The financial crisis of 2007–2009 revealed serious gaps in our ability to define, measure, and manage financial sector activities that pose risks to the macroeconomy as a whole. Current macroeconomic models typically used for quantitative and empirical investigations are not well designed to account for important financial sector influences on the aggregate economy.
To address these deficiencies, the Macro Financial Research Initiative launched the MFM project to develop and assess more ambitious macroeconomic models. The MFM Project is a collaborative venture to develop and assess enhanced macroeconomic models that better account for important financial sector influences on the economy. The aim is to close gaps in our ability to define, measure, and manage financial sector activities that pose risks to the macroeconomy as a whole.
The project brings together a network of prominent scholars and innovative early career researchers actively working in this field. Since 2012, the project group has met regularly to discuss and critique current and proposed models. With input and regular involvement of policymakers, the group is working to develop the next generation of policy tools.
One major focus of the effort is to cultivate emerging scholars in this area, through dissertation support and opportunities for students to present and refine their work. Participants gain insights from central bank research departments distinguished researchers, and peers at the frontiers of research in this area through presentations and interactions at targeted events and conferences.
Here’s a list of some of our past events:
- 2019 MFM Winter Capstone Meeting in New York, NY
- 2018 MFM Summer Session for Young Scholars in Cape Cod, MA
- 2018 MFM Winter Meeting in New York, NY
- 2017 MFM Summer Session for Young Scholars in Bretton Woods, NH
- 2017 MFM Winter Meeting in New York, NY
- 2016 MFM Summer Session for Young Scholars in Cape Cod, MA
- 2016 MFM Winter Meeting in New York, NY
- 2015 MFM Winter Meeting in New York, NY
- 2013 MFM Macroeconomic Fragility Conference
- 2013 MFM Spring Meeting
- 2012 MFM Working Group Meeting
- 2012 MFM Modeling Financial Sector Linkages to the Macroeconomy
MFM Working Group Members
Lars Peter Hansen, David Rockefeller Distinguished Service Professor, University of Chicago
Andrew W. Lo, Massachusetts Institute of Technology Sloan School of Management
Markus Brunnermeier, Princeton University
Hui Chen, MIT Sloan School of Management
John Cochrane, Stanford University
Janice Eberly, Northwestern Kellogg School of Management
Andrea Eisfeldt, UCLA Anderson School of Business
Robert Engle, Ta-Chung Liu Distinguished Visitor at the Becker Friedman Institute; New York University Stern School of Business
Mark Gertler, New York University
Simon Gilchrist, NYU
Zhiguo He, University of Chicago
John Heaton, University of Chicago Booth School of Business
Anil Kashyap, University of Chicago Booth School of Business
Nobuhiro Kiyotaki, Princeton University
Deborah Lucas, Massachusetts Institute of Technology
Robert Merton, MIT Sloan School of Management
Monika Piazzesi, Stanford University
Jean-Charles Rochet, University of Zurich
Martin Schneider, Stanford University
Antoinette Schoar, Massachusetts Institute of Technology
Frank Schorfheide, University of Pennsylvania
Amit Seru, Stanford Graduate School of Business
Christopher Sims, Princeton University
Amir Sufi, University of Chicago Booth School of Business
Harald Uhlig, University of Chicago
MFM Fellowship Dissertation Support
This Macro Financial Modeling project offers financial support for doctoral students in economics or other fields pursuing innovative work on macroeconomic models with financial sector linkages or related topics in this area. This research initiative works to construct better, more comprehensive models for assessing systemic risk stemming from activities in the financial sector that can impact the economy as a whole. To encourage new research in this area, we are funding relevant dissertation proposals that examine:
- Macroeconometric models and methods with financial sector constraints
- Software and tools that evaluate new macroeconomic models
- Approaches to defining, measuring, and monitoring systemic risk
- Macroprudential regulation
- Fiscal challenges from the public sector
- The role of accounting in financial stability
Dissertation fellowships are provided with funding from the Alfred P. Sloan Foundation, CME Group Foundation, and Fidelity Management & Research Company. The MFM dissertation fellowship process is currently closed for applications.
Awards and Awardees
Successful proposals will be awarded up to $16,000 to support research activity. For a full list of current and past awardees, click below.
