With the onset of the ZLB, we find a decrease in the perceived monetary policy response to inflation, using surveys of professional forecasts to sidestep data censorship. [publication] [SSRN]
Author: sethpruittnet
Systemic Risk and the Macroeconomy: An Empirical Evaluation (JFE 2016) w/ Giglio and Kelly
We evaluate a wide array of systemic risk indicators and their ability to forecast the quantiles of real activity, and propose methods for combining them that show there is a latent systemic risk factor that is robustly related to future macroeconomic downside risk. [publication] [SSRN]
The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors (JoE 2015) w/ Kelly
The 3PRF is a simple least squares forecaster using many predictor variables that directly estimates the relevant forecast factors and is asymptotically normal for the best possible forecast. [publication] [SSRN]
The Demand for Youth: Explaining Age Differences in the Volatility of Hours (AER 2013) w/ Jaimovich and Siu
Young workers' hours and wages are more cyclically volatile than prime-aged workers' and a successful explanation of these facts comes from differential demand for young and prime-aged labor. [publication] [draft]
Market Expectations in the Cross Section of Present Values (JF 2013) w/ Kelly
Returns and cash flows are robustly predicted by valuation ratio cross sections, which expose growth and value assets' different exposures to economic shocks, with the implication that discount rates are less persistent than implied by leading asset pricing models. [publication] [SSRN]
Uncertainty over Models and Data: The Rise and Fall of American Inflation (JMCB 2012)
By accounting for uncertainty over observed data, a model of a learning Federal Reserve explains the rise and fall in American inflation as tied to a concurrent rise and fall in the perceived Philips curve trade-off. [publication] [draft]
Estimating the Market-Perceived Monetary Policy Rule (AEJMacro 2011) w/ Hamilton and Borger
Using macroeconomic news, we directly estimate the policy rule used by the market to link their expectations of future economic conditions to future monetary policy. [publication] [draft]
The Pseudo-Information Filter (WP)
The pseudo-information filter offers significant computational advantages over the Kalman filter when the data are high-dimensional. [draft]
Markup Variation and Endogenous Fluctuations in the Price of Investment Goods (WP) w/ Floetotto and Jaimovich
The price of investment goods relative to consumptions goods is driven by both exogenous technology shocks and endogenous markup fluctuations due to changes in the relative competitive environment. [draft]
Seth Pruitt 