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Federal Reserve Economic Data

About: Federal Reserve Economic Data is a research topic. Over the lifetime, 785 publications have been published within this topic receiving 17985 citations. The topic is also known as: FRED.


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TL;DR: This paper developed a new measure of monetary policy shocks in the United States for the period 1969 to 1996 that is relatively free of endogenous and anticipatory movements, and found that the effects using the new measure are substantially stronger and quicker than those using prior measures.
Abstract: Conventional measures of monetary policy, such as the federal funds rate, are surely influenced by forces other than monetary policy. More importantly, central banks adjust policy in response to a wide range of information about future economic developments. As a result, estimates of the effects of monetary policy derived using conventional measures will tend to be biased. To address this problem, we develop a new measure of monetary policy shocks in the United States for the period 1969 to 1996 that is relatively free of endogenous and anticipatory movements. The derivation of the new measure has two key elements. First, to address the problem of forward-looking behavior, we control for the Federal Reserve's forecasts of output and inflation prepared for scheduled FOMC meetings. We remove from our measure policy actions that are a systematic response to the Federal Reserve's anticipations of future developments. Second, to address the problem of endogeneity and to ensure that the forecasts capture the main information the Federal Reserve had at the times decisions were made, we consider only changes in the Federal Reserve's intentions for the federal funds rate around scheduled FOMC meetings. This series on intended changes is derived using information on the expected funds rate from the records of the Open Market Manager and information on intentions from the narrative records of FOMC meetings. The series covers the entire period for which forecasts are available, including times when the Federal Reserve was not exclusively targeting the funds rate. Estimates of the effects of monetary policy obtained using the new measure indicate that policy has large, relatively rapid, and statistically significant effects on both output and inflation. We find that the effects using the new measure are substantially stronger and quicker than those using prior measures. This suggests that previous measures of policy shocks are significantly contaminated by forward-looking Federal Reserve behavior and endogeneity.

1,097 citations

Journal ArticleDOI
TL;DR: In this article, the existence of asymmetric information between the Federal Reserve and the public was tested by examining Fed and commercial inflation forecasts, showing that monetary-policy actions provide signals of the Fed's information and that commercial forecasters modify their forecasts in response to those signals.
Abstract: This paper tests for the existence of asymmetric information between the Federal Reserve and the public by examining Federal Reserve and commercial inflation forecasts. It demonstrates that the Federal Reserve has considerable information about inflation beyond what is known to commercial forecasters. It also shows that monetary-policy actions provide signals of the Federal Reserve's information and that commercial forecasters modify their forecasts in response to those signals. These findings may explain why long-term interest rates typically rise in response to shifts to tighter monetary policy. (JEL E52, E43, D82) Asymmetric information between the Federal Reserve and the public is a phenomenon that is often posited but rarely tested. Numerous models of central-bank behavior, for example, show that the existence of asymmetric information has important implications for the effectiveness of policy and the consequences of dynamic inconsistency.' Yet, there

931 citations

Book
20 Sep 2012
TL;DR: In order to further ease the stance of monetary policy as the economic outlook deteriorated, the Federal Reserve purchased substan tial quantities of assets with medium and long maturities as discussed by the authors.
Abstract: Since December 2008, the Federal Reserve’s traditio nal policy instrument, the target federal funds rate, has been effectively at its lower bound of zero. In order to further ease the stance of monetary policy as th e economic outlook deteriorated, the Federal Reserve purchased substan tial quantities of assets with medium and long maturities. In this paper, we expl ain how these purchases were implemented and discuss the mechanisms through which they can affect the economy. We present evidence that the purchases le d to economically meaningful and long-lasting reductions in longer-te rm interest rates on a range of securities, including securities that were not incl uded in the purchase programs. These reductions in interest rates primarily reflec t lower risk premiums, including term premiums, rather than lower expectations of fu ture short-term interest rates.

772 citations

01 Jan 2006
TL;DR: In this article, the authors provide a long history of high-frequency yield curve estimates of the Federal Reserve Board at a daily frequency from 1961 to the present, which can be used to compute yields or forward rates for any horizon.
Abstract: The discount function, which determines the value of all future nominal payments, is the most basic building block of finance and is usually inferred from the Treasury yield curve. It is therefore surprising that researchers and practitioners do not have available to them a long history of high-frequency yield curve estimates. This paper fills that void by making public the Treasury yield curve estimates of the Federal Reserve Board at a daily frequency from 1961 to the present. We use a well-known and simple smoothing method that is shown to fit the data very well. The resulting estimates can be used to compute yields or forward rates for any horizon. We hope that the data, which are posted on the website, and which will be updated periodically, will provide a benchmark yield curve that will be useful to applied economists.

706 citations

Journal ArticleDOI
TL;DR: A large, monthly frequency, macroeconomic database designed to be updated monthly using the Federal Reserve Economic Data (FRED) database is described, and it is suggested that diffusion indexes constructed as the partial sum of the factor estimates can potentially be useful for the study of business cycle chronology.
Abstract: This article describes a large, monthly frequency, macroeconomic database with the goal of establishing a convenient starting point for empirical analysis that requires “big data.” The dataset mimics the coverage of those already used in the literature but has three appealing features. First, it is designed to be updated monthly using the Federal Reserve Economic Data (FRED) database. Second, it will be publicly accessible, facilitating comparison of related research and replication of empirical work. Third, it will relieve researchers from having to manage data changes and revisions. We show that factors extracted from our dataset share the same predictive content as those based on various vintages of the so-called Stock–Watson dataset. In addition, we suggest that diffusion indexes constructed as the partial sum of the factor estimates can potentially be useful for the study of business cycle chronology. Supplementary materials for this article are available online.

646 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20211
20202
20195
20181
20178
201632