Search Results
Showing results 1 to 10 of approximately 55.
(refine search)
Working Paper
Internal Migration in the United States: A Comparative Assessment of the Utility of the Consumer Credit Panel
Whitaker, Stephan; Johnson, Janna; DeWaard, Jack
(2018-03-23)
This paper demonstrates that credit bureau data, such as the Federal Reserve Bank of New York Consumer Credit Panel/Equifax (CCP), can be used to study internal migration in the United States. It is comparable to, and in some ways superior to, the standard data used to study migration, including the American Community Survey (ACS), the Current Population Survey (CPS), and the Internal Revenue Service (IRS) county-to-county migration data. CCP-based estimates of migration intensity, connectivity, and spatial focusing are similar to estimates derived from the ACS, CPS, and IRS data. The CCP can ...
Working Papers (Old Series)
, Paper 1804
Report
Economic predictions with big data: the illusion of sparsity
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E.
(2018-04-01)
We compare sparse and dense representations of predictive models in macroeconomics, microeconomics, and finance. To deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The posterior distribution does not typically concentrate on a single sparse or dense model, but on a wide set of models. A clearer pattern of sparsity can only emerge when models of very low dimension are strongly favored a priori.
Staff Reports
, Paper 847
Working Paper
Forecasting Consumption Spending Using Credit Bureau Data
Croushore, Dean; Wilshusen, Stephanie M.
(2020-06-04)
This paper considers whether the inclusion of information contained in consumer credit reports might improve the predictive accuracy of forecasting models for consumption spending. To investigate the usefulness of aggregate consumer credit information in forecasting consumption spending, this paper sets up a baseline forecasting model. Based on this model, a simulated real-time, out-of-sample exercise is conducted to forecast one-quarter ahead consumption spending. The exercise is run again after the addition of credit bureau variables to the model. Finally, a comparison is made to test ...
Working Papers
, Paper 20-22
Working Paper
A Generalized Factor Model with Local Factors
Freyaldenhoven, Simon
(2019-04-19)
I extend the theory on factor models by incorporating local factors into the model. Local factors only affect an unknown subset of the observed variables. This implies a continuum of eigenvalues of the covariance matrix, as is commonly observed in applications. I derive which factors are pervasive enough to be economically important and which factors are pervasive enough to be estimable using the common principal component estimator. I then introduce a new class of estimators to determine the number of those relevant factors. Unlike existing estimators, my estimators use not only the ...
Working Papers
, Paper 19-23
Working Paper
Investing in the Batteries and Vehicles of the Future: A View Through the Stock Market
Plante, Michael D.
(2023-09-26)
A large number of companies operating in the EV and battery supply chain have listed on a major U.S. stock exchange in recent years. This paper investigates 1) how these companies’ stock returns are related to systematic risk factors that can explain movements in the stock market and 2) how these companies’ idiosyncratic returns are related to one another. To do so, I compile a unique data set of intradaily stock returns that spans the supply chain, including companies focused on the mining of battery and EV-related critical minerals, advanced battery technology, lithium-ion battery ...
Working Papers
, Paper 2314
Working Paper
The Transmission of Financial Shocks and Leverage of Financial Institutions: An Endogenous Regime-Switching Framework
Waggoner, Daniel F.; Hubrich, Kirstin
(2022-06-02)
We conduct a novel empirical analysis of the role of leverage of financial institutions for the transmission of financial shocks to the macroeconomy. For that purpose, we develop an endogenous regime-switching structural vector autoregressive model with time-varying transition probabilities that depend on the state of the economy. We propose new identification techniques for regime switching models.Recently developed theoretical models emphasize the role of bank balance sheets for the build-up of financial instabilities and the amplification of financial shocks. We build a market-based ...
FRB Atlanta Working Paper
, Paper 2022-5
Working Paper
A one-covariate at a time, multiple testing approach to variable selection in high-dimensional linear regression models
Chudik, Alexander; Kapetanios, George; Pesaran, M. Hashem
(2016-11-01)
Model specification and selection are recurring themes in econometric analysis. Both topics become considerably more complicated in the case of large-dimensional data sets where the set of specification possibilities can become quite large. In the context of linear regression models, penalised regression has become the de facto benchmark technique used to trade off parsimony and fit when the number of possible covariates is large, often much larger than the number of available observations. However, issues such as the choice of a penalty function and tuning parameters associated with the use ...
