Central bank research hub - Papers by Francis X. Diebold
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Research hub papers by author Francis X. DieboldenOn the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
http://www.philadelphiafed.org/research-and-data/publications/working-papers/2011/wp11-45.pdf
Philadelphia Fed Working Papers by Francis X. Diebold, Kamil YilmazOn the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms2011-10-04T06:25:59ZThe authors propose several connectedness measures built from pieces of variance decompositions, and they argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. The authors also show that variance decompositions define weighted, directed networks, so that their connectedness measures are intimately-related to key measures of connectedness used in the network literature. Building on these insights, the authors track both average and daily time-varying connectedness of major U.S. financial institutions' stock return volatilities in recent years, including during the financial crisis of 2007-2008.On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial FirmsFull texthttp://www.philadelphiafed.org/research-and-data/publications/working-papers/2011/wp11-45.pdfKamil YilmazFrancis X. DieboldFrancis X. Diebold, Kamil Yilmaz2011-10Federal Reserve Bank of Philadelphia Working PapersImproving GDP Measurement: A Forecast Combination Perspective
http://www.philadelphiafed.org/research-and-data/publications/working-papers/2011/wp11-41.pdf
Philadelphia Fed Working Papers by S. Boragan Aruoba and Francis X. DieboldImproving GDP Measurement: A Forecast Combination Perspective2011-09-21T17:40:59ZTwo often-divergent U.S. GDP estimates are available, a widely-used expenditure-side version GDPE, and a much less widely-used income-side version GDI . The authors propose and explore a "forecast combination" approach to combining them. They then put the theory to work, producing a superior combined estimate of GDP growth for the U.S., GDPC. The authors compare GDPC to GDPE and GDPI , with particular attention to behavior over the business cycle. They discuss several variations and extensions.Improving GDP Measurement: A Forecast Combination PerspectiveFull texthttp://www.philadelphiafed.org/research-and-data/publications/working-papers/2011/wp11-41.pdfS. Boragan AruobaFrancis X. DieboldS. Boragan Aruoba and Francis X. Diebold2011-09Federal Reserve Bank of Philadelphia Working PapersReal-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
http://www.philadelphiafed.org/research-and-data/publications/working-papers/2010/wp10-5.pdf
Philadelphia Fed Working Papers by S. Boragan Aruoba and Francis X. DieboldReal-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions2010-02-19T17:40:59ZThe authors sketch a framework for monitoring macroeconomic activity in real-time and push it in new directions. In particular, they focus not only on real activity, which has received most attention to date, but also on inflation and its interaction with real activity. As for the recent recession, the authors find that (1) it likely ended around July 2009; (2) its most extreme aspects concern a real activity decline that was unusually long but less unusually deep, and an inflation decline that was unusually deep but brief; and (3) its real activity and inflation interactions were strongly positive, consistent with an adverse demand shock.Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and InteractionsFull texthttp://www.philadelphiafed.org/research-and-data/publications/working-papers/2010/wp10-5.pdfS. Boragan AruobaFrancis X. DieboldS. Boragan Aruoba and Francis X. Diebold2010-02Federal Reserve Bank of Philadelphia Working PapersMeasuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
http://www.philadelphiafed.org/research-and-data/publications/working-papers/2008/wp08-16.pdf
Philadelphia Fed Working Papers by Francis X. DieboldMeasuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets2008-09-18T12:39:59ZThe authors provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, they formulate and examine precise and separate measures of return spillovers and volatility spillovers. The authors framework facilitates study of both noncrisis and crisis episodes, including trends and bursts in spillovers, and both turn out to be empirically important. In particular, in an analysis of 19 global equity markets from the early 1990s to the present, they find striking evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts.Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity MarketsFull texthttp://www.philadelphiafed.org/research-and-data/publications/working-papers/2008/wp08-16.pdfFrancis X. DieboldFrancis X. Diebold2008-09Federal Reserve Bank of Philadelphia Working PapersAn Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
