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Working Paper
A common model approach to macroeconomics: using panel data to reduce sampling error
Gavin, William T.; Theodorou, Athena T. (2004)
Is there a common model inherent in macroeconomic data? Macroeconomic theory suggests that market economies of various nations should share many similar dynamic patterns; as a result, individual-country empirical models, for a wide variety of countries often include the same variables. Yet, empirical studies often find important roles for idiosyncratic shocks in the differing macroeconomic performance of countries. We use forecasting criteria to examine the macro-dynamic behavior of 15 OECD countries in terms of a small set of familiar, widely?used core economic variables, omitting ...
Working Papers , Paper 2003-045

Journal Article
A dynamic multivariate model for use in formulating policy
Zha, Tao (1998-01-01)
A policy action by the Federal Reserve consists of using any one of various instruments, such as the federal funds rate and different measures of money, to pursue its multiple objectives. Because of long and variable lags in the effects of policy actions, the process of anticipating the future is indispensable in formulating sound monetary policy. For the same reason, projecting policy effects accurately is a challenging task. An essential step is to develop good forecasting models. ; This article presents a forecasting model that seems to overcome conceptual and empirical difficulties ...
Economic Review , Volume 83 , Issue Q 1 , Pages 16-29

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
Macroeconomic Forecasting in Times of Crises
Zhong, Molin; Guerron-Quintana, Pablo (2017-01-31)
We propose a parsimonious semiparametric method for macroeconomic forecasting during episodes of sudden changes. Based on the notion of clustering and similarity, we partition the time series into blocks, search for the closest blocks to the most recent block of observations, and with the matched blocks we proceed to forecast. One possibility is to compare local means across blocks, which captures the idea of matching directional movements of a series. We show that our approach does particularly well during the Great Recession and for variables such as inflation, unemployment, and real ...
Finance and Economics Discussion Series , Paper 2017-018

Working Paper
Forecasting U.S. inflation by Bayesian Model Averaging
Wright, Jonathan H. (2003)
Recent empirical work has considered the prediction of inflation by combining the information in a large number of time series. One such method that has been found to give consistently good results consists of simple equal weighted averaging of the forecasts over a large number of different models, each of which is a linear regression model that relates inflation to a single predictor and a lagged dependent variable. In this paper, I consider using Bayesian Model Averaging for pseudo out-of-sample prediction of US inflation, and find that it gives more accurate forecasts than simple equal ...
International Finance Discussion Papers , Paper 780

Working Paper
Irrational expectations and econometric practice: discussion of Orphanides and Williams, \"Inflation scares and forecast-based monetary policy\"
Ireland, Peter N. (2003)
Athanasios Orphanides and John C. Williams' excellent conference paper, "Inflation Scares and Forecast-Based Monetary Policy," contributes importantly to the new and rapidly growing branch of the literature on bounded rationality and learning in macroeconomics. Their paper, like many others, derives interesting and useful theoretical results that show how the introduction of bounded rationality and learning impacts on the effects of monetary policy shocks and the characteristics of optimal monetary policy rules. This note suggests that some additional empirical work-some "irrational ...
FRB Atlanta Working Paper , Paper 2003-22

Journal Article
A perspective on the economy: three years of expansion
Lovati, Jean M. (1978-05)
Review , Volume 60 , Issue May

Journal Article
The magic's gone: a hard look at the data shows that the famous Phillips curve does no better at forecasting inflation than a simple look at the past
Clement, Douglas (2001-09)
The Region , Issue Sep , Pages 14-18

Journal Article
Forecasts 1975
Cullison, William E. (1975-01)
An abstract for this article is not available.
Economic Review , Volume 61 , Issue Jan , Pages 20-24

Report
Monetary cycles, financial cycles, and the business cycle
Shin, Hyun Song; Estrella, Arturo; Adrian, Tobias (2010)
One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real activity. The economic rationale for this forecasting power usually appeals to expectations of future interest rates, which affect the slope of the term structure. In this paper, we propose a possible causal mechanism for the forecasting power of the term spread, deriving from the balance sheet management of financial intermediaries. When monetary tightening is associated with a flattening of the term spread, it reduces net interest margin, which in turn makes lending less ...
Staff Reports , Paper 421

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