Emerging literature after the global financial crisis of 2007-08 have highlighted the important role of financial conditions as they provide a comprehensive snapshot of the overall economic health and stability. Following this, many academic researchers, central banks and international...

This paper uses real-time data for the U.S. to estimate out-of-sample forecast uncertainty about the Federal Funds Rate. By combining a Taylor rule with an unobserved components model of economic fundamentals I separate forecast uncertainty into economically interpretable components that...

Much of the US inflation forecasting literature deals with examining the ability of macroeconomic indicators to predict the mean of future inflation, and the overwhelming evidence suggests that the macroeconomic indicators provide little or no predictability. In this paper, we expand the scope...

This paper studies data revision properties of GDP growth and inflation as measured by the Wholesale Price Index (WPI) for the Indian economy. We find that data revisions to GDP growth and WPI inflation in India are significant. The results show that revisions to GDP growth and WPI inflation can...

Using parametric and nonparametric methods, inflation persistence is examined through the relationship between the exclusions-from-core measure of inflation and total inflation for two sample periods and five in-sample forecast horizons ranging from one to twelve quarters over fifty vintages of...

Using real-time data I estimate out-of-sample forecast uncertainty about the Federal Funds Rate. Combining a Taylor rule with a model of economic fundamentals I disentangle economically interpretable components of forecast uncertainty: uncertainty about future economic conditions and uncertainty...

Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus,...

This paper tracks data revisions in the Personal Consumption Expenditure using the exclusions-from-core inflation persistence model. Keeping the number of observations the same, the regression parameters of earlier vintages of real-time data, beginning with vintage 1996:Q1, are tested for...

Several studies have established the predictive power of the yield curve, i.e.: the difference between long and short term bond rates, in terms of real economic activity, for the U.S. and various European countries. In this paper we use monthly data of the industrial production index of the...

This paper tracks data revisions in the Personal Consumption Expenditure using the exclusions-from-core inflation persistence model. Keeping the number of observations the same, the regression parameters of earlier vintages of real-time data, beginning with vintage 1996:Q1, are tested for...