Soft information and economic activity: Evidence from the Beige Book
This study employs text-analysis software to analyze the contents of the Federal Reserve Beige Book summary of national economic and business conditions, with a particular focus on the predictive content of the text. We show that the Beige Book language is a good predictor of economic turning points as it often provides an early indication of future economic activities. During economic upswings, positive tone becomes more prominent and negative tone becomes less prominent. In addition, this study is the first to document that Beige Book tone affects stock market volatility and trading volume.
References listed on IDEAS
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.:
- Refet Gürkaynak & Brian P. Sack & Eric T. Swanson, 2004.
"Do actions speak louder than words? the response of asset prices to monetary policy actions and statements,"
Finance and Economics Discussion Series
2004-66, Board of Governors of the Federal Reserve System (U.S.).
- Refet S Gürkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
- Refet Gurkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," Macroeconomics 0504013, EconWPA.
- Gurkaynak, Refet S & Sack, Brian & Swanson, Eric T, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," MPRA Paper 820, University Library of Munich, Germany.
- Refet GÃ¼rkaynak & Brian Sack, 2005. "Do Actions Speak Louder Than Words?The Response of Asset Prices to Monetary Policy Actions and Statements," Computing in Economics and Finance 2005 323, Society for Computational Economics.
- 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.
- Nathan S. Balke & D'Ann M. Petersen, 1998. "How well does the Beige Book reflect economic activity? Evaluating qualitative information quantitatively," Working Papers 9802, Federal Reserve Bank of Dallas.
- Ronchetti, Elvezio, 1985. "Robust model selection in regression," Statistics & Probability Letters, Elsevier, vol. 3(1), pages 21-23, February.
- Don Harding & Adrian Pagan, 2000.
"Disecting the Cycle: A Methodological Investigation,"
Econometric Society World Congress 2000 Contributed Papers
1164, Econometric Society.
- Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
- James Doran & David Peterson & S. Price, 2012. "Earnings Conference Call Content and Stock Price: The Case of REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 402-434, August.
- Michelle T. Armesto & Rubén Hernández-Murillo & Michael T. Owyang & Jeremy Piger, 2009. "Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(1), pages 35-55, 02.
- Paul C. Tetlock, 2011. "All the News That's Fit to Reprint: Do Investors React to Stale Information?," Review of Financial Studies, Society for Financial Studies, vol. 24(5), pages 1481-1512.
- Madeline Zavodny & Donna K. Ginther, 2003.
"Does the Beige Book move financial markets?,"
FRB Atlanta Working Paper
2003-3, Federal Reserve Bank of Atlanta.
- Thomas Gilbert & Shimon Kogan & Lars Lochstoer & Ataman Ozyildirim, 2007.
"Investor Inattention and the Market Impact of Summary Statistics,"
GSIA Working Papers
2006-E24, Carnegie Mellon University, Tepper School of Business.
- Thomas Gilbert & Shimon Kogan & Lars Lochstoer & Ataman Ozyildirim, 2012. "Investor Inattention and the Market Impact of Summary Statistics," Management Science, INFORMS, vol. 58(2), pages 336-350, February.
- Donna K. Ginther & Madeline Zavodny, 2001. "The Beige Book: Timely information on the regional economy," Economic Review, Federal Reserve Bank of Atlanta, issue Q3, pages 19-29.
- Tim Loughran & Bill Mcdonald, 2011. "When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks," Journal of Finance, American Finance Association, vol. 66(1), pages 35-65, 02.
- Mitchel Y. Abolafia (ed.), 2005. "Markets," Books, Edward Elgar Publishing, number 2788, April.
- Mitchell, Mark L & Mulherin, J Harold, 1994. " The Impact of Public Information on the Stock Market," Journal of Finance, American Finance Association, vol. 49(3), pages 923-50, July.
- Paul C. Tetlock, 2007. "Giving Content to Investor Sentiment: The Role of Media in the Stock Market," Journal of Finance, American Finance Association, vol. 62(3), pages 1139-1168, 06.
- Paul C. Tetlock & Maytal Saar-Tsechansky & Sofus Macskassy, 2008. "More Than Words: Quantifying Language to Measure Firms' Fundamentals," Journal of Finance, American Finance Association, vol. 63(3), pages 1437-1467, 06.
When requesting a correction, please mention this item's handle: RePEc:eee:jmacro:v:37:y:2013:i:c:p:81-92. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.