Joseph Abadi, Princeton University
Adrien Auclert, Stanford University
Carlos Avenancio-Leon, Indiana University, Kelley School of Business
Pablo Daniel Azar, Massachusetts Institute of Technology
Cynthia Balloch, Columbia University
Philip Barrett, International Monetary Fund
Majid Bazarbash, International Monetary Fund
Juliane Begenau, Stanford Graduate School of Business
Matteo Benetton, London School of Economics
Laura Blattner, Stanford University
Luigi Bocola, Stanford University and NBER
Gorkem Bostanci, University of Pennsylvania
Sarita Bunsupha, McKinsey and Company
Nicolas Caramp, University of California, Davis
Paolo Cavallino, Bank for International Settlements
Igor Cesarec, New York University
BongGeun Choi, University of Hong Kong
Matteo Crosignani, Michigan Ross
Rui Cui, University of Chicago
Tetiana Davydiuk, Carnegie Mellon University
Ricardo De la O, Stanford University
Winston Wei Dou, University of Pennsylvania
Victor Duarte, Federal Reserve Bank of Dallas
Maryam Farboodi, Princeton University
Diego Feijer, Facebook Research
Julia Fonseca, Princeton University
Cristian Fuenzalida , New York University
Ljubica Georgievska, UCLA Anderson School of Management
James Graham, New York University
Daniel Green, MIT Sloan School of Management
Daniel Greenwald, Massachusetts Institute of Technology
Violeta Gutkowski, Brown University
Brian Higgins, Stanford University
Paul Ho, Federal Reserve Bank of Richmond
Yunzhi Hu, UNC Kenan-Flagler Business School
Ji Huang, The Chinese University of Hong Kong
Lunyang Huang, Princeton University
Sasha Indarte, Duke University Fuqua School of Business
Priit Jeenas, Universitat Pompeu Fabra
Gustavo Joaquim, MIT
Adam Tejs Jørring, Boston College
Paymon Khorrami, University of Chicago
Divya Kirti, International Monetary Fund
Yann Koby, Princeton University
Moritz Lenel, Princeton University
Simone Lenzu, New York University
Jian Li, University of Chicago
Ye Li, Ohio State University
Carl Jack Liebersohn, Massachusetts Institute of Technology
Pierre Mabille , NYU Stern
Marco Macchiavelli, Federal Reserve Board
Maarten Meeuwis, Massachusetts Institute of Technology
Fernando Mendo, Central Bank of Chile
Roxana Mihet, New York University
Jan Möller, New York University
Aaron Pancost, University of Texas
Juan Passadore, Einaudi Institute for Economics and Finance
Stefano Pegoraro, University of Chicago
Alessandra Peter, New York University
Anton Petukhov, MIT Sloan School of Management
Andrea Prestipino, Federal Reserve Board
Elisabeth Pröehl, University of Amsterdam
Julian Richers, Boston University
Roberto Robatto, University of Southern California
Alexander Rodnyansky, University of Cambridge
Samuel Rosen, Fox School of Business, Temple University
Tianyue Ruan, National University of Singapore
Ishita Sen, London Business School
Dejanir Silva, University of Illinois at Urbana-Champaign
Emil Siriwardane, Harvard Business School
Zach Stangebye, University of Notre Dame
Ludwig Straub, Harvard University
Daan Struyven, Goldman Sachs
Jincheng Tong, University of Toronto
Fabrice Tourre, Copenhagen Business School
Willem van Vliet, Chinese University of Hong Kong
Quentin Vandeweyer, Sciences Po
Alonso Villacorta, Stanford University
Olivier Wang, NYU-Stern School of Business
Yiyao Wang, SAIF, Shanghai Jiao Tong University
Yuyao Wang, University of Chicago
Christian Wolf, Princeton University
Yu Xu, University of Hong Kong
Ram Yamarthy, University of Pennsylvania
Amy Y. Zhou, Better Mortgage
The MFM project is committed to fostering research efforts that advance our understanding of the linkages between financial markets and the macroeconomy. Consequently, we are building a collection of resources that researchers in this area may find useful.
- Real-Time Macroeconomic Data: The MFM group cannot disseminate proprietary data; however we hope to become an online repository of datasets useful for replicating the research results of others. We encourage authors to share their data as far as licensing permits, and we will post such data on this website in data section below.
- Software and Code: Below we provide key software and code that may be of interest to researchers.
- Models: We have launched a model repository that can be found here.
Real-Time Macroeconomic Data
Macroeconomic data are frequently revised by statistical agencies; this can complicate quantitative analysis, because it means researchers today may have better information about past conditions than policymakers at the time did. Croushore & Stark (2001) and Orphanides (2001) highlight the importance of using real-time data when analyzing macroeconomic policy and outcomes.
The Federal Reserve Bank of Philadelphia maintains a well-documented database of real-time macroeconomic data vintages, available for free on their website.
