Premium
Incorporating the Beige Book into a Quantitative Index of Economic Activity
Author(s) -
Balke Nathan S.,
Fulmer Michael,
Zhang Ren
Publication year - 2017
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.2450
Subject(s) - quantitative analysis (chemistry) , index (typography) , measure (data warehouse) , order (exchange) , quantitative assessment , analytics , econometrics , economic indicator , computer science , economics , data science , data mining , statistics , mathematics , macroeconomics , world wide web , chemistry , finance , chromatography
We apply customized text analytics to the written description of economic activity contained in the Beige Book (BB) in order to obtain a quantitative measure of current economic conditions. This quantitative BB measure is then incorporated into a dynamic factor index model that also contains other commonly used quantitative economic data. We find that at the time the BB is released it has information about current economic activity not contained in other quantitative data. This informational advantage is relatively short lived. By 3 weeks after their release date, ‘old’ BBs contain little additional information about economic activity not already contained in other quantitative data. Copyright © 2016 John Wiley & Sons, Ltd.