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Discussion Paper
The Survey of Consumer Expectations Turns Two!
Armantier, Olivier; Van der Klaauw, Wilbert; Zafar, Basit; Topa, Giorgio (2015-07-13)
The Federal Reserve Bank of New York’s Survey of Consumer Expectations (SCE) turned two years old in June. In this post, we review some of the key findings from the first two years of the survey’s history, highlighting the most noteworthy trends revealed in the data.
Liberty Street Economics , Paper 20150713a

Working Paper
Fiscal Dominance
Martin, Fernando M. (2020-10-29)
Who prevails when fiscal and monetary authorities disagree about the value of public expenditure and how much to discount the future? When the fiscal authority sets debt as its main policy instrument it achieves fiscal dominance, rendering the preferences of the central bank, and thus its independence, irrelevant. When the central bank sets the nominal interest rate it renders fiscal impatience (its debt bias) irrelevant, but still faces its expenditure bias. I find that the expenditure bias is about an order of magnitude more severe than the debt bias and has a major impact on welfare ...
Working Papers , Paper 2020-040

Journal Article
Average-Inflation Targeting and the Effective Lower Bound
Leduc, Sylvain; Diwan, Renuka; Mertens, Thomas M. (2020-08-10)
In response to the COVID-19 pandemic, the Federal Reserve cut the federal funds rate to essentially zero. It took further measures to support the functioning of financial markets and the flow of credit. Nevertheless, the economic downturn is putting downward pressure on inflation, which had already been running below the Fed’s 2% target for several years. This raises additional concerns that inflation expectations could decline and push inflation down further, ultimately hampering economic activity. A monetary policy framework based on average-inflation targeting could help address these ...
FRBSF Economic Letter , Volume 2020 , Issue 22 , Pages 01

Newsletter
What Does Labor Market Tightness Tell Us About the End of an Expansion?
Kelley, David; Brave, Scott A. (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

Working Paper
Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach
Knotek, Edward S.; Zaman, Saeed (2020-10-22)
We develop a flexible modeling framework to produce density nowcasts for US inflation at a trading-day frequency. Our framework: (1) combines individual density nowcasts from three classes of parsimonious mixed-frequency models; (2) adopts a novel flexible treatment in the use of the aggregation function; and (3) permits dynamic model averaging via the use of weights that are updated based on learning from past performance. Together these features provide density nowcasts that can accommodate non-Gaussian properties. We document the competitive properties of the nowcasts generated from our ...
Working Papers , Paper 202031

Working Paper
Inflation, Volatility, and Growth
Judson, Ruth; Orphanides, Athanasios
This paper re-examines the relationship between inflation, inflation volatility and growth using cross-country panel data for the past 30 years. With regard to the level of inflation, we find that in contrast to current findings which are based on cross-sectional time-average regression comparisons, exploiting the time dimension of the data reveals a strong negative correlation between inflation and income growth for all but very low inflation countries. To examine the role of inflation uncertainty on growth, we use intra-year inflation data to construct an annual measure of inflation ...
Finance and Economics Discussion Series , Paper 1996-19

Working Paper
The Lead of Output over Inflation in Sticky Price Models
Kiley, Michael T.
Output growth is negatively correlated with inflation, and detrended output is positively correlated with inflation, in the major North American and European economies. In addition, output growth and detrended output lead inflation. I explore the consistency of these correlations with three models of price adjustment: the partial adjustment model, a staggered price setting model, and the P-bar model. The ratio of the variance of supply to demand shocks necessary to match the pattern of output- inflation correlations can be ranked across the three models; the P-Bar model requires the lowest ...
Finance and Economics Discussion Series , Paper 1996-33

Report
The effects of a stronger dollar on U.S. prices
Diez, Federico J.; Gopinath, Gita (2015-12-01)
Since 2014:Q3, the U.S. dollar has experienced the third-fastest appreciation in over 30 years, with its nominal exchange and real exchange rate rising 15 percent against almost all foreign currencies (as measured by the Major Currencies Dollar Index). This sudden and rapid gain has engendered concerns about how a stronger dollar will affect U.S. export and import prices and ultimately, consumer prices and inflation in the United States. This paper assembles a rich database, spanning the period from 1985:Q1 through 2014:Q4, that combines several measures of prices and exchange rates in order ...
Current Policy Perspectives , Paper 15-9

Speech
Living Life Near the ZLB
Williams, John C. (2019-07-18)
Remarks at 2019 Annual Meeting of the Central Bank Research Association (CEBRA), New York City.
Speech , Paper 327

Speech
Monetary Policy and the Economic Outlook
Williams, John C. (2019-09-04)
Remarks at Euromoney Real Return XIII: The Inflation-Linked Products Conference 2019, New York City.
Speech , Paper 328

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