Official Macroeconomic Data Sources
- Bank for International Settlements. The Bank for International Settlements (BIS) is an international organization of central banks that aims to increase cooperation and transparency among governments in the conduct of monetary policy. The BIS collects and disseminates a wide variety of international financial data, available here.
- Bureau of Economic Analysis. The Bureau of Economic Analysis (BEA) tabulates data on U.S. output, personal income, and balance of payments. Their data are available for download here.
- Bureau of Labor Statistics. The Bureau of Labor Statistics (BLS) collects and analyzes data on U.S. prices, unemployment, and working conditions. Their data are available for download here.
- Congressional Budget Office. The Congressional Budget Office (CBO) produces independent analyses of budgetary and economic issues to support the Congressional budget process. The agency is strictly nonpartisan and conducts objective analyses. Their data are available here.
- European Central Bank. The European Central Bank (ECB) is responsible for conducting monetary policy for the euro area—the world’s largest economy after the United States. The ECB maintains a Statistical Data Warehouse on its website, available here.
- Federal Reserve Board. The Federal Reserve Board (FRB) is the central governing body of the Federal Reserve System, which is responsible for conducting monetary policy in the U.S. The FRB collects and releases data on the U.S. Flow of Funds accounts, as well as various interest and exchange rates; their data are available here.
- Office of Financial Research. The Office of Financial Research (OFR) is a department of the U.S. Treasury created by the Dodd-Frank Act to improve the quality of financial data and facilitate analyses of the financial system. Their data standards page is here.
Software and Code
In a live MATLAB script, we use MFM’s toolbox (download here) to compute shock elasticities for Bansal and Yaron (2004). In the model, we transform two of the shocks to the macroeconomy in order that one is permanent and the other is transitory as in Hansen (2012). You can see how we perform the computations step by step, and the resulting plots illustrate that the recursive utility specification of investor preferences implies sizable compensations for the permanent shock even at short horizons in contrast to the power to the power utility model, in which the short-run compensations are small.
- MFR Suite provides a collection of Python modules for conducting analysis in macro-finance. In particular, it provides the model solution to the framework developed in Hansen, Khorrami, and Tourre (2018). In addition, it provides two independent modules to compute stationary density and shock elasticities (see Term Structure of Uncertainty in the Macroeconomy and Shock Elasticities and Impulse Responses).
To report issues or suggest improvements for the MFR Suite team, submit feedback here.
We would like to thank project associate Joseph Huang for developing the MFR Suite. We would like to gratefully acknowledge the Macro Financial Modeling project through the generous financial support from the Alfred P. Sloan Foundation and Fidelity Investments and to thank Amy Boonstra, former MFM Executive Director, for her unconditional support. For their feedback, we thank Yu-Ting Chiang (University of Chicago), Jian Li (University of Chicago), Simon Scheidegger (HEC Lausanne), Elisabeth Proehl (University of Amsterdam), and conference participants at the 2nd MMCN, PASC18, University of Zurich, Northwestern University, and participants at the Economic Dynamics Working Group at the University of Chicago. We also would like to thank the Research Computing Center at the University of Chicago (RCC) for their guidance on high performance computing, in particular Peter Carbonetto and Hossein Pourreza.
- Shock Elasticities by Borovicka, Hansen, and Scheinkman (Term Structure of Uncertainty in the Macroeconomy and Shock Elasticities and Impulse Responses). Jaroslav Borovicka, Lars Peter Hansen, and Jose Scheinkman construct shock elasticities which measure the contributions to the price and to the expected future cash flow from changes in the exposure to a shock in the next period. Currently there are two toolboxes based in MATLAB that compute shock elasticities. Jaroslav Borovicka’s toolbox can be used for locally smooth models and MFM’s toolbox can be applied to fundamentally nonlinear models.
- Smolyak Method by Judd, Maliar, Maliar and Valero. Kenneth L. Judd, Lilia Maliar, Serguei Maliar and Rafael Valero show efficient implementation of the Smolyak method that avoids costly evaluations of repeated basis functions used in the conventional Smolyak formula. Also, the conventional Smolyak method is extended to include anisotropic constructions and an adaptive domain. The code is illustrated by simple examples and is portable to other applications. A MATLAB code of the Smolyak method is provided for download.
