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Forecasting Core Inflation and Its Goods, Housing, and Supercore Components 预测核心通胀及其商品、住房和超级核心组成部分
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2023-12-20 DOI: 10.26509/frbc-wp-202334
Todd E. Clark, Matthew V. Gordon, Saeed Zaman
{"title":"Forecasting Core Inflation and Its Goods, Housing, and Supercore Components","authors":"Todd E. Clark, Matthew V. Gordon, Saeed Zaman","doi":"10.26509/frbc-wp-202334","DOIUrl":"https://doi.org/10.26509/frbc-wp-202334","url":null,"abstract":"This paper examines the forecasting efficacy and implications of the recently popular breakdown of core inflation into three components: goods excluding food and energy, services excluding energy and housing, and housing. A comprehensive historical evaluation of the accuracy of point and density forecasts from a range of models and approaches shows that a BVAR with stochastic volatility in aggregate core inflation, its three components, and wage growth is an effective tool for forecasting inflation's components as well as aggregate core inflation. Looking ahead, the model's baseline projection puts core inflation at 2.6 percent in 2026, well below its 2023 level but still elevated relative to the Federal Reserve's 2 percent objective. The probability that core inflation will return to 2 percent or less is much higher when conditioning on goods or non-housing services inflation slowing to pre-pandemic levels than when conditioning on these components remaining above the same thresholds. Scenario analysis indicates that slower wage growth will likely be associated with reduced inflation in all three components, especially goods and non-housing services, helping to return core inflation to near the 2 percent target by 2026.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"37 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139168708","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
How Important Is the Information Effect of Monetary Policy? 货币政策的信息效应有多重要？
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2023-12-18 DOI: 10.26509/frbc-wp-202332
Zhao Han, Chengcheng Jia
{"title":"How Important Is the Information Effect of Monetary Policy?","authors":"Zhao Han, Chengcheng Jia","doi":"10.26509/frbc-wp-202332","DOIUrl":"https://doi.org/10.26509/frbc-wp-202332","url":null,"abstract":"Is the \"information effect\" of monetary policy quantitatively important? We first use a simple model to show that under asymmetric information, monetary policy surprises are correlated with the unobserved state of the economy. This correlation implies that monetary policy surprises provide information about the state of the economy, and at the same time, explains why the estimation of the information effect may be biased. We then develop a New Keynesian DSGE model under asymmetric information and calibrate model parameters to match macroeconomic dynamics in the US and forecasting accuracy in the Greenbook. Under our calibration, both the central bank and the private sector initially have noisy information. Over time, the information effect of monetary policy mitigates information frictions by enhancing the two-way learning between the central bank and the private sector.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"7 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139173173","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The distributional predictive content of measures of inflation expectations 通货膨胀预期指标的分布预测内容
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2023-11-30 DOI: 10.26509/frbc-wp-202331
James Mitchell, Saeed Zaman
{"title":"The distributional predictive content of measures of inflation expectations","authors":"James Mitchell, Saeed Zaman","doi":"10.26509/frbc-wp-202331","DOIUrl":"https://doi.org/10.26509/frbc-wp-202331","url":null,"abstract":"This paper examines the predictive relationship between the distribution of realized inflation in the US and measures of inflation expectations from households, firms, financial markets, and professional forecasters. To allow for nonlinearities in the predictive relationship we use quantile regression methods. We find that the ability of households to predict future inflation, relative to that of professionals, firms, and the market, increases with inflation. While professional forecasters are more accurate in the middle of the inflation density, households’ expectations are more useful in the upper tail. The predictive ability of measures of inflation expectations is greatest when combined. We show that it is helpful to let the combination weights on different agents’ expectations of inflation vary by quantile when assessing inflationary pressures probabilistically.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"564 ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139204369","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Predictive Density Combination Using a Tree-Based Synthesis Function 使用基于树的合成函数进行预测性密度组合
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2023-11-21 DOI: 10.26509/frbc-wp-202330
Tony Chernis, Niko Hauzenberger, Florian Huber, Gary Koop, James Mitchell
