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Reconciled Estimates of Monthly GDP in the US* 美国每月国内生产总值经核对的估计数字*
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2022-01-11 DOI: 10.26509/frbc-wp-202201
G. Koop, Stuart G McIntyre, James Mitchell, Aubrey Poon
{"title":"Reconciled Estimates of Monthly GDP in the US*","authors":"G. Koop, Stuart G McIntyre, James Mitchell, Aubrey Poon","doi":"10.26509/frbc-wp-202201","DOIUrl":"https://doi.org/10.26509/frbc-wp-202201","url":null,"abstract":"In the US, income and expenditure side estimates of GDP (GDPI and GDPE) measure “true” GDP with error and are available at the quarterly frequency. Methods exist for producing reconciled quarterly estimates of GDP based on GDPI and GDPE. In this paper, we extend these methods to provide reconciled historical GDP estimates at the monthly frequency from 1960. We do this using a Bayesian Mixed Frequency Vector Autoregression involving GDPE, GDPI, unobserved true GDP and monthly indicators of short-term economic activity. We illustrate how the new monthly data contribute to our historical understanding of business cycles.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133384273","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: 5
Corrigendum to: Assessing International Commonality in Macroeconomic Uncertainty and Its Effects 《评估宏观经济不确定性及其影响中的国际共性》的勘误
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2022-01-04 DOI: 10.26509/frbc-wp-201803c
Andrea Carriero, Todd E. Clark, Massimiliano Marcellino
{"title":"Corrigendum to: Assessing International Commonality in Macroeconomic Uncertainty and Its Effects","authors":"Andrea Carriero, Todd E. Clark, Massimiliano Marcellino","doi":"10.26509/frbc-wp-201803c","DOIUrl":"https://doi.org/10.26509/frbc-wp-201803c","url":null,"abstract":"Carriero, Clark, and Marcellino (2020, CCM2020) used large BVAR models with a factor structure to stochastic volatility to produce estimates of timevarying international macroeconomic uncertainty and assess uncertainty’s e↵ects on the global economy. The results in CCM2020 were based on an estimation algorithm that has recently been shown to be incorrect by Bognanni (2021) and fixed by Carriero, et al. (2021). In this note we use the algorithm correction of Carriero, et al. (2021) to correct the estimates of CCM2020. Although the correction has some impact on the original results, the changes are small and the key findings of CCM2020 are upheld.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133542538","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
Effects of Wildfire Destruction on Migration, Consumer Credit, and Financial Distress 野火破坏对移民、消费者信贷和金融困境的影响
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2021-12-27 DOI: 10.26509/frbc-wp-202129
Kathryn McConnell, S. Whitaker, E. Fussell, Jack DeWaard, Katherine J Curtis, Kobie Price, Lise A. St. Denis, J. Balch
{"title":"Effects of Wildfire Destruction on Migration, Consumer Credit, and Financial Distress","authors":"Kathryn McConnell, S. Whitaker, E. Fussell, Jack DeWaard, Katherine J Curtis, Kobie Price, Lise A. St. Denis, J. Balch","doi":"10.26509/frbc-wp-202129","DOIUrl":"https://doi.org/10.26509/frbc-wp-202129","url":null,"abstract":"","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126876473","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: 3
Communicating Data Uncertainty: Multi-Wave Experimental Evidence for UK GDP 交流数据不确定性:英国GDP的多波实验证据
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2021-12-23 DOI: 10.26509/frbc-wp-202128
A. Galvão, James Mitchell
{"title":"Communicating Data Uncertainty: Multi-Wave Experimental Evidence for UK GDP","authors":"A. Galvão, James Mitchell","doi":"10.26509/frbc-wp-202128","DOIUrl":"https://doi.org/10.26509/frbc-wp-202128","url":null,"abstract":"Economic statistics are commonly published without estimates of their uncertainty. We conduct two waves of a randomized controlled online experiment to assess if and how the UK public understands data uncertainty. A control group observes only the point estimate of GDP. Treatment groups are presented with alternative qualitative and quantitative communications of GDP data uncertainty. We find that most of the public understands that GDP numbers are uncertain. Quantitative communications of data uncertainty help align the public’s subjective probabilistic expectations of data uncertainty with objective estimates, but do not decrease trust in the statistical office.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126562326","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: 1
