real time data at the federal reserve bank of philadelphia
Download
Skip this Video
Download Presentation
Real-Time Data at the Federal Reserve Bank of Philadelphia

Loading in 2 Seconds...

play fullscreen
1 / 31

Real-Time Data at the Federal Reserve Bank of Philadelphia - PowerPoint PPT Presentation


  • 104 Views
  • Uploaded on

Real-Time Data at the Federal Reserve Bank of Philadelphia. 2008 World Congress on National Accounts and Economic Performance Measures for Nations Washington, DC May 13 – 17, 2008 Tom Stark Federal Reserve Bank of Philadelphia. Real Time?.

loader
I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described.
capcha
Download Presentation

PowerPoint Slideshow about ' Real-Time Data at the Federal Reserve Bank of Philadelphia' - walden


An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -
Presentation Transcript
real time data at the federal reserve bank of philadelphia

Real-Time Data at the Federal Reserve Bank of Philadelphia

2008 World Congress on National Accounts and Economic Performance Measures for Nations

Washington, DC

May 13 – 17, 2008

Tom Stark

Federal Reserve Bank of Philadelphia

real time
Real Time?
  • History: Observations on economic variables, measured prior to revision
    • Philadelphia Fed real-time data set
  • Forecasts: Projections based on real-time history
    • Philadelphia Fed forecast surveys
overview of talk
Overview of Talk
  • Real-Time Data Sets at the Philadelphia FRB
    • Forecast Surveys
    • Realizations
overview of talk1
Overview of Talk
  • Real-Time Data Sets at the Philadelphia FRB
    • Forecast Surveys
    • Realizations
  • Uses of Real-Time Data at the Philadelphia FRB
    • Analyzing revisions
    • Evaluating forecast surveys
    • Testing the forecast implications of macroeconomic theories
    • Carrying out historical policy analysis
overview of talk2
Overview of Talk
  • Real-Time Data Sets at the Philadelphia FRB
    • Forecast Surveys
    • Realizations
  • Uses of Real-Time Data at the Philadelphia FRB
    • Analyzing revisions
    • Evaluating forecast surveys
    • Testing the forecast implications of macroeconomic theories
    • Carrying out historical policy analysis
  • Some Examples
    • Revisions to the U.S. personal saving rate
    • Forecast accuracy in the Survey of Professional Forecasters
    • Using the PIH to forecast income in real time
    • FOMC’s response to inflation expectations
real time forecasts
Real-Time Forecasts
  • Livingston Survey
    • Semiannual: June 1946 to present
    • Focus on business indicators - Most popular: CPI
  • Survey of Professional Forecasters
    • Quarterly: 1968 Q4 to present
    • Focus on U.S. national accounts – Product side
  • Greenbook Forecasts (Federal Reserve Board)
    • Prior to each FOMC meeting, 1966 - present
    • PDF files provide wide range of variables forecast
real time history philadelphia fed real time data set for macroeconomists
Real-Time History: Philadelphia Fed Real-Time Data Set for Macroeconomists
  • Started in early 1990s as a research project with Dean Croushore
  • Provides snapshots of the data before revision
  • Has since become an ongoing “Bank project” at the Philadelphia FRB
real time history cont variables included at the phila frb
Real-Time History (cont.):Variables Included at the Phila. FRB
  • NIPA Income and Product Side
  • Monetary Aggregates
  • Business Indicators (IP, Capacity Utilization, Housing Starts)
  • Labor Market (Unemployment, Employment, Hours Worked)
  • Aggregate Price Indexes (GDP, CPI, PCE)
uses of real time data at the philadelphia frb
Uses of Real-Time Data at the Philadelphia FRB
  • Analyzing Revisions
  • Evaluating Survey Forecasts
  • Testing Theories
  • Conducting Historical Policy Analysis
1 revisions u s personal saving rate
(1) Revisions:U.S. Personal Saving Rate
  • Nakamura and Stark (February 2007): Philadelphia Fed Working Paper No. 07-8
  • Key Findings on Personal Saving Rate:
    • Early estimates very unreliable
    • Large upward revisions in benchmarks
u s measured personal saving rate large upward revisions 1965 to 2005
U.S. Measured Personal Saving Rate (%)Large Upward Revisions1965 to 2005

2005 Q3 Vintage

Advance Estimates

slide12
U.S. Measured Personal Saving Rate:Distribution of RevisionsLatest Available Minus Advance Estimate1965 to 2005

