Francisco Vazquez-Grande

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

16

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19

CROSSREF CITATIONS

18

Scholarly Papers (16)

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 399 (139,872)

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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 261 (220,513)

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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 47 (763,887)
Citation 1

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

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 Bank of Cleveland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 272 (211,562)
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 Bank of Cleveland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 51 (736,704)
Citation 5

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

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 Bank of Cleveland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 144 (379,915)
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 Bank of Cleveland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 136 (397,682)
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 265 (218,375)
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 114 (453,874)
Citation 3

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6.

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 108 (472,317)

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

7.

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 Bank of Cleveland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 91 (529,951)

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

8.

More than Words: Twitter Chatter and Financial Market Sentiment

FEDS Working Paper No. 2023-34
Number of pages: 36 Posted: 05 Jun 2023
Travis Adams, Andrea Ajello, Diego Silva and Francisco Vazquez-Grande
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Independent and Board of Governors of the Federal Reserve System
Downloads 86 (553,013)

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Financial Market Sentiment, Monetary policy, Natural Language Processing, Stock Returns, Twitter

9.

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 Bank of Cleveland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 67 (632,255)

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

10.

The Drivers of r*: Accounting for Treasuries' Convenience Yield

Number of pages: 34 Posted: 15 May 2024
Balint Szoke, Francisco Vazquez-Grande and Inês Xavier
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 36 (833,573)

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natural rate of interest, monetary policy, convenience yield

11.

Nominal Rigidities and the Term Structures of Equity and Bond Returns

FRB of Cleveland Working Paper No. 23-11, https://doi.org/10.26509/frbc-wp-202311
Number of pages: 42 Posted: 11 May 2023
Pierlauro Lopez, David Lopez-Salido and Francisco Vazquez-Grande
Federal Reserve Bank of Cleveland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 31 (866,840)

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Structural term structure modeling, Equity and bond yields, Habit formation, Nominal rigidities, Macro-finance separation

12.

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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13.

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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14.

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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15.

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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16.

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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