Identifying asymmetry in the language of the Beige Book: a mixed data sampling approach
AbstractStudies 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 predicts GDP and aggregate employment, but that the information content in the district reports for regional employment is mixed. In addition, there appears to be an asymmetry in the predictive content of the Beige Book language. At the national level, pessimistic language in the national summary reflects the underlying business cycle phase, while optimistic language is informative for higher frequency fluctuations. At the district level, the reverse is true; pessimistic language reflects sharp, temporary economic fluctuations.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Federal Reserve Bank of St. Louis in its series Working Papers with number 2007-010.
Date of creation: 2007
Date of revision:
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Angela K. Davis & Jeremy M. Piger & Lisa M. Sedor, 2006. "Beyond the numbers: an analysis of optimistic and pessimistic language in earnings press releases," Working Papers 2006-005, Federal Reserve Bank of St. Louis.
- David Fettig & Arthur J. Rolnick & David E. Runkle, 1999. "The Federal Reserve's Beige Book: A better mirror than crystal ball," The Region, Federal Reserve Bank of Minneapolis, issue Mar, pages 10-13,28-32.
- Rubén Hernández-Murillo & Michael T. Owyang, 2004.
"The information content of regional employment data for forecasting aggregate conditions,"
2004-005, Federal Reserve Bank of St. Louis.
- Hernandez-Murillo, Ruben & Owyang, Michael T., 2006. "The information content of regional employment data for forecasting aggregate conditions," Economics Letters, Elsevier, vol. 90(3), pages 335-339, March.
- Nathan S. Balke & D'Ann Petersen, 1998.
"How well does the Beige Book reflect economic activity? Evaluating qualitative information quantitatively,"
9802, Federal Reserve Bank of Dallas.
- Balke, Nathan S & Petersen, D'Ann, 2002. "How Well Does the Beige Book Reflect Economic Activity? Evaluating Qualitative Information Quantitatively," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(1), pages 114-36, February.
- Franklin D. Berger & Keith R. Phillips, 1995. "A new quarterly output measure for Texas," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q III, pages 16-23.
- Madeline Zavodny & Donna K. Ginther, 2005.
"Does the Beige Book Move Financial Markets?,"
Southern Economic Journal,
Southern Economic Association, vol. 72(1), pages 138â151, July.
- Nathan S. Balke & Mine K. Yücel, 2000. "Evaluating the Eleventh District's Beige Book," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q IV, pages 2-10.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anna Xiao).
If references are entirely missing, you can add them using this form.