Low Interest Rates and the Predictive Content of the Yield Curve 低利率与收益率曲线的预测内容
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2021-12-21 DOI: 10.26509/frbc-wp-202024r
Michael D. Bordo, Joseph G. Haubrich
{"title":"Low Interest Rates and the Predictive Content of the Yield Curve","authors":"Michael D. Bordo, Joseph G. Haubrich","doi":"10.26509/frbc-wp-202024r","DOIUrl":"https://doi.org/10.26509/frbc-wp-202024r","url":null,"abstract":"Does the yield curve’s ability to predict future output and recessions differ when interest rates and inflation are low, as in the current global environment? We explore the issue using historical data going back to the 19th century for the US. This paper is similar in spirit to Ramey and Zubairy (2018) who look, at the government spending multiplier in times of low interest rates. If anything, the yield curve tends to predict output growth better in low interest rate environments, though this result is stronger for RGDP than for IP.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128351850","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
Corrigendum to: Large Bayesian Vector Autoregressions with Stochastic Volatility and Non-Conjugate Priors 具有随机波动和非共轭先验的大贝叶斯向量自回归的勘误表
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2021-12-03 DOI: 10.26509/frbc-wp-201617corrigendum
Andrea Carriero, J. Chan, Todd E. Clark, Massimiliano Marcellino
{"title":"Corrigendum to: Large Bayesian Vector Autoregressions with Stochastic Volatility and Non-Conjugate Priors","authors":"Andrea Carriero, J. Chan, Todd E. Clark, Massimiliano Marcellino","doi":"10.26509/frbc-wp-201617corrigendum","DOIUrl":"https://doi.org/10.26509/frbc-wp-201617corrigendum","url":null,"abstract":"The original algorithm contained a mistake that meant the conditional distributions used for the VAR’s coe cients were missing a piece of information. We propose a new algorithm that uses the same factorization but includes the missing term. The new, correct algorithm has the same computational complexity as the old, incorrect one (i.e., O(N 4 )), and therefore it still allows the estimation of large VARs. J.E.L. classifications: C11, C13, C33, C53","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130847565","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: 29
Wealth Effects, Price Markups, and the Neo-Fisherian Hypothesis 财富效应、价格加价和新费舍尔假说
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2021-11-17 DOI: 10.26509/frbc-wp-202127
Marco Airaudo, Ina Hajdini
{"title":"Wealth Effects, Price Markups, and the Neo-Fisherian Hypothesis","authors":"Marco Airaudo, Ina Hajdini","doi":"10.26509/frbc-wp-202127","DOIUrl":"https://doi.org/10.26509/frbc-wp-202127","url":null,"abstract":"By introducing Jaimovich-Rebelo (JR) consumption-labor nonseparable preferences into an otherwise standard New Keynesian model, we show that the occurrence of positive comovement between inflation and the nominal interest rate conditional on a nominal shock - the so-called neo-Fisherian hypothesis - depends on the extent of wealth effects in households’ labor supply decisions. Neo-Fisherianism appears more prominent in economic environments with i) weaker wealth effects on labor supply (in particular for Greenwood-Hercowitz-Huffmann preferences where wealth effects are absent), and ii) smaller price-to-wage markups (for which the steady state is less distorted). The stabilizing properties of Taylor rules under JR preferences are scrutinized","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128261558","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
Liquidity, Capital Pledgeability and Inflation Redistribution 流动性、资本质押性和通货膨胀再分配
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2021-11-10 DOI: 10.26509/frbc-wp-202126
Paola Boel, Julián P. Díaz, Daria Finocchiaro
