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

30 Pages Posted: 12 May 2008

See all articles by Michelle T. Armesto

Michelle T. Armesto

Federal Reserve Bank of St. Louis - Research Division

Ruben Hernandez-Murillo

Federal Reserve Banks - Federal Reserve Bank of Cleveland

Michael Owyang

Federal Reserve Bank of St. Louis - Research Division

Jeremy Piger

University of Oregon - Department of Economics

Date Written: 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.

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

JEL Classification: C50, E27, R11

Suggested Citation

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

Sharon Kay Van Stratton (Contact Author)

Federal Reserve Banks - Federal Reserve Bank of St. 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 Banks - Federal Reserve Bank of Cleveland ( email )

East 6th & Superior
Cleveland, OH 44101-1387
United States

Michael T. 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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