Mean: 2.44

Std Dev: 1.88

MSE: 9.52

slide13
U.S. Measured Personal Saving Rate:Distribution of RevisionsLast-before-Benchmark Minus Advance Estimate1965 to 2005

Mean: 0.08

Std Dev: 1.06

MSE: 1.11

2 evaluation of survey forecasts survey of professional forecasters
(2) Evaluation of Survey Forecasts:Survey of Professional Forecasters

Two Key Issues

  • Revised or unrevised realizations
    • Does it matter?
    • If so, how much?
  • Information sets for estimating and forecasting benchmark models
slide15
Revised or Unrevised Realizations?Nowcast RMSE Q/Q Real GDP Growth (Annual Rate, PPs.)Survey of Professional Forecasters, 1985-2005
slide16

Revised or Unrevised Realizations?Four-Quarter-Ahead RMSE Q/Q Real GDP Growth (Annual Rate, PPs.)Survey of Professional Forecasters, 1985-2005

slide17
Revised or Unrevised Realizations?Nowcast RMSEQ/Q GDP Inflation (Annual Rate, PPs.)Survey of Professional Forecasters, 1985-2005
slide18

Revised or Unrevised Realizations?Four-Quarter-Ahead RMSEQ/Q GDP Inflation (Annual Rate, PPs.)Survey of Professional Forecasters, 1985-2005

benchmark comparisons timing of information sets
Benchmark Comparisons:Timing of Information Sets

First Quarter Survey

Forecasts for Q1,…,Q4,Q1

January

February

March

NIPA Release for Q4

Questionnaire sent

R-Time Data Set for NIPA

Survey deadline

Other January data:

Retail Sales, CPI, PPI

Housing Starts

Industrial Production

January data:

Labor market

Interest rates

slide21
Does The Relative Value of “Nowcast Information” Decline as Data Are Revised?RMSE (SPF / AR), 1985 – 2005Q/Q Real GDP Growth
3 testing economic theories permanent income hypothesis pih
(3) Testing Economic Theories:Permanent Income Hypothesis (PIH)
  • Nakamura and Stark (2007): Philadelphia Fed Working Paper 07-8
  • Test Ireland’s Model of Forecasting with the PIH in Real Time
  • Key Findings:
    • Model works well when estimated on revised data…
    • …Not so good in real time
the model and methodology
The Model and Methodology
  • Estimate VAR in income growth and the saving rate
  • Impose restrictions implied by PIH
  • Run horse races between VAR-PIH and AR forecasts for income growth…
    • …Using fully revised data
    • …Using data in hand in real time
4 historical policy analysis how has the fed responded to a rise in inflation expectations
(4) Historical Policy Analysis:How Has the Fed Responded to a Rise in Inflation Expectations?
  • Leduc, Sill, and Stark (2007): Journal of Monetary Economics
  • How has the FOMC responded to expected inflation before and after 1979?
  • Requires real-time measure of expectations for inflation: Livingston Survey
  • Findings: Strong response post-1979.
the model and methodology1
The Model and Methodology
  • VAR in actual and expected CPI inflation, unemployment, short-term interest rate, and commodity prices
  • Real-Time Data: Expected inflation from Livingston Survey
  • Examine impulse responses to a one-time shock to expected inflation
  • Sample period cut at 1979
we examine the effect that a one percentage point shock to livingston inflation expectations
We Examine the Effect That a One Percentage Point Shock to (Livingston) Inflation Expectations….

Effect of Shock on Expectations for Inflation

Post-1979

Pre-1979

has on inflation and the real rate
…Has on Inflation and the Real Rate

Pre-1979

Post-1979

Inflation

Real Rate

concluding remarks upcoming changes
Concluding Remarks:Upcoming Changes
  • May 2, 2008: INDUSTRY dummy variable added to micro data set for SPF forecasters
    • Allows analysts to cut the data according to panelists employed in financial and nonfinancial sectors
  • Summer 2008: New data-download pages for SPF and real-time data sets
    • Easier downloads for users
  • Summer 2008: Forecast error statistics for (mostly) all variables in SPF
  • Ongoing: New variables and more frequent vintages in real-time data set [joint with Dean Croushore]
    • Monthly vintages for NIPA variables
    • Price indexes for PCE and core PCE
    • Detailed components from BEA’s personal income report
ad