Real-Time Data Research Center

Research

Working Papers and Journal Articles by Real-Time Data Research Center Staff and Visiting Scholars (most recent listed first)

Francis X. Diebold and Kamil Yilmaz, "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," Federal Reserve Bank of Philadelphia Working Paper 11-45, September 2011.
Jacopo Cimadomo, "Real-Time Data and Fiscal Policy Analysis: A Survey of the Literature," Federal Reserve Bank of Philadelphia Working Paper 11-25, July 2011.
Frank Schorfheide, "Estimation and Evaluation of DSGE Models: Progress and Challenges," Federal Reserve Bank of Philadelphia Working Paper 11-7, January 2011.
Edward Herbst and Frank Schorfheide, "Evaluating DSGE Model Forecasts of Comovements," Federal Reserve Bank of Philadelphia Working Paper 11-5, January 2011.
Jan P.A.M. Jacobs and Simon van Norden, "Lessons from the Latest Data on U.S. Productivity," Federal Reserve Bank of Philadelphia Working Paper 11-1, December 2010.
Jonathan H. Wright, "Evaluating Real-Time VAR Forecasts with an Informative Democratic Prior," Federal Reserve Bank of Philadelphia Working Paper 10-19, May 2010.
Sylvain Leduc and Keith Sill, "Expectations and Economic Fluctuations: An Analysis Using Survey Data," Federal Reserve Bank of Philadelphia Working Paper 10-6, March 2010.
S. Borağan Aruoba and Francis X. Diebold, "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions" Federal Reserve Bank of Philadelphia Working Paper 10-5, January 2010.
Valentina Corradi and Norman R. Swanson, "Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models," Federal Reserve Bank of Philadelphia Working Paper 09-29, April 2009.
Andres Fernandez and Norman R. Swanson, "Real-Time Datasets Really Do Make a Difference: Definitional Change, Data Release, and Forecasting," Federal Reserve Bank of Philadelphia Working Paper 09-28, October 2009.
Gerald Carlino, Robert DeFina, and Keith Sill, "The Long and Large Decline in State Employment Growth Volatility," Federal Reserve Bank of Philadelphia Working Paper 09-9, April 2009.
S. Borağan Aruoba and Frank Schorfheide, "Sticky Prices Versus Monetary Frictions: An Estimation of Policy Trade-offs," Federal Reserve Bank of Philadelphia Working Paper 09-8, April 2009.
Valentina Corradi, Andres Fernandez, and Norman Swanson, "Information in the Revision Process of Real-Time Datasets," Federal Reserve Bank of Philadelphia Working Paper 08-27, October 2008.
Nii Ayi Armah and Norman R. Swanson, "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments," Federal Reserve Bank of Philadelphia Working Paper 08-25, July 2008.
S. Boragan Aruoba, Francis X. Diebold, and Chiara Scotti, "Real-Time Measurement of Business Conditions," Federal Reserve Bank of Philadelphia Working Paper 08-19, September 2008.
Frank Schorfheide, Keith Sill, and Maxym Kryshko, "DSGE Model-Based Forecasting of Non-Modelled Variables," Federal Reserve Bank of Philadelphia Working Paper 08-17, September 2008.
Francis X. Diebold and Kamil Yilmaz, "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Federal Reserve Bank of Philadelphia Working Paper 08-16, August 2008.
Dean Croushore, "Revisions to PCE Inflation Measures: Implications for Monetary Policy," Federal Reserve Bank of Philadelphia Working Paper 08-8, May 2008.
Dean Croushore, "Frontiers of Real-Time Data Analysis," Federal Reserve Bank of Philadelphia Working Paper 08-4, March 2008.
Leonard I. Nakamura and Tom Stark, "Mismeasured Personal Saving and the Permanent Income Hypothesis," Federal Reserve Bank of Philadelphia Working Paper 07-8, February 2007.
Dean Croushore, "An Evaluation of Inflation Forecasts from Surveys Using Real-Time Data," Federal Reserve Bank of Philadelphia Working Paper 06-19, October 2006.
Sungbae An and Frank Schorfheide, "Bayesian Analysis of DSGE Models," Federal Reserve Bank of Philadelphia Working Paper 06-5, January 2006. Published in Econometric Reviews, with discussions by F. Canova, J. Geweke, D. Poirier, M. Villani, T. Zha, and rejoinder, 26(2-4), 2007, 113-172.
Marco Del Negro and Frank Schorfheide, "Monetary Policy Analysis with Potentially Misspecified Models," Federal Reserve Bank of Philadelphia Working Paper 06-4, September 2005.
Yongsung Chang, Taeyoung Doh, and Frank Schorfheide. "Non-Stationary Hours in a DSGE Model," Federal Reserve Bank of Philadelphia Working Paper 06-3, January 2006. Published in Journal of Money, Credit, and Banking, 39(6), 2007, 1357-1373.
Leonard I. Nakamura and Tom Stark. "Benchmark Revisions and the U.S. Personal Saving Rate," Federal Reserve Bank of Philadelphia Working Paper 05-6, April 2005.
Dean Croushore and Charles L. Evans. "Data Revisions and the Identification of Monetary Policy Shocks," Federal Reserve Bank of Philadelphia Working Paper 03-1, January 2003. Published in Journal of Monetary Economics 53 (September 2006), pp. 1135–1160.
Dean Croushore and Tom Stark, "Is Macroeconomic Research Robust to Alternative Data Sets?" Federal Reserve Bank of Philadelphia Working Paper 02-3, March 2002. Published under the title "A Real-Time Data Set for Macroeconomists: Does the Data Vintage Matter?" Review of Economics and Statistics 85 (August 2003), pp. 605–617.
Sylvain Leduc, Keith Sill, and Tom Stark, "Self-Fulfilling Expectations and the Inflation of the 1970s: Evidence from the Livingston Survey," Federal Reserve Bank of Philadelphia Working Paper 02-13/R, May 2003. Published in Journal of Monetary Economics 54 (March 2007), pp. 433–459.
Tom Stark and Dean Croushore, "Forecasting with a Real-Time Data Set for Macroeconomists," Federal Reserve Bank of Philadelphia Working Paper 01-10, July 2001. Published in Journal of Macroeconomics 24 (December 2002), pp. 507-31. Also, a "Reply" to formal comments, pp. 563-7.
Laurence Ball and Dean Croushore, "Expectations and the Effects of Monetary Policy," Federal Reserve Bank of Philadelphia Working Paper 01-12, August 2001. Published in Journal of Money, Credit, and Banking 35 (August 2003), pp. 473–484.
Tom Stark, "Does Current-Quarter Information Improve Quarterly Forecasts for the U.S. Economy?" Federal Reserve Bank of Philadelphia Working Paper 00-2, January 2000.
Dean Croushore and Tom Stark, "A Real-Time Data Set for Macroeconomists: Does Data Vintage Matter for Forecasting?" Federal Reserve Bank of Philadelphia Working Paper 00-6, June 2000.
Dean Croushore and Tom Stark, "A Real-Time Data Set for Macroeconomists," Federal Reserve Bank of Philadelphia Working Paper 99-4, June 1999. Published in Journal of Econometrics 105 (November 2001), pp. 111-130.