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Showing results 1 to 10 of approximately 19.
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Journal Article
An evaluation of real GDP forecasts: 1996-2001
During the second half of the 1990s, forecasters made large and persistent underpredictions of GDP growth; subsequently, they missed the drop off into the recession of 2001. Forecasters do not appear to have behaved unusually during this period: Their out-period forecasts were not far from their perceptions of longer-run trends. This suggests that the forecast errors in 1996-2001 likely reflected some unusual behavior in the economy.
Journal Article
On the causes of the increased stability of the U.S. economy : commentary
Paper for a conference sponsored by the Federal Reserve Bank of New York entitled Financial Innovation and Monetary Transmission
Working Paper
How professional forecasters view shocks to GDP
Economic activity depends on agents' real-time beliefs regarding the persistence in the shocks they currently perceive to be hitting the economy. This paper uses an unobserved components model of forecast revisions to examine how the professional forecasters comprising the Blue Chip Economic Consensus have viewed such shocks to GDP over the past twenty years. The model estimates that these forecasters attribute more of the variance in the shock to GDP to permanent factors than to transitory developments. Both shocks are significantly correlated with incoming high-frequency indicators of ...
Journal Article
Consumption-based macroeconomic forecasting
The authors build a small-scale econometric model based on the permanent income theory of consumption and balanced economic growth in order to study the influence of permanent and transitory factors on the level of economic activity.
Working Paper
Tracking U.S. Consumers in Real Time with a New Weekly Index of Retail Trade
We create a new weekly index of retail trade that accurately predicts the U.S. Census Bureau's Monthly Retail Trade Survey (MRTS). The index's weekly frequency provides an early snapshot of the MRTS and allows for a more granular analysis of the aggregate consumer response to fast-moving events such as the Covid-19 pandemic. To construct the index, we extract the co-movement in weekly data series capturing credit and debit card transactions, foot traffic, gasoline sales, and consumer sentiment. To ensure that the index is representative of aggregate retail spending, we implementa novel ...
Newsletter
Changes in the Risk-Management Environment for Monetary Policy
In response to the massive challenges presented by the global financial crisis, in late 2007 the Federal Open Market Committee (FOMC) began a series of large reductions in its traditional policy tool, the overnight interest rate in the federal funds market. By December 2008 the Committee had lowered the target to its effective lower bound (ELB) of 0 to 25 basis points.1 Later, in an attempt to provide additional monetary stimulus, the FOMC implemented nontraditional policy tools, such as large-scale asset purchases and forward guidance about how long the fed funds rate would stay at very low ...
Working Paper
Learning Monetary Policy Strategies at the Effective Lower Bound with Sudden Surprises
Central banks around the world have revised their operating frameworks in an attempt to counter the challenges presented by the effective lower bound (ELB) on policy rates. We examine how private sector agents might learn such a new regime and the effect of future shocks on that process. In our model agents use Bayesian updating to learn the parameters of an asymmetric average inflation targeting rule that is adopted while at the ELB. Little can be discovered until the economy improves enough that rates would be near liftoff under the old policy regime; learning then proceeds until either the ...
Working Paper
Tracking U.S. Consumers in Real Time with a New Weekly Index of Retail Trade
We create a new weekly index of retail trade that accurately predicts the U.S. Census Bureau’s Monthly Retail Trade Survey (MRTS). The index’s weekly frequency provides an early snapshot of the MRTS and allows for a more granular analysis of the aggregate implications of policies implemented during the Covid-19 pandemic. To construct the index, we extract the co-movement in several weekly data series capturing credit & debit card transactions and revenues, mobility, and consumer sentiment as well as monthly retail and food services sales excluding automotive spending (ex. autos) from the ...
Discussion Paper
The informational efficiency of econometric model forecasts