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Working Paper
Common drifting volatility in large Bayesian VARs
Marcellino, Massimiliano; Clark, Todd E.; Carriero, Andrea (2012)
The estimation of large vector autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor.> This is justified by the observation that the pattern of estimated volatilities in empirical analyses is often very similar across variables. Using a combination of a standard natural conjugate prior for the VAR coefficients and an independent prior on a common stochastic volatility factor, we derive the posterior densities for the parameters of the ...
Working Papers (Old Series) , Paper 1206

Journal Article
Forecasting inflation and output: comparing data-rich models with simple rules
Gavin, William T.; Kliesen, Kevin L. (2008-05)
There has been a resurgence of interest in dynamic factor models for use by policy advisors. Dynamic factor methods can be used to incorporate a wide range of economic information when forecasting or measuring economic shocks. This article introduces dynamic factor models that underlie the data-rich methods and also tests whether the data-rich models can help a benchmark autoregressive model forecast alternative measures of inflation and real economic activity at horizons of 3, 12, and 24 months ahead. The authors find that, over the past decade, the data-rich models significantly improve the ...
Review , Volume 90 , Issue May , Pages 175-192

Journal Article
A monetary perspective on underground economic activity in the United States
Porter, Richard D.; Bayer, Amanda S. (1984-03)
Federal Reserve Bulletin , Issue Mar

Newsletter
Economic Outlook Symposium: summary of 2010 results and forecasts for 2011
Wang, Norman; Strauss, William A. (2011-02)
According to participants in the Chicago Fed?s annual Economic Outlook Symposium, solid economic growth is forecasted for the nation in 2011, following a year with moderate growth; inflation is expected to edge higher in 2011; and the unemployment rate is predicted to remain elevated this year.
Chicago Fed Letter , Issue Feb

Journal Article
Forecasters expect solid growth, low inflation in 2011
Kliesen, Kevin L. (2011-01)
The Regional Economist , Issue Jan , Pages 11

Working Paper
Multi-step ahead forecasting of vector time series
McCracken, Michael W.; McElroy, Tucker S. (2012)
This paper develops the theory of multi-step ahead forecasting for vector time series that exhibit temporal nonstationarity and co-integration. We treat the case of a semi-infinite past, developing the forecast filters and the forecast error filters explicitly, and also provide formulas for forecasting from a finite-sample of data. This latter application can be accomplished by the use of large matrices, which remains practicable when the total sample size is moderate. Expressions for Mean Square Error of forecasts are also derived, and can be implemented readily. Three diverse data ...
Working Papers , Paper 2012-060

Working Paper
Univariate and multivariate ARIMA versus vector autoregression forecasting
Bagshaw, Michael L. (1987)
The purposes of this study are two: 1) to compare the forecasting abilities of the three methods: univariate autoregressive integrated moving average (ARIMA), multivariate autoregressive integrated moving average (MARIMA), and vector autoregression (both unconstrained ? VAR ? and Bayesian ? BVAR) and 2) to study the idea that one advantage of vector autoregressions is that the models can easily and inexpensively be reestimated after each additional data point. All of these methods have been shown to provide forecasts that are more accurate than many econometric methods, which require more ...
Working Papers (Old Series) , Paper 8706

Working Paper
Evaluating the forecasting performance of commodity futures prices
Reeve, Trevor A.; Vigfusson, Robert J. (2011)
Commodity futures prices are frequently criticized as being uninformative for forecasting purposes because (1) they seem to do no better than a random walk or an extrapolation of recent trends and (2) futures prices for commodities often trace out a relatively flat trajectory even though global demand is steadily increasing. In this paper, we attempt to shed light on these concerns by discussing the theoretical relationship between spot and futures prices for commodities and by evaluating the empirical forecasting performance of futures prices relative to some alternative benchmarks. The key ...
International Finance Discussion Papers , Paper 1025

Working Paper
Forecast disagreement among FOMC members
Banternghansa, Chanont; McCracken, Michael W. (2009)
This paper presents empirical evidence on the disagreement among Federal Open Market Committee (FOMC) forecasts. In contrast to earlier studies that analyze the range of FOMC forecasts available in the Monetary Policy Report to the Congress, we analyze the forecasts made by each individual member of the FOMC from 1992 to 1998. This newly available dataset, while rich in detail, is short in duration. Even so, we are able to identify a handful of patterns in the forecasts related to i) forecast horizon; ii) whether the individual is a Federal Reserve Bank president, governor, and/or Vice ...
Working Papers , Paper 2009-059

Newsletter
Economic Outlook Symposium: summary of 2005 results and forecasts for 2006
Engel, Emily; Strauss, William A. (2006-03)
The nation?s economic growth will soften slightly in 2006, inflation will decrease, and the unemployment rate will remain stable, according to the median forecast of participants at the Federal Reserve Bank of Chicago?s most recent Economic Outlook Symposium.
Chicago Fed Letter , Issue Mar

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