Search Results

SORT BY: PREVIOUS / NEXT
Author:Butters, R. Andrew 

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

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

Initial UI Claims and Google Trends in the Post-Pandemic Era

Initial unemployment insurance (UI) claims are a weekly measure from the U.S. Department of Labor of how many new people have filed for unemployment benefits. A well-known leading indicator and one of the few official statistics released at a weekly frequency, initial UI claims are carefully monitored by economists for signs of turning points in economic activity. That said, they are at best an imperfect measure of turning points for several reasons: The information comes out with a lag, it is sensitive to changing seasonal patterns, and it is subject to revision. Given these challenges, ...
Chicago Fed Insights

Working Paper
The perils of working with Big Data and a SMALL framework you can use to avoid them

The use of “Big Data” to explain fluctuations in the broader economy or guide the business decisions of a firm is now so commonplace that in some instances it has even begun to rival more traditional government statistics and business analytics. Big data sources can very often provide advantages when compared to these more traditional data sources, but with these advantages also comes the potential for pitfalls. We lay out a framework called SMALL that we have developed in order to help interested parties as they navigate the big data minefield. Based on a set of five questions, the SMALL ...
Working Paper Series , Paper WP-2020-35

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 Series , Paper WP-2010-07

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

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

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

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.
Economic Perspectives , Issue 1 , Pages 1-30

FILTER BY year

FILTER BY Bank

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

C53 7 items

H12 3 items

J65 3 items

C32 2 items

C55 2 items

C80 2 items

show more (4)

FILTER BY Keywords

PREVIOUS / NEXT