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

Michelle T. Armesto, Rubén Hernández‐murillo, Michael Owyang and Jeremy Piger
Authors registered in the RePEc Author Service: Ruben Hernandez-Murillo

Journal of Money, Credit and Banking, 2009, vol. 41, issue 1, 35-55

Abstract: Studies of the predictive ability of the Federal Reserve's Beige Book for aggregate output and employment have proven inconclusive. This might be attributed, in part, to its irregular release schedule. We use a model that allows for data sampling at mixed frequencies to analyze the predictive power of the Beige Book. 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.

Date: 2009
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Citations: View citations in EconPapers (13)

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https://doi.org/10.1111/j.1538-4616.2008.00186.x

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Journal Article: Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:41:y:2009:i:1:p:35-55

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