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ERN: Monetary Forecasting (Topic)最新文献

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Forecasting FOMC Forecasts 预测联邦公开市场委员会预测
ERN: Monetary Forecasting (Topic) Pub Date : 2018-11-13 DOI: 10.2139/ssrn.3303817
Jaime R. Marquez, S. Kalfa
{"title":"Forecasting FOMC Forecasts","authors":"Jaime R. Marquez, S. Kalfa","doi":"10.2139/ssrn.3303817","DOIUrl":"https://doi.org/10.2139/ssrn.3303817","url":null,"abstract":"(Hendry 1980, p. 403) The three golden rules of econometrics are “test, test, and test”. The current paper applies that approach to model the forecasts of the Federal Open Market Committee over 1992–2019 and to forecast those forecasts themselves. Monetary policy is forward-looking, and as part of the FOMC’s effort toward transparency, the FOMC publishes its (forward-looking) economic projections. The overall views on the economy of the FOMC participants–as characterized by the median of their projections for inflation, unemployment, and the Fed’s policy rate–are themselves predictable by information publicly available at the time of the FOMC’s meeting. Their projections also communicate systematic behavior on the part of the FOMC’s participants.","PeriodicalId":236285,"journal":{"name":"ERN: Monetary Forecasting (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129205361","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
Does Uncertainty Affect Participation in the European Central Bank's Survey of Professional Forecasters? 不确定性会影响欧洲央行专业预测者调查的参与度吗?
ERN: Monetary Forecasting (Topic) Pub Date : 2015-06-01 DOI: 10.2139/ssrn.2621614
Víctor López-Pérez
{"title":"Does Uncertainty Affect Participation in the European Central Bank's Survey of Professional Forecasters?","authors":"Víctor López-Pérez","doi":"10.2139/ssrn.2621614","DOIUrl":"https://doi.org/10.2139/ssrn.2621614","url":null,"abstract":"This paper explores how changes in macroeconomic uncertainty have affected the decision to participate in the European Central Bank’s Survey of Professional Forecasters. Two different approaches are employed in order to address this question. First, a time-series analysis explores if changes in measures of uncertainty over time have led to changes in aggregate response rates. And second, a discrete-choice model for panel data is estimated to test if changes in uncertainty measures have had effects on the likelihood to participate by SPF forecasters. The main result of the paper is that higher (lower) uncertainty reduces (increases) participation in the survey. This effect is statistically and economically significant. As participation and uncertainty are found to be negatively correlated, measures of uncertainty from the ECB’s SPF could be biased downwards.","PeriodicalId":236285,"journal":{"name":"ERN: Monetary Forecasting (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128638914","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: 8
Extracting Forward Rate Term Structure Information in Foreign Exchange 外汇远期利率期限结构信息的提取
ERN: Monetary Forecasting (Topic) Pub Date : 2015-04-01 DOI: 10.2139/ssrn.2588560
Fearghal Kearney, M. Cummins, Finbarr Murphy
{"title":"Extracting Forward Rate Term Structure Information in Foreign Exchange","authors":"Fearghal Kearney, M. Cummins, Finbarr Murphy","doi":"10.2139/ssrn.2588560","DOIUrl":"https://doi.org/10.2139/ssrn.2588560","url":null,"abstract":"The difficulty of beating the random walk in forecasting spot foreign exchange rates is well documented, with the restricted VECM of Clarida and Taylor (1997) providing the primary challenge. We seek to extract the informational content of the forward rate term structure through the implementation of a functional principal component-based scalar response model. Our out-of-sample framework leads to near systematic outperformance in terms of a direct comparison of performance measures, versus both the VECM and random walk. The results indicate that the forward rate term structure contains statistically significant information about the evolution of the spot exchange rate.","PeriodicalId":236285,"journal":{"name":"ERN: Monetary Forecasting (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130798258","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
A Measure of Price Pressures 价格压力的衡量标准
ERN: Monetary Forecasting (Topic) Pub Date : 2015-03-22 DOI: 10.20955/R.2015.25-52
Laura Jackson Young, Kevin L. Kliesen, Michael T. Owyang
