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Working Paper
The Anatomy of Out-of-Sample Forecasting Accuracy
Rapach, David E.; Borup, Daniel; Goulet Coulombe, Philippe; Montes Schütte, Erik Christian; Schwenk-Nebbe, Sander (2022-11-07)
We develop metrics based on Shapley values for interpreting time-series forecasting models, including“black-box” models from machine learning. Our metrics are model agnostic, so that they are applicable to any model (linear or nonlinear, parametric or nonparametric). Two of the metrics, iShapley-VI and oShapley-VI, measure the importance of individual predictors in fitted models for explaining the in-sample and out-of-sample predicted target values, respectively. The third metric is the performance-based Shapley value (PBSV), our main methodological contribution. PBSV measures the ...
FRB Atlanta Working Paper , Paper 2022-16

Newsletter
What Does Labor Market Tightness Tell Us About the End of an Expansion?
Brave, Scott A.; Kelley, David (2018)
We use a model based on the historical relationships between unemployment, inflation, and recessions, along with the Summary of Economic Projections (SEP) from the Federal Open Market Committee (FOMC),1 to examine the medium-term implications of current and projected unemployment rates for the U.S. economy. Our model predicts a low probability of a recession in the next two to three years based on SEP forecasts for additional labor market tightening over this horizon.
Chicago Fed Letter

Discussion Paper
High Unemployment and Disinflation in the Euro Area Periphery Countries
Klitgaard, Thomas; Peck, Richard (2014-07-14)
Economists often model inflation as dependent on inflation expectations and the level of economic slack, with changes in expectations or slack leading to changes in the inflation rate. The global slowdown and the subsequent sovereign debt crisis caused the greatest divergence in unemployment rates among euro area member countries since the monetary union was founded in 1999. The pronounced differences in economic performances of euro area countries since 2008 should have led to significant differences in price behavior. That turned out to be the case, with a strong correlation evident between ...
Liberty Street Economics , Paper 20140714a

Working Paper
The Impact of the COVID-19 Pandemic on Business Expectations
Meyer, Brent; Prescott, Brian; Sheng, Xuguang (2020-09-04)
We document and evaluate how businesses are reacting to the COVID-19 crisis through August 2020. First, on net, firms see the shock (thus far) largely as a demand rather than supply shock. A greater share of firms reports significant or severe disruption to sales activity than to supply chains. We compare these measures of disruption to their expected changes in selling prices and find that, even for firms that report supply chain disruption, they expect to lower near-term selling prices on average. We also show that firms are engaging in wage cuts and expect to trim wages further before the ...
FRB Atlanta Working Paper , Paper 2020-17

Speech
Restoring Balance
Williams, John C. (2022-02-18)
Remarks at New Jersey City University (delivered via videoconference).
Speech

Working Paper
Low Passthrough from Inflation Expectations to Income Growth Expectations: Why People Dislike Inflation
Hajdini, Ina; Knotek, Edward S.; Leer, John; Pedemonte, Mathieu; Rich, Robert W.; Schoenle, Raphael (2022-06-23)
Using a novel experimental setup, we study the direction of causality between consumers’ inflation expectations and their income growth expectations. In a large, nationally representative survey of US consumers, we find that the rate of passthrough from expected inflation to expected income growth is incomplete, on the order of 20 percent. There is no statistically significant effect going in the other direction. Passthrough varies systematically with demographic and socioeconomic factors, with greater passthrough for higher-income individuals than lower-income individuals, although it is ...
Working Papers , Paper 22-21

Speech
U.S. Economic Outlook
Moskow, Michael H. (2007-02-16)
Remarks by Michael H. Moskow President and Chief Executive Officer Federal Reserve Bank of Chicago. University Club of Chicago - Learn at Lunch Lecture - 76 E. Monroe St., Chicago, IL. A speech delivered on February 16, 2007 in Chicago, Illinois.
Speech , Paper 7

Discussion Paper
Is the Green Transition Inflationary?
Del Negro, Marco; di Giovanni, Julian; Dogra, Keshav (2023-02-14)
Are policies aimed at fighting climate change inflationary? In a new staff report we use a simple model to argue that this does not have to be the case. The model suggests that climate policies do not force a central bank to tolerate higher inflation but may generate a trade-off between inflation and employment objectives. The presence and size of this trade-off depends on how flexible prices are in the “dirty” and “green” sectors relative to the rest of the economy, and on whether climate policies consist of taxes or subsidies.
Liberty Street Economics , Paper 20230214

Working Paper
Price dispersion and inflation: new facts and theoretical implications
Sheremirov, Viacheslav (2015-07-01)
From a macroeconomic perspective, price rigidity is often perceived to be an important source of price dispersion, with significant implications for the dynamic properties of aggregate variables, welfare calculations, and the design of optimal policy. For instance, in standard New Keynesian models, the key cost of business cycles stems from the price dispersion resulting from firms' inability to adjust prices instantaneously. However, different macroeconomic models make conflicting predictions about the level of price dispersion, as well as about its dynamic properties and sensitivity to ...
Working Papers , Paper 15-10

Report
Macroeconomic Drivers and the Pricing of Uncertainty, Inflation, and Bonds
Williams, John C.; Mertens, Thomas M.; Bok, Brandyn (2022-04-01)
This paper analyzes a new stylized fact: According to financial market prices, the correlation between uncertainty shocks, as measured by changes in the VIX, and changes in break-even inflation rates has declined and turned negative over the past quarter century. It rationalizes this uncertainty-inflation correlation within a standard New Keynesian model with a lower bound on interest rates combined with a decline in the natural rate of interest. With a lower natural rate, the likelihood of the lower bound binding increased and the effects of uncertainty on the economy became more pronounced. ...
Staff Reports , Paper 1011

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