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Recent Publications

FedViews

Posted November 14, 2018

Adam Shapiro, research advisor at the Federal Reserve Bank of San Francisco, stated his views on the current economy and the outlook as of November 9, 2018.

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Economic Letter

Posted December 3, 2018
Glenn D. Rudebusch

The Federal Reserve has typically used a short-term interest rate as the policy tool for achieving its macroeconomic goals. However, with short-term rates constrained near zero for much of the past decade, the Fed was impelled to use two unconventional monetary policy tools: forward guidance and quantitative easing. These tools likely strengthened the economic recovery and helped return inflation to the Fed’s target—although their full impact remains uncertain.

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Working Paper

Posted December 1, 2018
Kevin J. Lansing, Stephen F. LeRoy, and Jun Ma

We use a consumption based asset pricing model to show that the predictability of excess returns on risky assets can arise from only two sources: (1) stochastic volatility of model variables, or (2) departures from rational expectations that give rise to predictable investor forecast errors and market inefficiency. From an empirical perspective, we investigate whether 1-month ahead excess returns on stocks can be predicted using measures of consumer sentiment and excess return momentum, while controlling directly and indirectly for the presence of stochastic volatility. A variable that interacts the 12-month sentiment change with recent return momentum is a robust predictor of excess stock returns both in-sample and out-of-sample. The predictive power of this variable derives mainly from periods when sentiment has been declining and return momentum is negative, forecasting a further decline in the excess stock return. We show that the sentiment-momentum variable is positively correlated with fluctuations in Google searches for the term “stock market,” suggesting that the sentiment-momentum variable helps to predict excess returns because it captures shifts in investor attention, particularly during stock market declines.

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Indicators and Data

Cyclical and Acyclical Core PCE Inflation

Cyclical and Acyclical Core PCE Inflation divides components of core personal consumption expenditures according to whether they move in tandem with economic cycles or are independent of the state of the overall economy.

PCE Inflation Dispersion

PCE Inflation Dispersion statistics present a more detailed summary of the personal consumption expenditure price index (PCEPI), a measure of U.S. inflation. Included are measures of the distribution of price changes across categories and diffusion indices.

Tech Pulse

The Tech Pulse Index is an index of coincident indicators of activity in the U.S. information technology sector. It can be interpreted as a summary statistic that tracks the health of the tech sector in a timely manner.

Total Factor Productivity

Total Factor Productivity (TFP) presents a real-time, quarterly data series for the U.S. business sector, adjusted for variations in factor utilization—labor effort and capital’s workweek.

Treasury Yield Premiums

The Treasury yield premium model decomposes nominal bond yields of various maturities into three components: expectations of the average future short-term interest rate, a term premium, and a model residual.

Wage Rigidity Meter

The Wage Rigidity Meter offers a closer examination of the annual wage changes of U.S. workers that have not changed jobs over the year.

Weather-Adjusted Employment Change

This page provides estimates of weather-adjusted employment change in the United States for the past six months. The estimates are aggregated from county-level estimates of weather’s employment effects, which were derived from a county-level analysis of the short-run effects of unusual weather on employment growth.

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Center for Pacific Basin Studies

The Center for Pacific Basin Studies promotes cooperation among central banks in the Pacific Basin and provides insight into and analysis of economic policy issues affecting the region.

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Dissertation Fellowship

The Thomas J. Sargent Dissertation Fellowship offers individuals an opportunity to interact with economists and visiting scholars, make progress in writing their dissertation, and increase their exposure to scholarly research.

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