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Newsletter
Using the Federal Reserve’s Beige Book to Track Economic Activity
This article provides the public a first look at a new set of indexes constructed from the Chicago Fed?s Beige Book survey, and describes their ability to track economic activity.
Working Paper
Forecasting Economic Activity with Mixed Frequency Bayesian VARs
Mixed frequency Bayesian vector autoregressions (MF-BVARs) allow forecasters to incorporate a large number of mixed frequency indicators into forecasts of economic activity. This paper evaluates the forecast performance of MF-BVARs relative to surveys of professional forecasters and investigates the influence of certain specification choices on this performance. We leverage a novel real-time dataset to conduct an out-of-sample forecasting exercise for U.S. real gross domestic product (GDP). MF-BVARs are shown to provide an attractive alternative to surveys of professional forecasters for ...
Working Paper
Gathering insights on the forest from the trees: a new metric for financial conditions
By incorporating the Harvey accumulator into the large approximate dynamic factor framework of Doz et al. (2006), we are able to construct a coincident index of financial conditions from a large unbalanced panel of mixed frequency financial indicators. We relate our financial conditions index, or FCI, to the concept of a "financial crisis" using Markov-switching techniques. After demonstrating the ability of the index to capture "crisis" periods in U.S. financial history, we present several policy-geared threshold rules for the FCI using Receiver Operator Characteristics (ROC) curve ...
Working Paper
Predicting Benchmarked US State Employment Data in Realtime
US payroll employment data come from a survey of nonfarm business establishments and are therefore subject to revisions. While the revisions are generally small at the national level, they can be large enough at the state level to substantially alter assessments of current economic conditions. Researchers and policymakers must therefore exercise caution in interpreting state employment data until they are "benchmarked" against administrative data on the universe of workers some 5 to 16 months after the reference period. This paper develops and tests a state space model that predicts ...
Journal Article
Monitoring financial stability: a financial conditions index approach
Monitoring financial stability requires an understanding of both how traditional and evolving financial markets relate to each other and how they relate to economic conditions. This article describes two new indexes of financial conditions that aim to quantify these relationships.
Working Paper
The Chicago Fed DSGE model
The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the Federal Reserve Bank of Chicago. This article describes its specification and estimation, its dynamic characteristics and how it is used to forecast the US economy. In many respects the model resembles other medium scale New Keynesian frameworks, but there are several features which distinguish it: the monetary policy rule includes forward guidance, productivity is driven by neutral and investment specific technical change, multiple price indices identify inflation and there ...
Newsletter
How does labor adjustment in this recession compare with the past?
The authors examine how firms are adjusting their work force during the current recession in comparison with other recessions over the past 40 years.
Newsletter
Tracking Detroit’s Economic Recovery After Bankruptcy with a New Index
This article presents evidence that Detroit?s economy is doing noticeably better than before the city filed for bankruptcy in July 2013. In order to track the city?s economic recovery following its bankruptcy, we use a new index that quantifies Detroit?s overall economic performance from 1998 to the present.
Newsletter
Using Private Sector “Big Data” as an Economic Indicator: The Case of Construction Spending
This Chicago Fed Letter provides an account of our collaboration with the construction contracts and payment management firm Textura to use their data to evaluate the state of U.S. construction spending. We show that new construction projects budgeted by Textura?s clients are a leading indicator for total U.S. construction spending and provide information beyond other already publicly available data.
Newsletter
The Chicago Fed National Activity Index and business cycles
This article discusses how the Chicago Fed National Activity Index?a monthly index designed to gauge economic activity and related inflationary pressures?can be used as an indicator of business cycle turning points.