{"title":"Predictive Density Combination Using a Tree-Based Synthesis Function","authors":"Tony Chernis, Niko Hauzenberger, Florian Huber, Gary Koop, James Mitchell","doi":"10.26509/frbc-wp-202330","DOIUrl":"https://doi.org/10.26509/frbc-wp-202330","url":null,"abstract":"Bayesian predictive synthesis (BPS) provides a method for combining multiple predictive distributions based on agent/expert opinion analysis theory and encompasses a range of existing density forecast pooling methods. The key ingredient in BPS is a “synthesis” function. This is typically specified parametrically as a dynamic linear regression. In this paper, we develop a nonparametric treatment of the synthesis function using regression trees. We show the advantages of our tree-based approach in two macroeconomic forecasting applications. The first uses density forecasts for GDP growth from the euro area’s Survey of Professional Forecasters. The second combines density forecasts of US inflation produced by many regression models involving different predictors. Both applications demonstrate the benefits – in terms of improved forecast accuracy and interpretability – of modeling the synthesis function nonparametrically.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"2023 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139250650","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Black Mayors and Crime 黑人市长与犯罪
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2023-11-14 DOI: 10.26509/frbc-wp-202327
Craig Sylvera
{"title":"Black Mayors and Crime","authors":"Craig Sylvera","doi":"10.26509/frbc-wp-202327","DOIUrl":"https://doi.org/10.26509/frbc-wp-202327","url":null,"abstract":"Local elections are often contested on the grounds of public safety, but do elected officials have any power to curb crime or poor police behavior? Black mayors have particular interest in the issue because Black communities are routinely victimized by high levels of crime and fragile police-community relations. Using data on elections of first-time Black mayors, I find that police forces add more Black officers, a finding that is especially true for mayors with executive authority. Officers arrest 48 fewer potential Black offenders per 10,000 Black residents for crimes where they have the ability to exercise discretion, a finding commensurate with the overall reduction in crime. This effect is not visible for similar white arrests. Using changes in the levels of arrests and officers induced by pivotal Black elections, I then estimate the correlation of an additional officer on race-specific arrests. An additional Black officer is related to large reductions in discretionary Black arrests, perhaps suggesting increasing the presence and visibility of Black officers may offer a solution to the “over-policing, under-policing” problem Black communities face.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"5 10","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139276924","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Federal Reserve Balance-Sheet Policy in an Ample Reserves Framework: An Inventory Approach 充足储备框架下的美联储资产负债表政策：盘存法
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2023-11-08 DOI: 10.26509/frbc-wp-202325
Joseph G. Haubrich
{"title":"Federal Reserve Balance-Sheet Policy in an Ample Reserves Framework: An Inventory Approach","authors":"Joseph G. Haubrich","doi":"10.26509/frbc-wp-202325","DOIUrl":"https://doi.org/10.26509/frbc-wp-202325","url":null,"abstract":"I apply techniques from stochastic inventory theory to calibrate the optimal balance-sheet buffer needed to implement monetary policy in an ample reserves regime. I quantify the size of the buffer to be about $60 billion. This is small relative to the reserves needed for an ample reserves regime, even though the FOMC appears to act as if the cost of too few reserves is over 20 times as high as the cost of too many.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"70 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139282781","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Federal Reserve Structure and the Production of Monetary Policy Ideas 联邦储备结构与货币政策理念的产生
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2023-11-01 DOI: 10.26509/frbc-wp-202329
Michael D. Bordo, E. Prescott
{"title":"Federal Reserve Structure and the Production of Monetary Policy Ideas","authors":"Michael D. Bordo, E. Prescott","doi":"10.26509/frbc-wp-202329","DOIUrl":"https://doi.org/10.26509/frbc-wp-202329","url":null,"abstract":"We evaluate the decentralized structure of the Federal Reserve System as a mechanism for generating and processing new ideas on monetary policy over the 1960 - 2000 period. We document the introduction of monetarism, rational expectations, credibility, transparency, and other monetary policy ideas by Reserve Banks into the Federal Reserve System. We argue that the Reserve Banks were willing to support and develop new ideas due to internal reforms to the FOMC that Chairman William McChesney Martin implemented in the 1950s and the increased ties with academia that developed in this period. Furthermore, the Reserve Banks were able to succeed at this because of their private-public governance structure. We illustrate this with a time-consistency model in which a decentralized organization is better at producing new ideas than a centralized one. We argue that this role of the Reserve Banks is an important benefit of the Federal Reserve’s decentralized structure by allowing for more competition in formulating ideas and by reducing groupthink.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"201 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139301115","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Wage adjustment in efficient long-term employment relationships 有效长期雇用关系中的工资调整
