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Author:Butters, R. Andrew 

Blog
A Closer Look at the Correlation Between Google Trends and Initial Unemployment Insurance Claims

Since the onset of the pandemic, there has been growing interest in tracking labor market activity with “big data” sources like Google Trends.1 Just as an example, one can track how the number of Google searches with the term unemployment office has changed over the past week for the Chicago metro area or explore how unemployment became one of the top searched issues across the U.S. during the early months of the pandemic here.
Chicago Fed Insights

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.
Working Paper Series , Paper WP-2010-07

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 Series , Paper WP-2016-5

Working Paper
Using the Eye of the Storm to Predict the Wave of Covid-19 UI Claims

We leverage an event-study research design focused on the seven costliest hurricanes to hit the US mainland since 2004 to identify the elasticity of unemployment insurance filings with respect to search intensity. Applying our elasticity estimate to the state-level Google Trends indexes for the topic “unemployment,” we show that out-of-sample forecasts made ahead of the official data releases for March 21 and 28 predicted to a large degree the extent of the Covid-19 related surge in the demand for unemployment insurance. In addition, we provide a robust assessment of the uncertainty ...
Working Paper Series , Paper WP 2020-10

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.
Economic Perspectives , Volume 35 , Issue Q I

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.
Economic Perspectives , Issue Q I , Pages 19-37

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.
Chicago Fed Letter , Issue Dec

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.
Chicago Fed Letter , Issue Apr

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.
Chicago Fed Letter , Issue June

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.
Economic Perspectives , Volume 34 , Issue Q III , Pages 83-100

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