Francisco Vazquez-Grande

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

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SCHOLARLY PAPERS

13

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Scholarly Papers (13)

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1.

Monetary Policy, Inflation Outlook, and Recession Probabilities

Downloads 497 (88,851)

Monetary Policy, Inflation Outlook, and Recession Probabilities

FEDS Notes No. 2022-07-12
Posted: 21 Jul 2022
Andrea Ajello, Luca Benzoni, Makena Schwinn, Yannick Timmer and Francisco Vazquez-Grande
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago - Research Department, Independent, International Monetary Fund (IMF) - Research Department and Board of Governors of the Federal Reserve System

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Monetary Policy, Inflation Outlook, and Recession Probabilities

Economic Perspectives, No. 4, 2022
Number of pages: 14 Posted: 03 Aug 2022
Andrea Ajello, Luca Benzoni, Makena Schwinn, Yannick Timmer and Francisco Vazquez-Grande
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago - Research Department, Board of Governors of the Federal Reserve System, International Monetary Fund (IMF) - Research Department and Board of Governors of the Federal Reserve System
Downloads 234 (200,724)

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yield-curve slope, recession forecasts, monetary policy, bond risk premia, policy path, inflation forecasts, near-term forward spread, Asset Markets and Pricing, Equities, Fixed Income Securities, Business Fluctuations, Cycles, Prices

Monetary Policy, Inflation Outlook, and Recession Probabilities

Number of pages: 18 Posted: 22 Jul 2022
Andrea Ajello, Luca Benzoni, Makena Schwinn, Yannick Timmer and Francisco Vazquez-Grande
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago - Research Department, Board of Governors of the Federal Reserve System, International Monetary Fund (IMF) - Research Department and Board of Governors of the Federal Reserve System
Downloads 230 (204,122)

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yield-curve slope, recession forecasts, near-term forward spread, monetary policy, bond risk premia, policy path

Monetary Policy, Inflation Outlook, and Recession Probabilities

FRB of Chicago Working Paper No. 2022-31
Number of pages: 19 Posted: 13 Jul 2022
Andrea Ajello, Luca Benzoni, Makena Schwinn, Yannick Timmer and Francisco Vazquez-Grande
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago - Research Department, Board of Governors of the Federal Reserve System, International Monetary Fund (IMF) - Research Department and Board of Governors of the Federal Reserve System
Downloads 33 (700,347)

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yield-curve slope, recession forecasts, monetary policy, bond risk premia, policy path, inflation forecasts, near-term forward spread

2.

Risk-Adjusted Linearizations of Dynamic Equilibrium Models

Downloads 282 (167,352)
Citation 5

Risk-Adjusted Linearizations of Dynamic Equilibrium Models

Number of pages: 44 Posted: 05 Jul 2015 Last Revised: 12 May 2022
Pierlauro Lopez, David Lopez-Salido and Francisco Vazquez-Grande
Federal Reserve Banks - Federal Reserve Bank of Cleveland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 253 (185,895)
Citation 2

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Perturbation methods, Risky steady state, Macroeconomic uncertainty, Intertemporal risk prices, Risk-return tradeoff

Risk-Adjusted Linearizations of Dynamic Equilibrium Models

Banque de France Working Paper No. 702
Number of pages: 42 Posted: 11 Dec 2018
Pierlauro Lopez, David Lopez-Salido and Francisco Vazquez-Grande
Federal Reserve Banks - Federal Reserve Bank of Cleveland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 29 (729,371)
Citation 5

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Perturbation methods, Risky steady state, Macroeconomic uncertainty, Intertemporal risk prices, Risk-return tradeoff

3.

Nominal Rigidities and the Term Structures of Equity and Bond Returns

Downloads 239 (197,280)
Citation 6

Nominal Rigidities and the Term Structures of Equity and Bond Returns

Number of pages: 44 Posted: 05 Jul 2015 Last Revised: 24 Jul 2015
Pierlauro Lopez, David Lopez-Salido and Francisco Vazquez-Grande
Federal Reserve Banks - Federal Reserve Bank of Cleveland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 128 (339,024)
Citation 4

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Structural term structure modeling, Equity and bond yields, Habit formation, Nominal rigidities

Nominal Rigidities and the Term Structures of Equity and Bond Returns

FEDS Working Paper No. 2015-064, http://dx.doi.org/10.17016/FEDS.2015.064
Number of pages: 45 Posted: 25 Aug 2015
Pierlauro Lopez, David Lopez-Salido and Francisco Vazquez-Grande
Federal Reserve Banks - Federal Reserve Bank of Cleveland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 111 (376,490)
Citation 3

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Equity and bond yields, Habit formation, Nominal rigidities, Structural term structure modeling

4.