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2023-10-10 DOI: 10.26509/frbc-wp-202323
Michael W. L. Elsby, Axel Gottfries, Pawel M. Krolikowski, Gary Solon
{"title":"Wage adjustment in efficient long-term employment relationships","authors":"Michael W. L. Elsby, Axel Gottfries, Pawel M. Krolikowski, Gary Solon","doi":"10.26509/frbc-wp-202323","DOIUrl":"https://doi.org/10.26509/frbc-wp-202323","url":null,"abstract":"We present a model in which efficient long-term employment relationships are sustained by wage adjustments prompted by shocks to idiosyncratic productivity and the arrival of outside job offers. In accordance with casual and formal evidence, these wage adjustments occur only sporadically, due to the presence of renegotiation costs. The model is amenable to analytical solution and yields new insights into a number of labor market phenomena, including: (1) key features of the empirical distributions of changes in pay among job stayers; (2) a property of near-“memorylessness” in wage dynamics that implies that initial hiring wages have only limited influence on later wages and allocation decisions; and (3) a crucial role for nonbase pay—specifically, recruitment and retention bonuses—in sustaining efficient employment relationships.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"22 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139320874","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Expectations of Others 他人的期望
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2023-09-26 DOI: 10.26509/frbc-wp-202322
Ezequiel Garcia-Lembergman, Ina Hajdini, John Leer, Mathieu O. Pedemonte, Raphael S. Schoenle
{"title":"The Expectations of Others","authors":"Ezequiel Garcia-Lembergman, Ina Hajdini, John Leer, Mathieu O. Pedemonte, Raphael S. Schoenle","doi":"10.26509/frbc-wp-202322","DOIUrl":"https://doi.org/10.26509/frbc-wp-202322","url":null,"abstract":"Based on a framework of memory and recall that accounts for social networks, we provide conditions under which social networks can amplify expectations. We provide evidence for several predictions of the model using a novel dataset on inflation expectations and social network connections: Inflation expectations in the social network are statistically significantly, positively associated with individual inflation expectations; the relationship is stronger for groups that share common demographic characteristics, such as gender, income, or political affiliation. An instrumental variable approach further establishes causality of these results while also showing that salient information transmits strongly through the network. Our estimates imply that the influence of the social network overall amplifies but does not destabilize inflation expectations.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"35 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139336041","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Estimating duration dependence on re-employment wages when reservation wages are binding 估算保留工资具有约束力时再就业工资的期限依赖性
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2023-09-25 DOI: 10.26509/frbc-wp-202321
Victor Hernandez Martinez, Kaixin Liu, Richard Grice
{"title":"Estimating duration dependence on re-employment wages when reservation wages are binding","authors":"Victor Hernandez Martinez, Kaixin Liu, Richard Grice","doi":"10.26509/frbc-wp-202321","DOIUrl":"https://doi.org/10.26509/frbc-wp-202321","url":null,"abstract":"This paper documents a novel finding indicating that re-employment wages are elastic to the level of unemployment insurance (i.e., a binding reservation wage) and adapts the IV estimator for duration dependence in Schmieder et al. (2016) to account for this fact. Using administrative data from Spain, we find that unemployed workers lower their re-employment wages by 3 percent immediately after the exhaustion of unemployment insurance (UI) benefits. Workers’ characteristics and permanent unobserved heterogeneity cannot explain this. To estimate duration dependence, we extend the IV framework proposed by Schmieder et al. (2016), whose estimator of duration dependence is proportional to the response of wages to an extension of the potential duration of UI, to account for the response of reservation wages. We find that while extending the potential duration of UI has an insignificant effect on re-employment wages, duration dependence is strongly negative. We estimate that the degree of duration dependence in Spain is approximately 0.8 percent per month in daily wages. Workers’ inability to find full-time jobs as the duration of non-employment increases is an important mechanism behind this effect, since the duration dependence of hourly wages is 0.25 percent per month. Failing to account for the fact that reservation wages are binding would underestimate the magnitude of duration dependence by 15 to 20 percent.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"40 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139336698","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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