Globalization Institute Working Papers
, Paper 290
Working Paper
Technological Innovation in Mortgage Underwriting and the Growth in Credit: 1985-2015
Foote, Christopher L.; Loewenstein, Lara; Willen, Paul S.
(2018-12-07)
The application of information technology to finance, or ?fintech,? is expected to revolutionize many aspects of borrowing and lending in the future, but technology has been reshaping consumer and mortgage lending for many years. During the 1990s computerization allowed mortgage lenders to reduce loan-processing times and largely replace human-based assessment of credit risk with default predictions generated by sophisticated empirical models. Debt-to-income ratios at origination add little to the predictive power of these models, so the new automated underwriting systems allowed higher ...
Working Papers (Old Series)
, Paper 1816
Report
Macroeconomic nowcasting and forecasting with big data
Tambalotti, Andrea; Sbordone, Argia M.; Giannone, Domenico; Bok, Brandyn; Caratelli, Daniele
(2017-11-01)
Data, data, data . . . Economists know it well, especially when it comes to monitoring macroeconomic conditions the basis for making informed economic and policy decisions. Handling large and complex data sets was a challenge that macroeconomists engaged in real-time analysis faced long before big data? became pervasive in other disciplines. We review how methods for tracking economic conditions using big data have evolved over time and explain how econometric techniques have advanced to mimic and automate the best practices of forecasters on trading desks, at central banks, and in other ...
Staff Reports
, Paper 830
Working Paper
Common and Idiosyncratic Inflation
Luciani, Matteo
(2020-03-05)
We use a dynamic factor model to disentangle changes in prices due to economy-wide (common) shocks, from changes in prices due to idiosyncratic shocks. Using 146 disaggregated individual price series from the U.S. PCE price index, we find that most of the fluctuations in core PCE prices observed since 2010 have been idiosyncratic in nature. Moreover, we find that common core inflation responds to economic slack, while the idiosyncratic component does not. That said, even after filtering out idiosyncratic factors, the estimated Phillips curve is extremely flat post-1995. Therefore, our ...
Finance and Economics Discussion Series
, Paper 2020-024
FILTER BY year
FILTER BY Bank
Board of Governors of the Federal Reserve System (U.S.) 18 items
Federal Reserve Bank of Cleveland 9 items
Federal Reserve Bank of Dallas 7 items
Federal Reserve Bank of New York 6 items
Federal Reserve Bank of Philadelphia 5 items
Federal Reserve Bank of Boston 3 items
Federal Reserve Bank of Kansas City 3 items
Federal Reserve Bank of Chicago 2 items
Federal Reserve Bank of Atlanta 1 items
Federal Reserve Bank of San Francisco 1 items
show more (5)
show less
FILTER BY Series
Finance and Economics Discussion Series 16 items
Working Papers 12 items
Globalization Institute Working Papers 6 items
Working Papers (Old Series) 5 items
Research Working Paper 3 items
Staff Reports 3 items
Working Paper Series 3 items
Economic Policy Review 2 items
International Finance Discussion Papers 2 items
Consumer Finance Institute discussion papers 1 items
FRB Atlanta Working Paper 1 items
Liberty Street Economics 1 items
show more (7)
show less
FILTER BY Content Type
FILTER BY Author
Carriero, Andrea 5 items
