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Working Paper 2007-010B

"Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach"
by Michelle T. Armesto, Rubén Hernández-Murillo, Michael T. Owyang, and Jeremy M. Piger

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.

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Category > Applied Econometrics
Category > Regional Economics
Category > Monetary Policy/Macroeconomics
Author > Rubén Hernández-Murillo
Author > Michael T. Owyang
Research Papers and Publications: JEL Code > C50
Research Papers and Publications: JEL Code > E27
Research Papers and Publications: JEL Code > R11