{"title":"A Measure of Price Pressures","authors":"Laura Jackson Young, Kevin L. Kliesen, Michael T. Owyang","doi":"10.20955/R.2015.25-52","DOIUrl":"https://doi.org/10.20955/R.2015.25-52","url":null,"abstract":"The Federal Reserve devotes significant resources to forecasting key economic variables such as real gross domestic product growth, employment, and inflation. The outlook for these variables also matters a great deal to businesses and financial market participants. The authors present a factor-augmented Bayesian vector autoregressive forecasting model that significantly outperforms both a benchmark random walk model and a pure time-series model. They then use these factors in an ordered probit model to develop the probability distribution over a 12-month horizon. One distribution assesses the probability that inflation will exceed 2.5 percent over the next year; they term this probability a price pressure measure. This price pressure measure would provide policymakers and markets with a quantitative assessment of the probability that average inflation over the next 12 months will be higher than the Fed’s long-term inflation target of 2 percent.","PeriodicalId":236285,"journal":{"name":"ERN: Monetary Forecasting (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133346184","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
Trend and Cycle in the Yield Curve: A Procedure for Forecasting Recessions 收益率曲线的趋势和周期:预测衰退的程序
ERN: Monetary Forecasting (Topic) Pub Date : 2015-02-18 DOI: 10.2139/ssrn.2711124
Jacob Smith
{"title":"Trend and Cycle in the Yield Curve: A Procedure for Forecasting Recessions","authors":"Jacob Smith","doi":"10.2139/ssrn.2711124","DOIUrl":"https://doi.org/10.2139/ssrn.2711124","url":null,"abstract":"This paper presents a new procedure for forecasting recessions utilizing short-term (slope) dynamics present in the yield curve. Building on a large body of literature chronicling the relationship between the shape of the yield curve and the business cycle, this paper employs Dynamic Nelson-Siegel modeling to define the level, slope, and curvature characteristics of the term structure through time. Given these dynamics, the trend and cycle are extracted using various decomposition techniques. It is shown that cycles present within the slope factor are very robust predictors of recessions, correctly identifying recessions as much as eighteen months in advance. A “Predictive Power Score” is developed to quantify the procedure’s performance. This score shows the superiority of the procedure over other common leading indicators including the yield spread.","PeriodicalId":236285,"journal":{"name":"ERN: Monetary Forecasting (Topic)","volume":"95 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130836130","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
Revisiting the Out-of-Sample Exchange Rate Predictability in the Monetary Model 再论货币模型中的样本外汇率可预测性
ERN: Monetary Forecasting (Topic) Pub Date : 2011-11-01 DOI: 10.2139/ssrn.1985756
Hsiu-Hsin Ko
{"title":"Revisiting the Out-of-Sample Exchange Rate Predictability in the Monetary Model","authors":"Hsiu-Hsin Ko","doi":"10.2139/ssrn.1985756","DOIUrl":"https://doi.org/10.2139/ssrn.1985756","url":null,"abstract":"We utilize Monte Carlo simulations to evaluate, in finite samples, the forecasting performance of the monetary model. The data generating process (DGP) is based on the assumptions of Engel and West (2005) about the present-value model for exchange rates, namely that the discount factor is close to unity and the fundamentals have unit-root processes. We evaluate the out-of-sample performance of the monetary model against the random walk model by using the long-run regression test. While the forecasting power of the long-run regression is not strong, the experimental evidence illustrates that the probability of out-of-sample exchange rate predictability at long horizons is generally larger than that at the short horizons. We conclude that the present-value model under Engel and West’s (2005) explanation has a heretofore unrecognized implication of out-of-sample exchange rate predictability at long run horizons.","PeriodicalId":236285,"journal":{"name":"ERN: Monetary Forecasting (Topic)","volume":"151 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116092063","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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