On the Real-Time Predictive Content of Financial Conditions Indices for Growth

Aaron Amburgey and Michael McCracken

No 2022-003, Working Papers from Federal Reserve Bank of St. Louis

Abstract: We provide evidence on the real-time predictive content of the National Financial Conditions Index (NFCI), for conditional quantiles of U.S. real GDP growth. Our work is distinct from the literature in two specific ways. First, we construct (unofficial) real-time vintages of the NFCI. This allows us to conduct out-of-sample analysis without introducing the kind of look-ahead biases that are naturally introduced when using a single current vintage. We then develop methods for conducting asymptotic inference on tests of equal tick loss between nested quantile regression models when the data are subject to revision. We conclude by evaluating the real-time predictive content of NFCI vintages for quantiles of real GDP growth. While our results largely reinforce the literature, we find gains to using real-time vintages leading up to recessions — precisely when policymakers need such a monitoring device.

Keywords: out-of-sample forecasts; real-time data; quantiles (search for similar items in EconPapers)
JEL-codes: C12 C32 C38 C52 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2022-01-18, Revised 2022-06-03
New Economics Papers: this item is included in nep-fdg, nep-his and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://s3.amazonaws.com/real.stlouisfed.org/wp/2022/2022-003.pdf Full text (application/pdf)

Related works:
Journal Article: On the real‐time predictive content of financial condition indices for growth (2023)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedlwp:93642

Ordering information: This working paper can be ordered from
subscribe@stls.frb.org

DOI: 10.20955/wp.2022.003

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of St. Louis Contact information at EDIRC.
Bibliographic data for series maintained by Scott St. Louis (scott.stlouis@stls.frb.org).