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Working Paper
News and Uncertainty about COVID-19: Survey Evidence and Short-Run Economic Impact
Kuester, Keith; Schoenle, Raphael; Dietrich, Alexander; Muller, Gernot J. (2021-12-22)
A tailor-made survey documents consumer perceptions of the U.S. economy’s response to a large shock: the advent of the COVID-19 pandemic. The survey ran at a daily frequency between March 2020 and July 2021. Consumer perceptions regarding output and inflation react rapidly. Uncertainty is pervasive. A business-cycle model calibrated to the consumer views provides an interpretation. The rise in household uncertainty amplifies the pandemic recession by a factor of three. Different perceptions about monetary policy can explain why consumers and professional forecasters agree on the ...
Working Papers , Paper 20-12R

Working Paper
News-driven uncertainty fluctuations
Song, Dongho; Tang, Jenny (2018-01-01)
We embed a news shock, a noisy indicator of the future state, in a two-state Markov-switching growth model. Our framework, combined with parameter learning, features rich history-dependent uncertainty dynamics. We show that bad news that arrives during a prolonged economic boom can trigger a ?Minsky moment??a sudden collapse in asset values. The effect is greatly amplified when agents have a preference for early resolution of uncertainty. We leverage survey recession probability forecasts to solve a sequential learning problem and estimate the full posterior distribution of model primitives. ...
Working Papers , Paper 18-3

Working Paper
Reshoring, Automation, and Labor Markets Under Trade Uncertainty
Leduc, Sylvain; Liu, Zheng (2024-05-05)
We study the implications of trade uncertainty for reshoring, automation, and U.S. labor markets. Rising trade uncertainty creates incentive for firms to reduce exposures to foreign suppliers by moving production and distribution processes to domestic producers. However, we argue that reshoring does not necessarily bring jobs back to the home country or boost domestic wages, especially when firms have access to labor-substituting technologies such as automation. Automation improves labor productivity and facilitates reshoring, but it can also displace jobs. Furthermore, automation poses a ...
Working Paper Series , Paper 2024-16

Working Paper
Attention and a Paradox of Uncertainty
Chiang, Yu-Ting (2024-10-08)
I show that macroeconomic uncertainty during recessions can arise from people paying more attention to aggregate events. When information is dispersed, people's attempts to acquire more information can lead to higher aggregate volatility, forecast dispersion, and uncertainty about aggregate output. Information rigidity is reduced, consistent with evidence in forecast surveys, and distinct from the prediction of exogenous volatility shocks. When the model is calibrated to U.S. data, endogenous attention accounts for half of the observed fluctuations in volatility, forecast dispersion, and ...
Working Papers , Paper 2022-004

Speech
What the Moment Demands
Daly, Mary C. (2023-11-17)
Mary C. Daly, President and Chief Executive Officer, Federal Reserve Bank of San Francisco, 33rd Frankfurt European Banking Congress, Frankfurt, Germany, November 17, 2023, 3:30 PM CET (local), 6:30 AM PST
Speech

Speech
The Impact of the Pandemic on Cultural Capital in the Finance Industry
Stiroh, Kevin J. (2020-11-16)
Remarks at the Risk USA Conference (delivered via videoconference).
Speech

Working Paper
Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings
Kilian, Lutz; Plante, Michael D.; Richter, Alexander W. (2022-11-23)
A common practice in empirical macroeconomics is to examine alternative recursive orderings of the variables in structural vector autoregressive (VAR) models. When the implied impulse responses look similar, the estimates are considered trustworthy. When they do not, the estimates are used to bound the true response without directly addressing the identification challenge. A leading example of this practice is the literature on the effects of uncertainty shocks on economic activity. We prove by counterexample that this practice is invalid in general, whether the data generating process is a ...
Working Papers , Paper 2223

Working Paper
A Closer Look at the Behavior of Uncertainty and Disagreement: Micro Evidence from the Euro Area
Tracy, Joseph; Rich, Robert W. (2018-09-28)
This paper examines point and density forecasts of real GDP growth, inflation and unemployment from the European Central Bank?s Survey of Professional Forecasters. We present individual uncertainty measures and introduce individual point- and density-based measures of disagreement. The data indicate substantial heterogeneity and persistence in respondents? uncertainty and disagreement, with uncertainty associated with prominent respondent effects and disagreement associated with prominent time effects. We also examine the co-movement between uncertainty and disagreement and find an ...
Working Papers (Old Series) , Paper 1813

Working Paper
Fiscal Expansions in the Era of Low Real Interest Rates
Garga, Vaishali (2020-04-01)
Low natural real interest rates limit the power of monetary policy to revive the economy due to the zero lower bound (ZLB) on the nominal interest rate. Fiscal stabilization via higher government debt is frequently recommended as a policy to raise the natural real interest rate. This paper builds a non-Ricardian framework to study the tradeoffs associated with a debt-financed fiscal expansion and show that even in a low real interest rate environment, higher debt doesn’t necessarily raise the real interest rate. The effect of the expansion is non-monotonic: Increasing debt raises the ...
Working Papers , Paper 20-11

Working Paper
Financial Shocks in an Uncertain Economy
Scotti, Chiara (2023-07-07)
The past 15 years have been eventful. The Global Financial Crisis (GFC) reminded us of the importance of a stable financial system to a well-functioning economy, one with low and stable inflation and maximum employment. Given the recent banking stress, we ponder this issue again. The pandemic was a huge shock surrounded by much uncertainty, making precise forecasts within traditional models difficult. And more recently, there has been continuous talk of a soft landing and recession risks.In this paper, I focus on some of the lessons we have learned over the years: (i) uncertainty and tail ...
Working Papers , Paper 2308

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