98 posts on "Forecasting"
April 9, 2018
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.
Posted at 7:00 am in Forecasting | Permalink
March 9, 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.
November 28, 2017
The New York Fed DSGE Model Forecast–November 2017
This post presents our quarterly 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 August 2017.
September 22, 2017
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.
September 8, 2017
The New York Fed DSGE Model Forecast—August 2017
This post presents our quarterly 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 May 2017.
June 16, 2017
Hey, Economist! How Do You Forecast the Present?
New York Fed macroeconomists have been sharing their “nowcast” of GDP growth on the Bank’s public website since April 2016. Now, they’ve launched an interactive version of the Nowcasting Report, which updates the point forecast each week, but also helps users better visualize the impact of the flow of incoming data on the estimate produced by the model. Tables offer more detail on the data series informing the estimate. The interactive version also reports the staff nowcast back to January 2016, a longer nowcast history than has previously been available. Cross-media editor Anna Snider spoke to Domenico Giannone, Argia Sbordone, and Andrea Tambalotti—economists who developed the model underlying the report and produce estimates weekly with the help of research analysts Brandyn Bok and Daniele Caratelli—about nowcasting and its role in the policymaking process.
May 22, 2017
Measuring Trend Inflation with the Underlying Inflation Gauge
Consumers, financial market participants, and policymakers are particularly interested in the trend, or persistent, component of inflation.
May 8, 2017
Forecasting with Julia
A little more than a year ago, in this post, we announced DSGE.jl—a package for working with dynamic stochastic general equilibrium (DSGE) models using Julia, the open-source computing language. At that time, DSGE.jl contained only the code required to specify, solve, and estimate such models using Bayesian methods. Now, we have extended the package to provide the additional code needed to produce economic forecasts, counterfactual simulations, and inference on unobservable variables, such as the natural rate of interest or the output gap. The old, pre-Julia version of the code, which was written in MATLAB and is posted here on Github, a public repository hosting service, also performed some of these functions, but not quite as fast.
April 21, 2017
Just Released: The New York Fed Staff Forecast—April 2017
Today, the Federal Reserve Bank of New York (FRBNY) is hosting the spring meeting of its Economic Advisory Panel (EAP). As has become the custom at this meeting, the FRBNY staff is presenting its forecast for U.S. growth, inflation, and the unemployment rate.
Posted at 10:30 am in Forecasting | Permalink
March 24, 2017
From the Vault: Factor This In
New York Fed economists Tobias Adrian, Richard Crump, and Emanuel Moench developed a new approach for calculating the Treasury term premium. Their ACM term premia estimates have since become “increasingly canonical” in economic analysis.
Posted at 7:00 am in Forecasting | Permalink
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