a finite-dimensional time series model.
International Finance Discussion Papers , Paper 575

Working Paper
Efficient tests for autoregressive unit roots in panel data
Bowman, David (1999)
In this paper the class of admissable tests for unit roots in panel data sets of autoregressive, Gaussian time series will be partially characterized. Using this characterization, several recently suggested tests are shown to be inadmissable. Since the sufficient statistic for this testing problem is multidimensional, there is no uniformly most powerful test; however, in light of the inadmissability result, a new test is proposed that appears to do well relative to existing tests. The test is parameterized in a way that allows the choice of different directional deviations from the null ...
International Finance Discussion Papers , Paper 646

Conference Paper
International trade and money wage growth in the 1980s
Vroman, Susan; Vroman, Wayne (1989)
Proceedings

show more (2)

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