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FEDS Paper: Missing Data Substitution for Enhanced Robust Filtering and Forecasting in Linear State-Space Models

01/03/2025 Federal Reserve Central banks

Dobrislav Dobrev and Paweł J. SzerszeńReplacing faulty measurements with missing values can suppress outlier-induced distortions in state-space inference. We therefore put forward two complementary methods for enhanced outlier-robust filtering and forecasting: supervised missing data substitution (MD) upon exceeding a Huber threshold, and unsupervised missing data substitution via exogenous randomization (RMDX).

The multi-billion dollar startup sector is bouncing back – 8 big trends will shape 2025

01/01/2025 The Conversation News & Comments

Startups have always been at the forefront of innovation. But factors such as artificial intelligence (AI), sustainability and decentralisation are set to reshape industries in 2025.

Businesses are defined as startups when they are in the initial stages of development. They are characterised by the potential for rapid growth and external funding. And they are also sensitive to economic shifts and investment uncertainty.

FEDS Paper: Trend-Cycle Decomposition and Forecasting Using Bayesian Multivariate Unobserved Components

12/30/2024 Federal Reserve Central banks

Mohammad R. Jahan-Parvar, Charles Knipp, and Paweł J. SzerszeńWe propose a generalized multivariate unobserved components model to decompose macroeconomic data into trend and cyclical components. We then forecast the series using Bayesian methods.

Minutes of Money Market Committee meeting – December 2024

12/30/2024 Bank of England Central banks

The Money Markets Committee is a forum for market participants and authorities to discuss the UK unsecured deposits and funding market and securities lending and repo markets.

Minutes of the Meeting of the Court of Directors held on 29 October 2024

12/23/2024 Bank of England Central banks

The Bank's Court of Directors acts as a unitary board, setting the organisation's strategy and budget and taking key decisions on resourcing and appointments. Required to meet a minimum seven times per year, it has five executive members from the Bank and up to nine non-executive members.

Asset Purchase Facility: Gilt Sales – Market Notice 20 December 2024

12/20/2024 Bank of England Central banks

This Market Notice sets out the schedule for sales in Q1 2025 of gilts held in the Asset Purchase Facility (APF) for monetary policy purposes.

America’s Health Insurance Grinches: A Scathing Indictment of “Market” Economics

12/20/2024 Ineteconomics Analysis

The country’s flawed insurance model, driven by greed, leads to inefficiency, inequality, and denied care - a colossal scam that has sparked fury across the nation.
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FEDS Paper: Measuring the Euro Area Output Gap

12/20/2024 Federal Reserve Central banks

Matteo Barigozzi, Claudio Lissona, and Matteo LucianiWe measure the Euro Area (EA) output gap and potential output using a non-stationary dynamic factor model estimated on a large dataset of macroeconomic and financial variables. From 2012 to 2023, we estimate that the EA economy was tighter than the European Commission and the International Monetary Fund estimate, suggesting that the slow EA growth is the result of a potential output issue, not a business cycle issue.

FEDS Paper: Hidden Risk

12/20/2024 Federal Reserve Central banks

Daniel Barth, Phillip J. Monin, Emil Siriwardane, and Adi SunderamSince 2013, large U.S. hedge fund advisers have been required to report risk exposures in their regulatory filings. Using these data, we first establish that managers’ perceptions of risk contain useful information that is not embedded in fund returns.

FEDS Paper: Life-Cycle Portfolio Choices and Heterogeneous Stock Market Expectations

12/20/2024 Federal Reserve Central banks

Mateo Velásquez-GiraldoSurvey measurements of households' expectations about U.S. equity returns show substantial heterogeneity and large departures from the historical distribution of actual returns. The average household perceives a lower probability of positive returns and a greater probability of extreme returns than history has exhibited. I build a life-cycle model of saving and portfolio choices that incorporates beliefs estimated to match these survey measurements of expectations.

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