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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
Anatomy of Corporate Credit Spreads: The Great Recession vs. COVID-19
Ebsim, Mahdi; Kozlowski, Julian; Faria-e-Castro, Miguel (2020-10-09)
We compare the evolution of corporate credit spreads during the Great Recession and the COVID-19 pandemic. The two crises featured increases of similar magnitudes in the median and cross-sectional dispersion of credit spreads, but the pandemic was short-lived and different sectors were affected. The micro-data reveal larger differences between the two episodes: the Great Recession featured an increase in the across-firm dispersion, and leverage was an important predictor of credit spreads. Differently, the COVID-19 crisis displayed a larger increase in within-firm dispersion, and funding ...
Working Papers , Paper 2020-035

Journal Article
The FHA and the GSEs as countercyclical tools in the mortgage markets
Sherlund, Shane M.; Passmore, Wayne (2018-24-03)
The authors examine the connection between government mortgage programs and economic outcomes during and after the financial crisis. They find a strong correlation between counties that participated more heavily in Federal Housing Administration (FHA)/Veterans Affairs (VA) and government-sponsored enterprise (GSE) mortgage lending before the crisis and better economic outcomes during and after the crisis. Although the financial crisis was a substantial shock to all counties, those more reliant on FHA/VA or GSE lending experienced smaller increases in unemployment rates; smaller declines in ...
Economic Policy Review , Issue 24-3 , Pages 28-40

Speech
The Economic Outlook and Some Longer-Run Issues 05-18-2017 Economic Club of Minnesota, Minneapolis, MN
Mester, Loretta J. (2017-05-18)
Today, I will discuss my current outlook for the economy and my views on monetary policy. I will also talk about some longer-run issues facing the economy. Of course, these are my own views and not necessarily those of the Federal Reserve System or my colleagues on the Federal Open Market Committee. The economic expansion will celebrate its eighth birthday next month ? that?s 56 in dog years ? which is long by historical standards. Of course, expansions don?t die from old age and there is no reason to think that this one cannot continue. In fact, one of my focuses as a monetary policymaker is ...
Speech , Paper 83

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
Does Disappointing European Productivity Growth Reflect a Slowing Trend? Weighing the Evidence and Assessing the Future
Inklaar, Robert; Fernald, John G. (2020-06-12)
In the years since the Great Recession, many observers have highlighted the slow pace of labor and total factor productivity (TFP) growth in advanced economies. This paper focuses on the European experience, where we highlight that trend TFP growth was already low in the runup to the Global Financial Crisis (GFC). This suggests that it is important to consider factors other than just the deep crisis itself or policy changes since the crisis. After the mid-1990s, European economies stopped converging, or even began diverging, from the U.S. level of TFP. That said, in contrast to the United ...
Working Paper Series , Paper 2020-22

Working Paper
Credit and Liquidity Policies during Large Crises
Ebsim, Mahdi; Faria-e-Castro, Miguel; Kozlowski, Julian (2021-09-10)
We study the evolution of firm financials during two large crises: the Great Financial Crisis (GFC) and the COVID-19 pandemic. While the two crises featured similar increases in corporate spreads, corporate debt and liquid asset holdings moved in opposite directions. The micro-data reveal that firm leverage was a more important predictor of firm-level credit spreads and investment during the GFC, but that firm funding liquidity was more important during the pandemic. We augment a dynamic model of firm capital structure with an explicit motive to hold liquid assets, and calibrate it to match ...
Working Papers , Paper 2020-035

Deconstructing Hours Worked: How Did Recent Recessions Differ?
Birinci, Serdar; Ngân, Trần Khánh (2023-08-01)
Weekly usual hours worked per capita recovered faster from the COVID-19 recession than from Great Recession because of stable hours per worker and a fast recovery in the employment rate.
On the Economy

Speech
New York City’s return from the brink: remarks at the Lotos Club, New York City
Dudley, William (2016-10-19)
Remarks at the Lotos Club, New York City.
Speech , Paper 221

Working Paper
Unconventional monetary policy and the behavior of shorts
Planchon, Jade; McInish, Thomas H.; Neely, Christopher J. (2017-10-27)
In November 2008, the Federal Reserve announced the first of a series of unconventional monetary policies, which would include asset purchases and forward guidance, to reduce long-term interest rates. We investigate the behavior of shorts, considered sophisticated investors, before and after a set of these unconventional monetary policy announcements that spot bond markets did not fully anticipate. Short interest in agency securities systematically predicts bond price changes and other asset returns on the days of monetary announcements, particularly when growth or monetary news is released, ...
Working Papers , Paper 2017-31

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