- Epsilon distinguishable set (EDS) method and cluster grid algorithm (CGA) by Lilia Maliar and Serguei Maliar. Lilia Maliar and Serguei Maliar introduce epsilon distinguishable set (EDS) method and cluster grid algorithm (CGA) for solving dynamic economic models on the ergodic set and illustrate the application of the proposed methods in the context of one- and multi-sector dynamic stochastic general equilibrium (DSGE) models, Also, these methods are used to construct an accurate nonlinear solution to a medium-scale new Keynesian model with a zero lower bound on the nominal interest rate. The EDS and CGA codes are available for download.
- Systemic Risk Measures surveyed by Bisias, Flood, Lo, & Valavanis. Dimitrios Bisias, Mark Flood, Andrew Lo, and Stavros Valavanis survey over thirty quantitative measures of systemic risk, which were discussed at the 2012 September meeting of the MFM group. MATLAB code and its documentation for implementing these measures can be downloaded here.
- V-Lab. The Volatility Institute (V-Lab) provides real time measurement, modeling and forecasting of financial volatility, correlations and risk for a wide spectrum of assets. V-Lab blends together both classic models as well as some of the latest advances proposed in the financial econometrics literature. The aim of the website is to provide real time evidence on market dynamics for researchers, regulators, and practitioners. View here.
MFM is grateful for the generous contributions of leading scholars from around the world. For a full list of contributors, click below.
|Daron Acemoglu||Massachusetts Institute of Technology|
|Viral Acharya||New York University|
|Tobias Adrian||International Monetary Fund|
|Franklin Allen||University of Pennsylvania Wharton School|
|David Backus||New York University Stern School of Business|
|Anne Beatty||Ohio State University|
|Richard Berner||New York University|
|Javier Bianchi||University of Wisconsin-Madison|
|John Birge||University of Chicago Booth School of Business|
|Patrick Bolton||Columbia University|
|Richard Bookstaber||Office of Financial Research|
|Jaroslav Borovička||New York University|
|Nina Boyarchenko||Federal Reserve Bank of New York|
|Alberto Cavallo||Massachusetts Institute of Technology|
|Stephen G. Cecchetti||Bank for International Settlements|
|Ryan Chahrour||Boston College|
|Larry Christiano||Northwestern University|
|Rohan Churm||Bank of England|
|James Clouse||Federal Reserve Board|
|Rama Cont||Imperial College London|
|Sanmay Das||Washington University in St. Louis|
|Alessandro Dovis||Penn State University|
|Fernando Duarte||Federal Reserve Bank of New York|
|J. Doyne Farmer||University of Oxford and Santa Fe Institute|
|Kay Giesecke||Stanford University|
|Michael Gofman||Wisconsin School of Business|
|Jacob Goldfield||Stanford University|
|Benjamin Golub||Harvard University|
|Dale Gray||International Monetary Fund|
|Darryll Hendricks||UBS Investment Bank|
|Gerard Hoberg||University of Southern California|
|Peter Howitt||Brown University|
|Henry Hu||University of Texas|
|Urban Jermann||University of Pennsylvania Wharton School|
|Sujit Kapadia||Bank of England|
|Bryan T. Kelly||University of Chicago Booth School of Business|
|Andrei Kirilenko||Massachusetts Institute of Technology Sloan School of Management|
|Nataliya Klimenko||University of Zurich|
|Laura E. Kodres||International Monetary Fund|
|Christoffer Kok||European Central Bank|
|Arvind Krishnamurthy||Stanford University Graduate School of Business|
|Luc Laeven||European Central Bank|
|Karim Lakhani||Harvard University|
|Jennifer La’O||Columbia University|
|Christian Leuz||University of Chicago|
|Nellie Liang||Federal Reserve Board|
|Vasileios Madouros||Central Bank of Ireland|
|Serguei Maliar||Stanford University|
|Neil Mehrotra||Brown University|
|Jianjun Miao||Boston University|
|Christopher Palmer||University of California, Berkeley|
|Jonathan A. Parker||Massachusetts Institute of Technology Sloan School of Management|
|Thomas Philippon||New York University|
|Bluford Putnam||CME Group|
|Nikolai Roussanov||University of Pennsylvania|
|Stephen Ryan||New York University|
|Yuliy Sannikov||Princeton University|
|Karl Schmedders||University of Zurich|
|Frank Schweitzer||ETH Zürich|
|Akhtar Siddique||Office of the Comptroller of the Currency|
|Frank Smets||European Central Bank|
|Richard Stanton||University of California, Berkeley|
|Jeremy Stein||Harvard University|
|Alireza Tahbaz-Salehi||Columbia Business School, Columbia University|
|Nancy Wallace||Haas School of Business at University of California, Berkeley|
|Mark W. Watson||Princeton University|
|Volker Wieland||Goethe University Frankfurt|