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Forecast Disagreement Among FOMC Members 预测FOMC成员之间的分歧
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2009-12-08 DOI: 10.2139/ssrn.1520622
Chanont Banternghansa, Michael W. McCracken
{"title":"Forecast Disagreement Among FOMC Members","authors":"Chanont Banternghansa, Michael W. McCracken","doi":"10.2139/ssrn.1520622","DOIUrl":"https://doi.org/10.2139/ssrn.1520622","url":null,"abstract":"This paper presents empirical evidence on the disagreement among Federal Open Market Committee (FOMC) forecasts. In contrast to earlier studies that analyze the range of FOMC forecasts available in the Monetary Policy Report to the Congress, we analyze the forecasts made by each individual member of the FOMC from 1992 to 1998. This newly available dataset, while rich in detail, is short in duration. Even so, we are able to identify a handful of patterns in the forecasts related to i) forecast horizon; ii) whether the individual is a Federal Reserve Bank president, governor, and/or Vice Chairman; and iii) whether individual is a voting member of the FOMC. Additional comparisons are made between forecasts made by the FOMC and the Survey of Professional Forecasters.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121354362","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: 56
Monetary Policy Analysis and Forecasting in the World Economy: A Panel Unobserved Components Approach 世界经济中的货币政策分析与预测:面板未观察成分方法
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2009-10-01 DOI: 10.5089/9781475504187.001
F. Vitek
{"title":"Monetary Policy Analysis and Forecasting in the World Economy: A Panel Unobserved Components Approach","authors":"F. Vitek","doi":"10.5089/9781475504187.001","DOIUrl":"https://doi.org/10.5089/9781475504187.001","url":null,"abstract":"This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model features a monetary transmission mechanism, a fiscal transmission mechanism, and extensive macrofinancial linkages, both within and across economies. A variety of monetary policy analysis, fiscal policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated, based on a Bayesian framework for conditioning on judgment.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130739828","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: 7
Asymmetric Preferences for Interest Rate Variability and Non-Linear Monetary Policy Inertia 利率变动的非对称偏好与非线性货币政策惯性
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2009-02-10 DOI: 10.1111/j.1467-9485.2009.00503.x
Anna Florio
{"title":"Asymmetric Preferences for Interest Rate Variability and Non-Linear Monetary Policy Inertia","authors":"Anna Florio","doi":"10.1111/j.1467-9485.2009.00503.x","DOIUrl":"https://doi.org/10.1111/j.1467-9485.2009.00503.x","url":null,"abstract":"Introducing in a central bank loss function asymmetric preferences for interest rate stabilization together with a (symmetric) smoothing goal could lead to asymmetric interest rate smoothing. An empirical analysis supports this theoretical result and finds for the disinflation (Volcker) period a more cautious adjustment of interest rates downwards than upwards, and for the ‘price stability’ (Greenspan) period a more inertial behaviour in the opposite direction.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132191046","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: 2
Quarterly Estimates for Italy's Government Accrual Data 意大利政府应计数据季度估计
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2009-02-09 DOI: 10.2139/ssrn.1339851
Raffaella Basile
{"title":"Quarterly Estimates for Italy's Government Accrual Data","authors":"Raffaella Basile","doi":"10.2139/ssrn.1339851","DOIUrl":"https://doi.org/10.2139/ssrn.1339851","url":null,"abstract":"In this paper we calculate quarterly estimates for ten yearly budgetary items of the Conto Economico Consolidato della Pubblica Amministrazione (CECAP) published by ISTAT, covering the period from 1980 to 2007. The unknown high frequency pattern of fiscal variables is derived by the pattern observed of quarterly related series available in the CON-ISTAT database. We apply a dynamic extension of the Chow-Lin (1971) temporal disaggregation model, which is the method actually used by ISTAT for the estimation of quarterly national economic account data. As dealing with flow variables, the time constraint underlying the model imposes that the sum of quarterly estimates is equal to the yearly observation. The estimation strategy is based on the state space representation of a first order Autoregressive Distributed Lag model (Adl), which transforms the distribution problem into an unknown observation one. The choice of data assures that our quarterly estimates are fully comparable with quarterly government accrual data of major industrialized countries based on ESA95 and SNA93, both for institutional coverage, accountancy rules and definition of budgetary items.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124618925","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
Asymmetric Expectation Effects of Regime Shifts and the Great Moderation 制度变迁与大稳健的非对称预期效应
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2007-10-01 DOI: 10.2139/ssrn.2482367
Zheng Liu, Daniel F. Waggoner, T. Zha
{"title":"Asymmetric Expectation Effects of Regime Shifts and the Great Moderation","authors":"Zheng Liu, Daniel F. Waggoner, T. Zha","doi":"10.2139/ssrn.2482367","DOIUrl":"https://doi.org/10.2139/ssrn.2482367","url":null,"abstract":"The possibility of regime shifts in monetary policy can have important effects on rational agents' expectation formation and equilibrium dynamics. In a dynamic stochastic general equilibrium model where the monetary policy rule switches between a dovish regime that accommodates inflation and a hawkish regime that stabilizes inflation, the expectation effect is asymmetric across regimes. Such an asymmetric effect makes it difficult but still possible to generate substantial reductions in the volatilities of inflation and output as the monetary policy switches from the dovish regime to the hawkish one.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127045582","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: 7
Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies 在预估前瞻性模型中评估货币政策规则:美国和德国货币政策的比较
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2000-10-01 DOI: 10.2139/ssrn.1730592
E. Jondeau, Hervé le Bihan
{"title":"Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies","authors":"E. Jondeau, Hervé le Bihan","doi":"10.2139/ssrn.1730592","DOIUrl":"https://doi.org/10.2139/ssrn.1730592","url":null,"abstract":"In this paper, we estimate two small, forward-looking, macroeconomic models for the US and Germany and we compare the implied optimal monetary policy rules. Both models have a standard structure: an I-S curve, a Phillips curve, a short term interest-rate rule and a long term interest rate determined by the Expectations Hypothesis. They are intended to fit the data while allowing for some forward-looking behavior. They are estimated from 1968 to 1998, using the full-information maximum-likelihood procedure, so that forward-looking expectations are fully model-consistent. In order to evaluate monetary policy, we compute optimal policy frontiers and we perform some simulations of the model. German optimal monetary policy is found to require a more persistent and slightly stronger response to inflation and output than the US optimal policy.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"88 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114209324","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: 127
Model-Based Inflation Forecasts and Monetary Policy Rules 基于模型的通货膨胀预测与货币政策规则
ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2000-03-01 DOI: 10.2139/ssrn.1705126
Raf Wouters, M. Dombrecht
{"title":"Model-Based Inflation Forecasts and Monetary Policy Rules","authors":"Raf Wouters, M. Dombrecht","doi":"10.2139/ssrn.1705126","DOIUrl":"https://doi.org/10.2139/ssrn.1705126","url":null,"abstract":"In this paper, the interaction between inflation and monetary policy rules is analysed within the framework of a dynamic general equilibrium model derived from optimising behaviour and rational expectations. Using model simulations, it is illustrated that the control of monetary policy over the inflation process is strongly dependent on the role of forward looking expectations in the price and wage setting process and on the credibility of monetary policy in the expectation formation process of the private sector. Furthermore, the central bank should take into account a wide variety of indicators in making monetary policy decisions in order to approach the optimal monetary policy rule as closely as possible.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2000-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126037119","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: 125
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