http://www.frbsf.org/publications/economics/papers/2008/wp08-07bk.pdf
San Francisco Fed Working Papers by Christensen, Diebold, RudebuschAn Arbitrage-Free Generalized Nelson-Siegel Term Structure Model2008-06-04T07:14:59ZThe Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed, we show that the factor loadings of the Svensson generalization cannot be obtained in a standard finance arbitrage-free affine term structure representation. Therefore, we introduce a closely related generalized Nelson-Siegel model on which the no-arbitrage condition can be imposed. We estimate this new arbitrage-free generalized Nelson-Siegel model and demonstrate its tractability and good in-sample fit.An Arbitrage-Free Generalized Nelson-Siegel Term Structure ModelFull texthttp://www.frbsf.org/publications/economics/papers/2008/wp08-07bk.pdfFrancis X. DieboldJens H. E. ChristensenGlenn D. RudebuschChristensen, Diebold, Rudebusch2008-05Federal Reserve Bank of San Francisco Working PapersThe Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models
http://www.frbsf.org/publications/economics/papers/2007/wp07-20bk.pdf
San Francisco Fed Working Papers by Christensen, Diebold, RudebuschThe Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models2007-09-13T07:16:00ZWe derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our empirical analysis shows that imposing the Nelson-Siegel structure on this canonical representation greatly improves its empirical tractability; furthermore, we find that improvements in predictive performance are achieved from the imposition of absence of arbitrage.The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure ModelsFull texthttp://www.frbsf.org/publications/economics/papers/2007/wp07-20bk.pdfFrancis X. DieboldJens H. E. ChristensenGlenn D. RudebuschChristensen, Diebold, Rudebusch2007-09Federal Reserve Bank of San Francisco Working PapersReal-Time Measurement of Business Conditions
http://www.federalreserve.gov/pubs/ifdp/2007/901/ifdp901.pdf
Board of Governors of the Federal Reserve System International Financial Discussion Papers by S. Boragan Aruoba, Francis X. Diebold, and Chiara ScottiReal-Time Measurement of Business Conditions2007-09-01T12:00:00ZReal-Time Measurement of Business ConditionsAbstracthttp://www.federalreserve.gov/pubs/ifdp/2007/901/default.htmFull texthttp://www.federalreserve.gov/pubs/ifdp/2007/901/ifdp901.pdfS. Boragan AruobaChiara ScottiFrancis X. DieboldS. Boragan Aruoba, Francis X. Diebold, and Chiara Scotti2007-08Board of Governors of the Federal Reserve System International Financial Discussion PapersC01C22E32E37Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
http://www.federalreserve.gov/pubs/ifdp/2006/871/ifdp871.pdf
Board of Governors of the Federal Reserve System International Financial Discussion Papers by Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Clara VegaReal-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets2006-11-29T07:14:59ZReal-Time Price Discovery in Global Stock, Bond and Foreign Exchange MarketsAbstracthttp://www.federalreserve.gov/pubs/ifdp/2006/871/default.htmFull texthttp://www.federalreserve.gov/pubs/ifdp/2006/871/ifdp871.pdfClara VegaTim BollerslevTorben G. AndersenFrancis X. DieboldTorben G. Andersen, Tim Bollerslev, Francis X. Diebold and Clara Vega2006-09Board of Governors of the Federal Reserve System International Financial Discussion PapersC5F3F4G1Modeling Bond Yields in Finance and Macroeconomics
http://www.frbsf.org/publications/economics/papers/2005/wp05-04bk.pdf
San Francisco Fed Working Papers by Francis X. Diebold, Monika Piazzesi and Glenn D. RudebuschModeling Bond Yields in Finance and Macroeconomics2005-03-30T07:10:59ZModeling Bond Yields in Finance and MacroeconomicsFull texthttp://www.frbsf.org/publications/economics/papers/2005/wp05-04bk.pdfGlenn D. RudebuschMonika PiazzesiFrancis X. DieboldFrancis X. Diebold, Monika Piazzesi and Glenn D. Rudebusch2005-01Federal Reserve Bank of San Francisco Working PapersThe Macroeconomy and the Yield Curve: A Nonstructural Analysis
http://www.frbsf.org/publications/economics/papers/2003/wp03-18bk.pdf
San Francisco Fed Working Papers by Francis X. Diebold, Glenn D. Rudebusch and S. Boragan AruobaThe Macroeconomy and the Yield Curve: A Nonstructural Analysis2004-04-21T07:08:59ZThe Macroeconomy and the Yield Curve: A Nonstructural AnalysisFull texthttp://www.frbsf.org/publications/economics/papers/2003/wp03-18bk.pdfS. Boragan AruobaGlenn D. RudebuschFrancis X. DieboldFrancis X. Diebold, Glenn D. Rudebusch and S. Boragan Aruoba2003-10Federal Reserve Bank of San Francisco Working PapersC5E4G1