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

被引：28

作者：

Armesto, Michelle T. ^{[1
]}

Hernandez-Murillo, Ruben ^{[1
]}

Owyang, Michael T. ^{[1
]}

Piger, Jeremy ^{[2
]}

机构：

[1] Fed Reserve Bank St Louis, St Louis, MO USA

[2] Univ Oregon, Eugene, OR 97403 USA

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2009年 / 41卷 / 01期

关键词：

C50; E27; R11; data sampling frequency; textual analysis; DICTION; Beige Book; LEADERSHIP; MEDIA;

D O I：

10.1111/j.1538-4616.2008.00186.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：35 / 55

页数：21

共 22 条

[1]

[Anonymous], 2004, 2004S20 CIRANO

[2] How well does the beige book reflect economic activity? Evaluating qualitative information quantitatively [J].