We introduce a novel methodology for detecting inflation turning points that com-bines high-frequency, disaggregated … inflation dynamics. The methodology consists of three key components: measuring inflation as the slope of the log price index … rather than using conventional inflation rates, employing structural break techniques to detect shifts in this slope, and …

medium-scale New Keynesian DSGE model, we apply our approach to generate and evaluate recursive forecasts for PCE inflation …, core PCE inflation, the unemployment rate, and housing starts along with predictions for the seven variables that have been …

inflation process is well described by an unobserved component trend-cycle model with stochastic volatility or, equivalently, an …Forecasts of the rate of price inflation play a central role in the formulation of monetary policy, and forecasting … inflation is a key job for economists at the Federal Reserve Board. This paper examines whether this job has become harder and …

curves display similar patterns of instability and to examine lead-lag patterns in how individual inflation series change. We …

that background, we explore whether incorporating stochastic volatility improves DSGE forecasts (point, interval, and … density). We examine real-time forecast accuracy for key macroeconomic variables including output growth, inflation, and the … policy rate. We find that incorporating stochastic volatility in DSGE models of macroeconomic fundamentals markedly improves …

dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational … risk as well as expected return, we develop Bayesian methods to examine the interaction between the data and an investor … and a riskless asset. In general, however, the simple risk/return model of Merton (1980) explains very little of the yield …

At the zero lower bound, the central bank's inability to offset shocks endogenously generates volatility. In this …-contingent optimal monetary and fiscal policies can attenuate this endogenous volatility by stabilizing the distribution of future … outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and stochastic volatility …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who … volatility. Empirically, we present novel evidence that low-frequency movements in equity volatility, tied to the default spread …

multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our … predictable component and use high-frequency data, whenever available, to efficiently identify the volatility processes. Our …