Chudik, Alexander 5 items
Clark, Todd E. 5 items
Crane, Leland D. 5 items
Decker, Ryan A. 5 items
Hamins-Puertolas, Adrian 5 items
Kurz, Christopher J. 5 items
Pesaran, M. Hashem 5 items
Marcellino, Massimiliano 4 items
Cajner, Tomaz 3 items
Freyaldenhoven, Simon 3 items
Lee, Seung Jung 3 items
Luciani, Matteo 3 items
Sharifvaghefi, Mahrad 3 items
Sicilian, Martin 3 items
Adams, Travis 2 items
Ajello, Andrea 2 items
Barbarino, Alessandro 2 items
Brave, Scott A. 2 items
Bura, Efstathia 2 items
Butters, R. Andrew 2 items
Cohen, Gregory J. 2 items
DeWaard, Jack 2 items
Flaaen, Aaron 2 items
Fogarty, Michael 2 items
Foote, Christopher L. 2 items
Friedrichs, Melanie 2 items
Giannone, Domenico 2 items
Gupta, Kamran 2 items
Hayes, William 2 items
Hubrich, Kirstin 2 items
Johnson, Janna 2 items
Kapetanios, George 2 items
Loewenstein, Lara 2 items
Marsh, W. Blake 2 items
Mertens, Elmar 2 items
Mislang, Nathan 2 items
Sbordone, Argia M. 2 items
Shaton, Maya 2 items
Silva, Diego 2 items
Vazquez-Grande, Francisco 2 items
Waggoner, Daniel F. 2 items
Whitaker, Stephan 2 items
Willen, Paul S. 2 items
Wilshusen, Stephanie M. 2 items
Ahn, Hie Joo 1 items
Almuzara, MartĂn 1 items
Amstad, Marlene 1 items
Andreasen, Martin M. 1 items
Bai, Yu 1 items
Baker, Katie 1 items
Barigozzi, Matteo 1 items
Barnes, Michelle L. 1 items
Batarseh, Feras A. 1 items
Boivin, Jean 1 items
Bok, Brandyn 1 items
Caratelli, Daniele 1 items
Chen, Kan 1 items
Chen, Mary 1 items
Christensen, Jens H. E. 1 items
Cook, Thomas R. 1 items
Croushore, Dean 1 items
Crucini, Mario J. 1 items
DeHaven, Matthew 1 items
Doh, Taeyoung 1 items
Giannoni, Marc 1 items
Gopinath, Munisamy 1 items
Groen, Jan J. J. 1 items
Kiley, Michael T. 1 items
Kitschelt, Isabel 1 items
Lenza, Michele 1 items
Massimiliano, Marcellino 1 items
Monken, Anderson 1 items
Nattinger, Michael 1 items
Nie, Jun 1 items
Olivei, Giovanni P. 1 items
O’Keeffe, Hannah 1 items
Perkins, Charles B. 1 items
Plante, Michael D. 1 items
Potter, Simon M. 1 items
Primiceri, Giorgio E. 1 items
Radler, Tyler 1 items
Rayl, Nelson P. 1 items
Rich, Robert W. 1 items
Rudebusch, Glenn D. 1 items
Sinha, Nitish R. 1 items
Stevanovic, Dalibor 1 items
Tambalotti, Andrea 1 items
Wang, J. Christina 1 items
Whitaker, Stephan D. 1 items
Yang, Shu-Kuei X. 1 items
show more (86)
show less
FILTER BY Jel Classification
C53 22 items
C32 11 items
C81 10 items
E44 10 items
C11 8 items
C52 8 items
E32 8 items
C38 6 items
G21 6 items
C22 5 items
E37 5 items
D53 4 items
C58 3 items
C80 3 items
D12 3 items
E17 3 items
E31 3 items
E52 3 items
J11 3 items
C13 2 items
C33 2 items
C43 2 items
C88 2 items
D14 2 items
D22 2 items
E27 2 items
E50 2 items
F44 2 items
G01 2 items
G17 2 items
J2 2 items
J61 2 items
L85 2 items
O15 2 items
R21 2 items
R23 2 items
R31 2 items
C24 1 items
C40 1 items
C45 1 items
C68 1 items
E00 1 items
F01 1 items
F13 1 items
F17 1 items
F41 1 items
F47 1 items
G10 1 items
G12 1 items
G23 1 items
J20 1 items
Q40 1 items
show more (48)
show less
FILTER BY Keywords
forecasting 12 items
Big data 7 items
factor models 6 items
Monetary policy 5 items
variable selection 5 items
COVID-19 4 items
stochastic volatility 4 items
Bayesian VARs 3 items
Dynamic factor model 3 items
high-dimensional data 3 items
high-dimensionality 3 items
large datasets 3 items
local factors 3 items
one covariate at a time multiple testing (OCMT) 3 items
sparsity 3 items
Natural Language Processing 3 items
