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74 posts on "Forecasting"

October 04, 2018

Changing Risk-Return Profiles



LSE_Changing Risk-Return Profiles

Are stock returns predictable? This question is a perennially popular subject of debate. In this post, we highlight some results from our recent working paper, where we investigate the matter. Rather than focusing on a single object like the forecasted mean or median, we look at the entire distribution of stock returns and find that the realized volatility of stock returns, especially financial sector stock returns, has strong predictive content for the future distribution of stock returns. This is a robust feature of the data since all of our results are obtained with real-time analyses using stock return data since the 1920s. Motivated by this result, we then evaluate whether the banking system appears healthier today, and if recent regulatory reforms have helped.

Continue reading "Changing Risk-Return Profiles" »

August 10, 2018

Opening the Toolbox: The Nowcasting Code on GitHub



LSE_2018_Opening the Toolbox: The Nowcasting Code on GitHub

In April 2016, we unveiled—and began publishing weekly—the New York Fed Staff Nowcast, an estimate of GDP growth using an automated platform for tracking economic conditions in real time. Today we go a step further by publishing the MATLAB code for the nowcasting model, available here on GitHub, a public repository hosting service. We hope that sharing our code will make it easier for people interested in monitoring the macroeconomy to understand the details underlying the nowcast and to replicate our results.

Continue reading "Opening the Toolbox: The Nowcasting Code on GitHub" »

Posted by Blog Author at 11:15 AM in Forecasting, Macroecon | Permalink | Comments (0)

July 13, 2018

The New York Fed DSGE Model Forecast–July 2018



This post presents an update of the economic forecasts generated by the Federal Reserve Bank of New York’s dynamic stochastic general equilibrium (DSGE) model. We describe very briefly our forecast and its change since March 2018. As usual, we wish to remind our readers that the DSGE model forecast is not an official New York Fed forecast, but only an input to the Research staff’s overall forecasting process. For more information about the model and variables discussed here, see our DSGE model Q & A.

Continue reading "The New York Fed DSGE Model Forecast–July 2018" »

Posted by Blog Author at 7:00 AM in DSGE, Forecasting, Macroecon | Permalink | Comments (0)

May 21, 2018

Economic Predictions with Big Data: The Illusion of Sparsity



LSE_Economic Predictions with Big Data: The Illusion of Sparsity

The availability of large data sets, combined with advances in the fields of statistics, machine learning, and econometrics, have generated interest in forecasting models that include many possible predictive variables. Are economic data sufficiently informative to warrant selecting a handful of the most useful predictors from this larger pool of variables? This post documents that they usually are not, based on applications in macroeconomics, microeconomics, and finance.

Continue reading "Economic Predictions with Big Data: The Illusion of Sparsity" »

Posted by Blog Author at 7:00 AM in Forecasting | Permalink | Comments (0)

May 09, 2018

Forecasts of the Lost Recovery



The years following the Great Recession were challenging for forecasters for a variety of reasons, including an unprecedented policy environment. This post, based on our recently released working paper, documents the real-time forecasting performance of the New York Fed dynamic stochastic general equilibrium (DSGE) model in the wake of the Great Recession. We show that the model’s predictive accuracy was on par with that of private forecasters and proved to be quite a bit better, at least in terms of GDP growth, than that of the median forecasts from the Federal Open Market Committee’s (FOMC) Summary of Economic Projections (SEP).

Continue reading "Forecasts of the Lost Recovery" »

Posted by Blog Author at 7:00 AM in DSGE, Forecasting | Permalink | Comments (0)

April 20, 2018

Just Released: The New York Fed Staff Forecast—April 2018



Today, the Federal Reserve Bank of New York is hosting the spring meeting of its Economic Advisory Panel (EAP). As has become the custom at this meeting, the New York Fed’s Research staff is presenting its forecast for U.S. growth, inflation, and the unemployment rate. Following the presentation, members of the EAP, which consists of leading economists in academia and the private sector, are asked to critique the staff forecast. Such feedback helps the staff evaluate the assumptions and reasoning underlying its forecast as well as the forecast’s key risks. The feedback is also an important part of the forecasting process because it informs the staff’s discussions with New York Fed President William Dudley about economic conditions. In that same spirit, we are sharing a short summary of the staff forecast in this post; for more detail, see the New York Fed Staff Outlook Presentation from the EAP meeting on our website.

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Posted by Blog Author at 10:30 AM in Forecasting, Macroecon | Permalink | Comments (1)

April 09, 2018

Vulnerable Growth



LSE_Vulnerable Growth


Traditional GDP forecasts potentially present an overly optimistic (or pessimistic) view of the state of the economy: by focusing on the point estimate for the conditional mean of growth, such forecasts ignore risks around the central forecast. Yet, policymakers around the world increasingly focus on risks to the central forecast in policy debates. For example, in the United States the Federal Open Market Committee (FOMC) commonly discusses the balance of risks in the economy, with the relative prominence of this discussion fluctuating with the state of the economy. In a recent paper, we propose a method for constructing the full conditional distribution of GDP projected growth as a function of current economic and financial conditions. This blog post reviews some of the findings from that paper and the implications for macroeconomic theory and for policymakers.

Continue reading "Vulnerable Growth" »

Posted by Blog Author at 7:00 AM in Forecasting | Permalink | Comments (0)

March 09, 2018

The New York Fed DSGE Model Forecast–March 2018



This post presents a quarterly update of the economic forecast generated by the Federal Reserve Bank of New York’s dynamic stochastic general equilibrium (DSGE) model. We describe our forecast very briefly and highlight its change since November 2017.

Continue reading "The New York Fed DSGE Model Forecast–March 2018" »

Posted by Blog Author at 7:00 AM in DSGE, Forecasting | Permalink | Comments (0)

November 28, 2017

The New York Fed DSGE Model Forecast–November 2017



This post presents our quarterly update of the economic forecast generated by the Federal Reserve Bank of New York’s dynamic stochastic general equilibrium (DSGE) model. We describe very briefly our forecast and its change since August 2017.

Continue reading "The New York Fed DSGE Model Forecast–November 2017" »

Posted by Blog Author at 7:00 AM in DSGE, Forecasting, Monetary Policy | Permalink | Comments (0)

September 22, 2017

Just Released: A Monthly Underlying Inflation Gauge



LSE_Just Released: A Monthly Underlying Inflation Gauge

Today marks the launch of the monthly publication of the Underlying Inflation Gauge (UIG). We are reporting two UIG measures, described recently on Liberty Street Economics, that are constructed to provide an estimate of the trend, or persistent, component of inflation. One measure is derived using a large number of disaggregated price series in the consumer price index (CPI), while the second measure incorporates additional information from macroeconomic and financial variables.

Continue reading "Just Released: A Monthly Underlying Inflation Gauge" »

Posted by Blog Author at 7:00 AM in Fiscal Policy, FOMC, Forecasting, Inflation | Permalink | Comments (2)
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Liberty Street Economics features insight and analysis from New York Fed economists working at the intersection of research and policy. Launched in 2011, the blog takes its name from the Bank’s headquarters at 33 Liberty Street in Manhattan’s Financial District.

The editors are Michael Fleming, Andrew Haughwout, Thomas Klitgaard, and Asani Sarkar, all economists in the Bank’s Research Group.

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