Search Results

Showing results 1 to 10 of approximately 57.

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Discussion Paper
Forecasts of the Lost Recovery
Gupta, Abhi; Li, Pearl; Del Negro, Marco; Cai, Michael; Giannoni, Marc (2018-05-09)
The years following the Great Recession were challenging for forecasters for a variety of reasons, including an unprecedented policy environment. This post, based on our recently released working paper, documents the real-time forecasting performance of the New York Fed dynamic stochastic general equilibrium (DSGE) model in the wake of the Great Recession. We show that the model?s predictive accuracy was on par with that of private forecasters and proved to be quite a bit better, at least in terms of GDP growth, than that of the median forecasts from the Federal Open Market Committee?s (FOMC) ...
Liberty Street Economics , Paper 20180509

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

Speech
What kind of jobs have been created during the recovery?
Dudley, William (2014-05-21)
Remarks at the Regional Economic Press Briefing, New York City.
Speech , Paper 137

Report
DSGE forecasts of the lost recovery
Cai, Michael; Del Negro, Marco; Giannoni, Marc; Gupta, Abhi; Li, Pearl; Moszkowski, Erica (2018-03-01)
The years following the Great Recession were challenging for forecasters. Unlike other deep downturns, this recession was not followed by a swift recovery, but generated a sizable and persistent output gap that was not accompanied by deflation as a traditional Phillips curve relationship would have predicted. Moreover, the zero lower bound and unconventional monetary policy generated an unprecedented policy environment. We document the real real-time forecasting performance of the New York Fed dynamic stochastic general equilibrium (DSGE) model during this period and explain the results using ...
Staff Reports , Paper 844

Report
Appendix for Financial Frictions and Fluctuations in Volatility
Kehoe, Patrick J.; Bai, Yan; Arellano, Cristina (2017-01-24)
This appendix contains five sections. Section 1 provides details for the comparative statics exercise performed in the simple example. Section 2 discusses extending the model to allow firms to default on the wages for managers. Section 3 describes the firm-level and aggregate data. Section 4 contains the details of the computational algorithm. Finally, Section 5 reports the results for our model with a lower labor elasticity.
Staff Report , Paper 538

Report
Intergenerational Redistribution in the Great Recession
Heathcote, Jonathan; Krueger, Dirk; Glover, Andrew; Rios-Rull, Jose-Victor (2014-05-20)
We construct a stochastic overlapping-generations general equilibrium model in which households are subject to aggregate shocks that affect both wages and asset prices. We use a calibrated version of the model to quantify how the welfare costs of big recessions are distributed across different household age groups. The model predicts that younger cohorts fare better than older cohorts when the equilibrium decline in asset prices is large relative to the decline in wages. Asset price declines hurt the old, who rely on asset sales to finance consumption, but benefit the young, who purchase ...
Staff Report , Paper 498

Working Paper
Unconventional monetary policy and the behavior of shorts
McInish, Thomas; Neely, Christopher J.; Planchon, Jade (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

Working Paper
Mortgage Debt, Consumption, and Illiquid Housing Markets in the Great Recession
Garriga, Carlos; Hedlund, Aaron (2017-10-01)
Using a model with housing search, endogenous credit constraints, and mortgage default, this paper accounts for the housing crash from 2006 to 2011 and its implications for aggregate and cross-sectional consumption during the Great Recession. Left tail shocks to labor market uncertainty and tighter down payment requirements emerge as the key drivers. An endogenous decline in housing liquidity amplifies the recession by increasing foreclosures, contracting credit, and depressing consumption. Balance sheets act as a transmission mechanism from housing to consumption that depends on gross ...
Working Papers , Paper 2017-30

Working Paper
Consumption in the Great Recession: The Financial Distress Channel
Athreya, Kartik B.; Mather, Ryan; Mustre-del-Rio, Jose; Sanchez, Juan M. (2019-09-17)
During the Great Recession, the collapse of consumption across the U.S. varied greatly but systematically with house-price declines. We find that financial distress among U.S. households amplified the sensitivity of consumption to house-price shocks. We uncover two essential facts: (1) the decline in house prices led to an increase in household financial distress prior to the decline in income during the recession, and (2) at the zip-code level, the prevalence of financial distress prior to the recession was positively correlated with house-price declines at the onset of the recession. Using ...
Working Papers , Paper 2019-25

Working Paper
Shrinkage estimation of high-dimensional factor models with structural instabilities
Liao, Zhipeng; Schorfheide, Frank; Cheng, Xu (2013-12-01)
In high-dimensional factor models, both the factor loadings and the number of factors may change over time. This paper proposes a shrinkage estimator that detects and disentangles these instabilities. The new method simultaneously and consistently estimates the number of pre- and post-break factors, which liberates researchers from sequential testing and achieves uniform control of the family-wise model selection errors over an increasing number of variables. The shrinkage estimator only requires the calculation of principal components and the solution of a convex optimization problem, which ...
Working Papers , Paper 14-4

show more (1)

show more (68)

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