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Showing results 1 to 10 of approximately 10.
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Journal Article
Are longer-term inflation expectations stable?
Bundick and Hakkio use survey data to evaluate the stability of forecasters' long-term inflation expectations.
Working Paper
Usual Shocks in our Usual Models
We propose an event-study research design to identify the nature and propagation of large unusual shocks in DSGE models and apply it to study the macroeconomic effects of the Covid shock. The initial outbreak is represented as the onset of a new shock process where the shock loads on wedges associated with the model's usual shocks. Realizations of the Covid shock come with news about its propagation, allowing us to disentangle the role of beliefs about the future of the pandemic. The model attributes a crucial role to the novel Covid shock in explaining the large contraction in output in the ...
Working Paper
Do GDP Forecasts Respond Efficiently to Changes in Interest Rates?
In this paper, we examine and extend the results of Ball and Croushore (2003) and Rudebusch and Williams (2009), who show that the output forecasts in the Survey of Professional Forecasters (SPF) are inefficient. Ball and Croushore show that the SPF out-put forecasts are inefficient with respect to changes in monetary policy, as measured by changes in real interest rates, while Rudebusch and Williams show that the forecasts are inefficient with respect to the yield spread. In this paper, we investigate the robustness of both claims of inefficiency, using real-time data and exploring the ...
Working Paper
Measuring Inflation Anchoring and Uncertainty : A US and Euro Area Comparison
We use several US and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation featuring time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the US and the euro area. Equipped with this model, we propose a novel measure of the anchoring of inflation expectations that accounts for inflation uncertainty. Our results suggest that following the Great Recession, inflation anchoring improved in the US, while mild de-anchoring occurred in the euro-area. As of our sample end, both areas appear to be ...
Journal Article
Are we in a recession? The 'anxious index nowcast' knows!
When the economy is in the midst of a recession, even a severe one, it can be quite difficult at first to tell. For example, as the Great Recession took hold in late 2007 and early 2008, uncertainty lingered as to whether the economy had merely slowed or was already contracting. Unfortunately for policymakers, investors, and consumers ? all of whom might have been able to use such information to make better decisions regarding consumption, investment, and saving ? the recession was not officially called until December 2008. Similarly, the four prior recessions were anywhere from five to nine ...
Journal Article
Forecast disagreement in the Survey of Professional Forecasters
To enact effective policies and spend resources efficiently, firms, policymakers, and markets need accurate economic forecasts. But even though economists generally work with similar models and data, their projections often range widely. To better understand why, Keith Sill explores what the evidence and theories say about how forecasters form their views.
Report
The effectiveness of nonstandard monetary policy measures: evidence from survey data
We assess the perception of professional forecasters regarding the effectiveness of unconventional monetary policy measures announced by the U.S. Federal Reserve after the collapse of Lehman Brothers. Using survey data collected at the individual level, we analyze the change in forecasts of Treasury and corporate bond yields around the announcement dates of nonstandard monetary policy measures. We find that professional forecasters expect bond yields to drop significantly for at least one year after the announcement of accommodative policies.
Report
The relationship between expected inflation, disagreement, and uncertainty: evidence from matched point and density forecasts
This paper examines matched point and density forecasts of inflation from the Survey of Professional Forecasters to analyze the relationship between expected inflation, disagreement, and uncertainty. We extend previous studies through our data construction and estimation methodology. Specifically, we derive measures of disagreement and uncertainty by using a decomposition proposed in earlier research by Wallis and by applying the concept of entropy from information theory. We also undertake the empirical analysis within a seemingly unrelated regression framework. Our results offer mixed ...
Working Paper
Mis-specified Forecasts and Myopia in an Estimated New Keynesian Model
The paper considers a New Keynesian framework in which agents form expectations based on a combination of mis-specified forecasts and myopia. The proposed expectations formation process is found to be consistent with all three empirical facts on consensus inflation forecasts, namely, that forecasters under-react to ex-ante forecast revisions, that forecasters over-react to recent events, and that the response of forecast errors to a shock initially under-shoots but then over-shoots. The paper then derives the general equilibrium solution consistent with the proposed expectations formation ...
Working Paper
Mis-specified Forecasts and Myopia in an Estimated New Keynesian Model
The paper considers a New Keynesian framework in which agents form expectations based on a combination of autoregressive mis-specified forecasts and myopia. The proposed expectations formation process is shown to be consistent with all three empirical facts on consensus inflation forecasts. However, while mis-specified forecasts can be both sufficient and necessary to match all three facts, myopia alone is neither. The paper then derives the general equilibrium solution consistent with the proposed expectations formation process and estimates the model with likelihood-based Bayesian methods, ...