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Journal Article
Two new indexes offer a broad view of economic activity in the New York - New Jersey region
The authors develop two coincident indexes that provide a comprehensive measure of economic activity in New Jersey, New York State, and New York City.
Journal Article
The 2001 recession and the Chicago Fed National Index: identifying business cycle turning points
The initial release of the Chicago Fed National Activity Index (CFNAI) in early 2001 pointed to the very real possibility that the U.S. economy was teetering on the brink of recession. This article quantifies the statistical ability of the CFNAI to act as an early warning indicator of economic recessions. In simulation experiments, the CFNAI performed virtually as well as the statistical model's ideal measure of the business cycle.
Report
Is there an S&P 500 index effect?
We find that the firms included in the S&P 500 index are characterized by large increases in earnings, appreciation in market value, and positive price momentum in the period preceding their index inclusion. This strong preinclusion performance predicts 1) the permanent increase of market value and 2) the change in return comovement, reflected in declines of size, value, and momentum betas, following index inclusion. Nonevent firms with similar performance experience similar appreciation in value and changes in comovement coincident with the event firms. Contrary to the consensus in the ...
Journal Article
Problems measuring prices
Journal Article
Leading economic indexes for New York State and New Jersey
The authors develop indexes of leading economic indicators for New York State and New Jersey over the 1972-99 period. They find that the leading indexes convey useful information about the future course of economic activity in both states. The authors then construct separate indexes to forecast recessions and expansions in each state. The movements of the recession and expansion indexes are found to display a close relationship with the behavior of the leading indexes. Accordingly, the recession and expansion indexes allow the authors to extend the informational content of the leading indexes ...
Journal Article
Which inflation rate?
Journal Article
Economic statistics: new needs for the twenty-first century
Selected Papers from a Conference Cosponsored by the Federal Reserve Bank of New York, the Conference on Research in Income and Wealth, and the National Association for Business Economics, July 11, 2002. Beverly Hirtle examines the market risk capital figures reported to regulators by U.S. bank holding companies (BHCs) to assess the extent to which such disclosures provide meaningful information about bank risk. The study by Michael J. Fleming finds that the commonly used bid-ask spread--the difference between bid and offer prices--is a useful tool for assessing and tracking liquidity in the ...
Journal Article
Measuring inflation
Journal Article
Taking the pulse of the tech sector: a coincident index of high-tech activity
A new index of the U.S. high-tech sector, drawing upon a range of technology-specific data, has the potential to offer a more timely assessment of economic activity than has been possible to date. The index suggests that while the tech sector has rebounded from its poor performance in the 2000-01 "tech bust," it has not resumed its rapid expansion of the late 1990s.
Journal Article
Revising the Texas index of leading indicators
The Texas Leading Index (TLI), produced monthly by the Federal Reserve Bank of Dallas, combines eight measures that tend to anticipate changes in the Texas business cycle by about three to nine months.. ; The TLI was first published in the Dallas Fed?s Economic Review in July 1988. The index?s approaching 20th anniversary provides an apt occasion to review its real-time performance and look at ways it might be improved to keep up with the changing structure of the Texas economy and the availability of new data sources. ; We find that the TLI performed well in the one recession since 1990 and, ...