Abstract

http://ssrn.com/abstract=1132332
 
 

References (22)



 
 

Citations (4)



 


 



Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach


Michelle T. Armesto


Federal Reserve Bank of St. Louis - Research Division

Ruben Hernandez-Murillo


Federal Reserve Bank of St. Louis - Research Division

Michael Owyang


Federal Reserve Bank of St. Louis - Research Division

Jeremy Piger


University of Oregon - Department of Economics

May 2008


Abstract:     
Studies of the predictive ability of the Federal Reserve's Beige Book, an anecdotal measure of regional economic conditions, for aggregate output and employment have proven inconclusive. This might be attributed, in part, to the irregular release schedule of the Beige Book. In this paper, we use a model that allows for data sampling at mixed frequencies to analyze the predictive power of the Beige Book for both aggregate and regional data. We find that the Beige Book's national summary and District reports predict GDP and aggregate employment and that most District reports provide information content for regional employment. In addition, there appears to be an asymmetry in the predictive content of the Beige Book language.

Number of Pages in PDF File: 30

Keywords: data sampling frequency, textual analysis, DICTION, Beige Book

JEL Classification: C50, E27, R11

working papers series


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Date posted: May 12, 2008  

Suggested Citation

Armesto, Michelle T. and Hernandez-Murillo, Ruben and Owyang, Michael and Piger, Jeremy, Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach (May 2008). Available at SSRN: http://ssrn.com/abstract=1132332 or http://dx.doi.org/10.2139/ssrn.1132332

Contact Information

Sharon Kay Van Stratton (Contact Author)
Federal Reserve Banks - Federal Reserve Bank of Saint Louis ( email )
411 Locust St
Saint Louis, MO 63011
United States
Michelle T. Armesto
Federal Reserve Bank of St. Louis - Research Division
411 Locust St
Saint Louis, MO 63011
United States
Ruben Hernandez-Murillo
Federal Reserve Bank of St. Louis - Research Division ( email )
441 Locust Street
Saint Louis, MO 63102
United States
314-444-8588 (Phone)
314-444-8731 (Fax)
Michael Owyang
Federal Reserve Bank of St. Louis - Research Division ( email )
411 Locust St
Saint Louis, MO 63011
United States
Jeremy M. Piger
University of Oregon - Department of Economics ( email )
Eugene, OR 97403
United States
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