Newsletter
Detecting early signs of financial instability
The authors analyze the usefulness of a new measure of nonfinancial leverage as an early warning indicator for financial instability and its consequences for economic growth.
AUTHORS: Butters, R. Andrew; Brave, Scott
DATE: 2012-12

Newsletter
Chicago Fed National Activity Index turns ten - analyzing its first decade of performance
This article discusses how the Chicago Fed National Activity Index has performed as a ?real-time? indicator of economic activity and related inflationary pressure.
AUTHORS: Butters, R. Andrew; Brave, Scott
DATE: 2010-04

Newsletter
Estimating the trend rate of economic growth using the CFNAI
This article shows how a new methodology for constructing the Chicago Fed National Activity Index (CFNAI) can be used to identify both the cyclical (medium-run) and trend (long-run) components of real gross domestic product (GDP) growth.
AUTHORS: Brave, Scott; Butters, R. Andrew
DATE: 2013-06

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 analysis.
AUTHORS: Brave, Scott; Butters, R. Andrew
DATE: 2010

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 forecasting GDP growth. However, certain specification choices such as model size and prior selection can affect their relative performance.
AUTHORS: Brave, Scott; Butters, R. Andrew; Justiniano, Alejandro
DATE: 2016-05-20

Journal Article
What is the relationship between large deficits and inflation in industrialized countries?
Examining industrialized countries, the authors find that large deficits are not associated with higher inflation contemporaneously, nor are they associated with the emergence of higher inflation in subsequent years. This finding suggests that countries that can afford large deficits have built solid reputations and institutions supporting a sound monetary policy and the reversion to a stable fiscal regime.
AUTHORS: Bassetto, Marco; Butters, R. Andrew
DATE: 2010-07

Journal Article
Preannounced tax cuts and their potential influence on the 2001 recession
The authors present a model in which anticipated future tax cuts, like those promised during the 2000 U.S. presidential campaign, generate a contraction in economic activity with some of the atypical features observed during the 2001 recession (such as its relatively strong consumption and home investment).
AUTHORS: Butters, R. Andrew; Veracierto, Marcelo
DATE: 2009-07

Journal Article
A New “Big Data” Index of U.S. Economic Activity
The authors present a new ?big data? index of U.S. economic activity that can be used to track business and inflation cycles in real time and estimate monthly real gross domestic product growth.
AUTHORS: Brave, Scott A.; Butters, R. Andrew; Kelley, David
DATE: 2019

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.
AUTHORS: Brave, Scott; Butters, R. Andrew
DATE: 2011-01

Journal Article
Nowcasting Using the Chicago Fed National Activity Index
The authors present an alternative version of the Chicago Fed National Activity Index (CFNAI), which is constructed using a methodology that allows for a more robust treatment of the underlying data series than its traditional methodology. This alternative CFNAI produces superior predictions of real gross domestic product growth for the current quarter (nowcasts) while correlating more closely with U.S. recessions than the traditional index.
AUTHORS: Brave, Scott; Butters, R. Andrew
DATE: 2014-01