{"title":"Liquidity, Capital Pledgeability and Inflation Redistribution","authors":"Paola Boel, Julián P. Díaz, Daria Finocchiaro","doi":"10.26509/frbc-wp-202126","DOIUrl":"https://doi.org/10.26509/frbc-wp-202126","url":null,"abstract":"We study the redistributive effects of expected inflation in a microfounded monetary model with heterogeneous discount factors and collateral constraints. In equilibrium, this heterogeneity leads to borrowing and lending. Model assumptions also guarantee a tractable distribution of money and capital holdings. Several results emerge from our analysis. First, in this framework expected inflation is detrimental to capital accumulation. Second, expected inflation affects borrowing and lending when collateral constraints are present, thus also inducing redistributive effects through credit. Third, we find this channel to be regressive when we calibrate our model using US data. This is because the drop in borrowers’ capital caused by inflation is larger when capital is used as collateral.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123990525","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 Macroeconomic Effects of Universal Basic Income Programs 全民基本收入计划的宏观经济效应
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2021-09-28 DOI: 10.26509/frbc-wp-202121
A. V. Luduvice
{"title":"The Macroeconomic Effects of Universal Basic Income Programs","authors":"A. V. Luduvice","doi":"10.26509/frbc-wp-202121","DOIUrl":"https://doi.org/10.26509/frbc-wp-202121","url":null,"abstract":"What are the consequences of a nationwide reform of a transfer system based on means-testing towards one of unconditional transfers? I answer this question with a quantitative model to assess the general equilibrium, inequality, and welfare effects of substituting the current U.S. income security system with a Universal Basic Income (UBI) policy. To do so, I develop an overlapping generations model with idiosyncratic income risk that incorporates intensive and extensive margins of labor supply, on-the-job learning, and child-bearing costs. The tax-transfer system closely mimics the U.S. design. I calibrate the model to the U.S. economy and conduct counterfactual analyses that implement reforms towards a UBI. I find that an expenditure-neutral reform has moderate impacts on the labor supply response of agents but induces aggregate capital and output to grow due to larger precautionary savings. A UBI of $ 1,000 monthly requires a substantial increase in the tax rate of consumption used to clear the government budget and leads to an overall decrease of the macroeconomic aggregates, stemming from a sharp drop in labor. In both cases, the economy has more disposable income but less consumption at the bottom of their distributions. The UBI economy constitutes a welfare loss at the transition if expenditure-neutral and results in a gain in the second scenario. Despite relative losses, a majority of newborn households supports both UBI reforms.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128946796","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: 16
The Welfare Costs of Business Cycles Unveiled: Measuring the Extent of Stabilization Policies 经济周期的福利成本揭示:衡量稳定政策的程度
Working paper (Federal Reserve Bank of Cleveland) Pub Date : 2021-07-30 DOI: 10.26509/frbc-wp-202114
Fernando Barros, F. Gomes, A. V. Luduvice
{"title":"The Welfare Costs of Business Cycles Unveiled: Measuring the Extent of Stabilization Policies","authors":"Fernando Barros, F. Gomes, A. V. Luduvice","doi":"10.26509/frbc-wp-202114","DOIUrl":"https://doi.org/10.26509/frbc-wp-202114","url":null,"abstract":"How can we measure the welfare benefit of ongoing stabilization policies? We develop a methodology to calculate the welfare cost of business cycles taking into account that observed consumption is partially smoothed. We propose a decomposition that disentangles consumption in a mix of laissez-faire (absent policies) and riskless components. With a novel identification strategy, we estimate the span of stabilization power. In our preferred specification, we find that the welfare cost of total fluctuations is 11 percent of lifetime consumption, of which 82 percent is smoothed by the status quo policies, yielding a residual 1.8 percent of consumption to be tackled by policymakers.","PeriodicalId":141449,"journal":{"name":"Working paper (Federal Reserve Bank of Cleveland)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127954941","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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