1538-4616/asset/bannerforeground.gif?v=1&s=7b7e290b64b973f7aa111e874a898985654720de)
Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach
Article first published online: 22 JAN 2009
DOI: 10.1111/j.1538-4616.2008.00186.x
© 2009 The Ohio State University
Additional Information
How to Cite
ARMESTO, M. T., HERNÁNDEZ-MURILLO, R., OWYANG, M. T. and PIGER, J. (2009), Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach. Journal of Money, Credit and Banking, 41: 35–55. doi: 10.1111/j.1538-4616.2008.00186.x
Publication History
- Issue published online: 22 JAN 2009
- Article first published online: 22 JAN 2009
- Received May 22, 2007; and accepted in revised form July 18, 2008.
- Abstract
- Article
- References
- Cited By
Keywords:
- C50;
- E27;
- R11
- data sampling frequency;
- textual analysis;
- DICTION;
- Beige Book
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.