This paper examines the out-of-sample performance of various financial variables as predictors of U.S. recessions. Series such as interest rates and spreads, stock prices, and monetary aggregates are ...evaluated individually and in comparison with other financial and nonfinancial indicators. The analysis focuses on out-of-sample performance from one to eight quarters ahead. Results show that stock prices are useful with one- to three-quarter horizons, as are some well-known macroeconomic indicators. Beyond one quarter, however, the slope of the yield curve emerges as the clear individual choice and typically performs better by itself out of sample than in conjunction with other variables.
In structural VARs, unexpected monetary tightening often leads to the price puzzle, a counterintuitive increase in inflation in the impulse response function. The identification of impulse responses ...requires at least a minimal set of structural assumptions, and models exhibiting the price puzzle typically use standard assumptions focusing mainly on relationships among contemporaneous disturbances. This note uses a well-established stylized fact, the long lags of monetary policy, to motivate a simple additional identifying assumption. The assumption eliminates a single term in one equation of the reduced form, and with it the price puzzle.
The slope of the yield curve has been shown empirically to be a significant predictor of inflation and real economic activity but there is no standard theory as to why the relationship exists. This ...article constructs an analytical rational expectations model to investigate the reasons for the empirical results. The model suggests that the relationships are not structural but are instead influenced by the monetary policy regime. However, the yield curve should have predictive power for output and inflation in most circumstances. Various implications of the theoretical model are tested and confirmed empirically.
Since the publication (1976) of the classic Lucas critique, researchers in empirical macroeconomics have endeavored to specify models that capture the underlying dynamic decision-making behavior of ...consumers and firms who require forecasts of future events. Recently, a number of researchers have developed simple models that have become the workhorses for monetary policy analysis. The models vary considerably with regard to optimizing foundations and explicit treatment of expectations. However, relatively little effort has been devoted to testing the empirical importance of the Lucas critique for these simple models. Can one find specifications that are policy-invariant? This paper develops and implements a set of tests for several monetary policy models used extensively in the literature. In particular, we attempt to test the robustness of optimizing versus nonoptimizing models to changes in the monetary policy regime. We present evidence that shows that some forward-looking models from the recent literature may be less stable than their better-fitting backward-looking counterparts.
A positive slope of the yield curve is associated with a future increase in real economic activity: consumption (nondurables plus services), consumer durables, and investment. It has extra predictive ...power over the index of leading indicators, real short-term interest rates, lagged growth in economic activity, and lagged rates of inflation. It outperforms survey forecasts, both in-sample and out-of-sample. Historically, the information in the slope reflected, inter alia, factors that were independent of monetary policy, and thus the slope could have provided useful information both to private investors and to policy makers.
This paper examines the relationship of the term structure of interest rates to monetary policy instruments and to subsequent real activity and inflation in both Europe and the United States. The ...results show that monetary policy is an important determinant of the term structure spread, but is unlikely to be the only determinant. In addition, there is significant predictive power for both real activity and inflation. The yield curve is thus a simple and accurate measure that should be viewed as one piece of useful information which, along with other information, can be used to help guide European monetary policy.
The econometrics literature contains many alternative measures of goodness of fit, roughly analogous to R
2
, for use with equations with dichotomous dependent variables. There is, however, no ...consensus as to the measures' relative merits or about which ones should be reported in empirical work. This article proposes a new measure that possesses several useful properties that the other measures lack. The new measure may be interpreted intuitively in a similar way to R
2
in the linear regression context.
This paper presents a dynamic model of optimal bank capital in which the bank optimizes over costs associated with failure, holding capital, and flows of external capital. The solution to the ...infinite-horizon stochastic optimization problem is related to period-by-period value at risk (var) in which the optimal probability of failure is endogenously determined. Over a cycle, var is positively correlated with optimal flows of external capital, but negatively correlated with optimal net changes in capital and the optimal level of total capital. Analysis of this pattern suggests that a regulatory minimum requirement based on var, if binding, is likely to be procyclical. The model points to several ways of reducing this problem. For example, a var-based requirement makes more sense if it is applied to external capital flows than if it is applied to the total level of capital. US commercial bank data since 1984 are generally consistent with the model.
One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real activity. We propose a possible causal mechanism for the forecasting power of the ...term spread, deriving from the balance sheet management of financial intermediaries and the "risk-taking channel of monetary policy." Monetary tightening leads to the flattening of the term spread, reducing net interest margin and credit supply. We provide empirical support for the risk-taking channel.
Los medios sociales se han convertido en espacios de promoción y propaganda electoral que atraen a la clase política por su capacidad para amplificar los discursos, la posibilidad de llegar con los ...mensajes a grupos sociales cada vez más heterogéneos y obviamente, por la reducción de costos para la producción y difusión de material comunicacional.En este contexto el presente estudio busca contrastar las estrategias discursivas utilizadas, en Twitter, por Lenin Moreno y Guillermo Lasso, candidatos finalistas en las elecciones presidenciales ecuatorianas de 2017, con dos objetivos en concreto: por un lado, identificar los códigos sociales, simbólicos e ideológicos que hacen parte de las tácticas para la movilización de emociones en el electorado y, por otro, establecer los públicos prioritarios a los se dirigen a través del medio social.La metodología consideró al análisis de contenido, tanto de su discurso como de los artefactos culturales a nivel audiovisual. Desde una práctica cualitativa y su relación hermenéutica, nos concentramos en la descripción discursiva para descifrar las significaciones tras las palabras. La discusión se centra en que el discurso político se cristaliza usando estrategias de personalización a partir de narrativas consumibles, pero de rápida caducidad y además se observa que la táctica más recurrente es la construcción de enemigos ideológicos, más que personales.
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