Principal Components 3 items
Stock Returns 3 items
business cycles 3 items
Diffusion Index 2 items
Dimension Reduction 2 items
Disaggregated consumer prices 2 items
Economic measurement 2 items
Financial Market Sentiment 2 items
Labor market 2 items
Partial Least Squares 2 items
Time-varying parameters 2 items
Twitter 2 items
business analytics 2 items
credit boom 2 items
economic statistics 2 items
housing cycles 2 items
multiple testing 2 items
pandemics 2 items
state-space models 2 items
structural breaks 2 items
technological change 2 items
weak factors 2 items
Bank Credit 2 items
Bank and nonbank financial institutions 2 items
Company Level Matching 2 items
Consumer credit information 2 items
Core inflation 2 items
Financial shocks 2 items
Heterogeneity 2 items
Leverage 2 items
Loan Level Matching 2 items
Mortgage underwriting 2 items
Nowcasting 2 items
Probabilistic Matching 2 items
Real-time data 2 items
Syndicated Loans 2 items
Time-varying transition probabilities 2 items
AI 1 items
Administrative data 1 items
Boosting 1 items
Business cycle uncertainty 1 items
Business exit 1 items
China 1 items
Comparative 1 items
Consumer Credit Panel 1 items
Consumption, saving, production, employment, and investment 1 items
Credit history 1 items
Credit report 1 items
Cross-country data 1 items
Cross-sectional 1 items
Crude migration probability 1 items
DMR 1 items
Data mining 1 items
Debt 1 items
Dynamic Model Averaging 1 items
EM Algorithm 1 items
FAVAR 1 items
FinTech/marketplace lending 1 items
Financial crises 1 items
Firm dynamics 1 items
GDP (gross domestic product) 1 items
GDP growth 1 items
GDP growth rate 1 items
Gini index 1 items
Global financial crisis 1 items
Gross Domestic Output 1 items
Hierarchical shrinkage 1 items
Household Debt 1 items
Imports and exports 1 items
Index of migration connectivity 1 items
Internal migration 1 items
International trade 1 items
Job destruction 1 items
Kalman Smoother 1 items
Kalman filter 1 items
Labeling 1 items
Labor supply and demand 1 items
Longitudinal 1 items
Machine learning 1 items
Macroeconomic forecasting 1 items
Migration measurement 1 items
Migration progression ratio 1 items
Multi-country VARs 1 items
News 1 items
Non-stationary Approximate Dynamic Factor Model 1 items
Nontraditional data 1 items
Outlier events 1 items
Output Gap 1 items
Phillips correlations 1 items
Prediction 1 items
Pure inflation 1 items
Quantile Regressions 1 items
Quasi Maximum Likelihood 1 items
Recession Prediction 1 items
Regime switching models 1 items
Relative price inflation 1 items
Scale mixtures 1 items
Supervised Learning 1 items
Survey Data 1 items
Text Analysis 1 items
Trend-Cycle Decomposition 1 items
alternative growth indicator 1 items
batteries 1 items
consumption spending 1 items
credit shocks 1 items
default prediction 1 items
dynamic factor models 1 items
electric vehicles 1 items
financial variables 1 items
forecast errors 1 items
growth 1 items
high dimensional data 1 items
high-frequency data 1 items
identification 1 items
inflation 1 items
macroeconomic data 1 items
macroeconomics 1 items
macroeconomy 1 items
model selection 1 items
monitoring economic conditions 1 items
pandemic 1 items
real-time data flow 1 items
regime switching 1 items
shrinkage 1 items
slowdown 1 items
structural factor analysis 1 items
supervised machine learning 1 items
tail risks 1 items
threshold estimation 1 items
show more (165)
show less