Combining Forecasts: Can Machines Beat the Average?

Number of pages: 26 Posted: 02 Nov 2020
Tyler Pike and Francisco Vazquez-Grande
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 215 (218,247)
Citation 1

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Forecast Combination; Machine Learning; Non-Linear Models

5.

Measuring the Natural Rate of Interest: A Note on Transitory Shocks

FEDS Working Paper No. 2017-59
Number of pages: 33 Posted: 05 Jun 2017 Last Revised: 29 Apr 2020
Kurt F. Lewis and Francisco Vazquez-Grande
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 97 (410,272)
Citation 3

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6.

Accounting for Risk in a Linearized Solution: How to Approximate the Risky Steady State and Perturb Around It

Number of pages: 44 Posted: 31 Jul 2020 Last Revised: 11 May 2022
Pierlauro Lopez, David Lopez-Salido and Francisco Vazquez-Grande
Federal Reserve Banks - Federal Reserve Bank of Cleveland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 72 (490,317)

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Perturbation methods, Risky steady state, Macroeconomic uncertainty, Risk modeling, Intertemporal choice under uncertainty

7.

Sources of Fluctuations in Short-Term Yields and Recession Probabilities

Number of pages: 12 Posted: 09 Aug 2022
Andrea Ajello, Luca Benzoni, Makena Schwinn, Yannick Timmer and Francisco Vazquez-Grande
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago - Research Department, Board of Governors of the Federal Reserve System, International Monetary Fund (IMF) - Research Department and Board of Governors of the Federal Reserve System
Downloads 67 (513,460)

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yield‐curve slope, recession forecasts, monetary policy, bond risk premia, policy path, inflation forecasts, near‐term forward spread

8.

Accounting for Risk in a Linearized Solution: How to Approximate the Risky Steady State and Around It

FRB of Cleveland Working Paper No. 22-14
Number of pages: 46 Posted: 11 May 2022
Pierlauro Lopez, David Lopez-Salido and Francisco Vazquez-Grande
Federal Reserve Banks - Federal Reserve Bank of Cleveland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 35 (668,916)

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Perturbation methods; Risky steady state; Macroeconomic uncertainty; Solving dynamic equilibrium models; Time-varying risk premia

9.

Are Stocks Pricing in Recession Risks? Evidence from Dividend Futures

FEDS Notes No. 2022-08-18
Posted: 25 Aug 2022
Markus Ibert, Benjamin Knox and Francisco Vazquez-Grande
Copenhagen Business School - Department of Finance, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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10.

Out-of-Sample Performance of Recession Probability Models

FEDS Notes No. 2019-12-13-1
Posted: 09 Jul 2021
Tyler Pike and Francisco Vazquez-Grande
affiliation not provided to SSRN and Board of Governors of the Federal Reserve System

Abstract:

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11.

Nominal Rigidities and the Term Structures of Equity and Bond Returns

FEDS Working Paper No. 2015-64
Posted: 09 Jul 2021
Pier Lopez, David Lopez-Salido and Francisco Vazquez-Grande
affiliation not provided to SSRN, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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12.

The Stock Market–Real Economy "Disconnect": A Closer Look

FEDS Notes No. 2020-10-14-2
Posted: 21 Oct 2020
Andrew Y. Chen, Markus Ibert and Francisco Vazquez-Grande
Board of Governors of the Federal Reserve System, Copenhagen Business School - Department of Finance and Board of Governors of the Federal Reserve System

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13.

Out-of-Sample Performance of Recession Probability Models

FEDS Notes No. 2019-12-13-1 https://doi.org/10.17016/2380-7172.2454
Posted: 19 Dec 2019
Tyler Pike and Francisco Vazquez-Grande
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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