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Working Paper
Growth-at-Risk is Investment-at-Risk
We investigate the role financial conditions play in the composition of U.S. growth-at-risk. We document that, by a wide margin, growth-at-risk is investment-at-risk. That is, if financial conditions indicate U.S. real GDP growth will be in the lower tail of its conditional distribution, we know that the main contributor is a decline in investment. Consumption contributes under extreme financial stress. Government spending and net exports do not play a role.
Market-Based Measures of Inflation Risks
Forecasts typically focus on estimates of expected inflation, but some forecasts look at the probability of different inflation rates in the future.
Price Volatility and Headline Inflation
Movements in “sticky prices”—items that show low price volatility—may indicate that recent swings in U.S. headline inflation are only temporary.
How COVID-19 May Be Affecting Inflation
U.S. consumer spending patterns have changed during the pandemic, and that may be affecting the measurement of inflation.
Working Paper
On the Real-Time Predictive Content of Financial Conditions Indices for Growth
We provide evidence on the real-time predictive content of the National Financial Conditions Index (NFCI), for conditional quantiles of U.S. real GDP growth. Our work is distinct from the literature in two specific ways. First, we construct (unofficial) real-time vintages of the NFCI. This allows us to conduct out-of-sample analysis without introducing the kind of look-ahead biases that are naturally introduced when using a single current vintage. We then develop methods for conducting asymptotic inference on tests of equal tick loss between nested quantile regression models when the data are ...
Journal Article
Which Earnings Groups Have Been Most Affected by the COVID-19 Crisis?
When the pandemic caused unemployment to skyrocket, the lowest earners were the hardest hit.
Job Switching Rates during a Recession
The rate at which workers move to new jobs has progressed differently during the COVID-19 recession than during the Great Recession.
Journal Article
Hires and Separations During the COVID-19 Crisis by Firm Size
The negative effects of the COVID-19 crisis were larger for firms with under 50 employees, even with loans from the Paycheck Protection Program.
The Evolution of the Job Finding Rate during the COVID-19 Recession
The unusual nature of the COVID-19 recession appears to have masked the severity of the downturn’s impact on the rate at which unemployed workers found jobs.
Working Paper
On the Real-Time Predictive Content of Financial Conditions Indices for Growth
We provide evidence on the real-time predictive content of the National Financial Conditions Index (NFCI), for conditional quantiles of U.S. real GDP growth. Our work is distinct from the literature in two specific ways. First, we construct (unofficial) real-time vintages of the NFCI. This allows us to conduct out-of-sample analysis without introducing the kind of look-ahead biases that are naturally introduced when using a single current vintage. We then develop methods for conducting asymptotic inference on tests of equal tick loss between nested quantile regression models when the data are ...