Search Results

Showing results 1 to 10 of approximately 532.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Forecasting 

Working Paper
Five open questions about prediction markets

Interest in prediction markets has increased in the last decade, driven in part by the hope that these markets will prove to be valuable tools in forecasting, decisionmaking and risk management--in both the public and private sectors. This paper outlines five open questions in the literature, and we argue that resolving these questions is crucial to determining whether current optimism about prediction markets will be realized.
Working Paper Series , Paper 2006-06

Working Paper
Bayesian Model Averaging and exchange rate forecasts

Exchange rate forecasting is hard and the seminal result of Meese and Rogoff (1983) that the exchange rate is well approximated by a driftless random walk, at least for prediction purposes, has never really been overturned despite much effort at constructing other forecasting models. However, in several other macro and financial forecasting applications, researchers in recent years have considered methods for forecasting that combine the information in a large number of time series. One method that has been found to be remarkably useful for out-of-sample prediction is simple averaging of the ...
International Finance Discussion Papers , Paper 779

Speech
Asset bubbles and the implications for central bank policy

Remarks at The Economic Club of New York, New York City.
Speech , Paper 21

Working Paper
Optimal prediction under asymmetric loss

Prediction problems involving asymmetric loss functions arise routinely in many fields, yet the theory of optimal prediction under asymmetric loss is not well developed. We study the optimal prediction problem under general loss structures and characterize the optimal predictor. We compute it numerically in less tractable cases. A key theme is that the conditionally optimal forecast is biased under asymmetric loss and that the conditionally optimal amount of bias is time-varying in general and depends on higher-order conditional moments. Thus, for example, volatility dynamics (e.g., GARCH ...
Working Papers , Paper 97-11

Working Paper
Evaluating interest rate covariance models within a value-at-risk framework

We find that covariance matrix forecasts for an international interest rate portfolio generated by a model that incorporates interest-rate level volatility effects perform best with respect to statistical loss functions. However, within a value-at-risk (VaR) framework, the relative performance of the covariance matrix forecasts depends greatly on the VaR distributional assumption. Simple forecasts based just on weighted averages of past observations perform best using a VaR framework. In fact, we find that portfolio variance forecasts that ignore the individual assets in the portfolio ...
Working Paper Series , Paper 2004-03

Journal Article
District economy to expand modestly

Fedgazette , Volume 15 , Issue Jan , Pages 8-11

Journal Article
Listening to loan officers: the impact of commercial credit standards on lending and output

Over most of the last thirty-three years, the Federal Reserve has polled a small number of bank loan officers about their moves to tighten or ease commercial credit standards. Although the Senior Loan Officer Opinion Survey uses a small sample and gathers only qualitative information, it proves to be a useful tool in predicting changes in commercial lending and output. The authors find a strong correlation between tighter credit standards and slower loan growth and output, even after controlling for credit demand and other predictors of lending and output. The analysis also shows that the ...
Economic Policy Review , Issue Jul , Pages 1-16

Journal Article
Despite setbacks, the U.S. economy steams forward

The Regional Economist , Issue Jan , Pages 18

Journal Article
The U.S. economy in 1990 and 1991: continued expansion likely

This paper reports an optimistic forecast of U.S. output and inflation trends in 1990_91. Generated by a Bayesian vector autoregression (BVAR) model of the U.S. economy using data available on November 30, 1989, the forecast is more optimistic than a consensus forecast. The key to the model's greater optimism for real growth is its outlook for strong consumer spending. The model's optimism is defended by examining historical precedents as well as comparing the track records of the model and consensus forecasts. The model's measures of forecast uncertainty, however, suggest that its ...
Quarterly Review , Volume 13 , Issue Fall , Pages 19-26

Journal Article
Rethinking the value of initial claims as a forecasting tool

The weekly numbers on initial claims for unemployment insurance convey key information about the labor market. But how reliable are claims in predicting changes in the much anticipated monthly employment report? According to a simple forecasting model, claims consistently send an accurate signal about employment during recessions but not during expansions.
Current Issues in Economics and Finance , Volume 4 , Issue Nov

FILTER BY year

FILTER BY Series

Working Papers 72 items

Economic Review 54 items

Finance and Economics Discussion Series 39 items

FRB Atlanta Working Paper 25 items

Review 25 items

FRBSF Economic Letter 24 items

show more (49)

FILTER BY Content Type

Journal Article 225 items

Working Paper 221 items

Report 40 items

Discussion Paper 24 items

Conference Paper 11 items

Speech 8 items

show more (2)

FILTER BY Author

Clark, Todd E. 20 items

Diebold, Francis X. 17 items

McCracken, Michael W. 15 items

Croushore, Dean 13 items

Robertson, John C. 12 items

Neely, Christopher J. 11 items

show more (481)

FILTER BY Jel Classification

C53 22 items

C32 8 items

E17 6 items

C11 5 items

C52 5 items

C55 5 items

show more (50)

FILTER BY Keywords

Forecasting 532 items

Econometric models 54 items

Inflation (Finance) 54 items

Monetary policy 51 items

Economic indicators 31 items

Interest rates 27 items

show more (268)

PREVIOUS / NEXT