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Working Paper
Internal Migration in the United States: A Comparative Assessment of the Utility of the Consumer Credit Panel
Whitaker, Stephan; Johnson, Janna; DeWaard, Jack (2018-03-23)
This paper demonstrates that credit bureau data, such as the Federal Reserve Bank of New York Consumer Credit Panel/Equifax (CCP), can be used to study internal migration in the United States. It is comparable to, and in some ways superior to, the standard data used to study migration, including the American Community Survey (ACS), the Current Population Survey (CPS), and the Internal Revenue Service (IRS) county-to-county migration data. CCP-based estimates of migration intensity, connectivity, and spatial focusing are similar to estimates derived from the ACS, CPS, and IRS data. The CCP can ...
Working Papers (Old Series) , Paper 1804

Report
Economic predictions with big data: the illusion of sparsity
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. (2018-04-01)
We compare sparse and dense representations of predictive models in macroeconomics, microeconomics, and finance. To deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The posterior distribution does not typically concentrate on a single sparse or dense model, but on a wide set of models. A clearer pattern of sparsity can only emerge when models of very low dimension are strongly favored a priori.
Staff Reports , Paper 847

Working Paper
Forecasting Consumption Spending Using Credit Bureau Data
Croushore, Dean; Wilshusen, Stephanie M. (2020-06-04)
This paper considers whether the inclusion of information contained in consumer credit reports might improve the predictive accuracy of forecasting models for consumption spending. To investigate the usefulness of aggregate consumer credit information in forecasting consumption spending, this paper sets up a baseline forecasting model. Based on this model, a simulated real-time, out-of-sample exercise is conducted to forecast one-quarter ahead consumption spending. The exercise is run again after the addition of credit bureau variables to the model. Finally, a comparison is made to test ...
Working Papers , Paper 20-22

Working Paper
A Generalized Factor Model with Local Factors
Freyaldenhoven, Simon (2019-04-19)
I extend the theory on factor models by incorporating local factors into the model. Local factors only affect an unknown subset of the observed variables. This implies a continuum of eigenvalues of the covariance matrix, as is commonly observed in applications. I derive which factors are pervasive enough to be economically important and which factors are pervasive enough to be estimable using the common principal component estimator. I then introduce a new class of estimators to determine the number of those relevant factors. Unlike existing estimators, my estimators use not only the ...
Working Papers , Paper 19-23

Working Paper
Investing in the Batteries and Vehicles of the Future: A View Through the Stock Market
Plante, Michael D. (2023-09-26)
A large number of companies operating in the EV and battery supply chain have listed on a major U.S. stock exchange in recent years. This paper investigates 1) how these companies’ stock returns are related to systematic risk factors that can explain movements in the stock market and 2) how these companies’ idiosyncratic returns are related to one another. To do so, I compile a unique data set of intradaily stock returns that spans the supply chain, including companies focused on the mining of battery and EV-related critical minerals, advanced battery technology, lithium-ion battery ...
Working Papers , Paper 2314

Working Paper
The Transmission of Financial Shocks and Leverage of Financial Institutions: An Endogenous Regime-Switching Framework
Waggoner, Daniel F.; Hubrich, Kirstin (2022-06-02)
We conduct a novel empirical analysis of the role of leverage of financial institutions for the transmission of financial shocks to the macroeconomy. For that purpose, we develop an endogenous regime-switching structural vector autoregressive model with time-varying transition probabilities that depend on the state of the economy. We propose new identification techniques for regime switching models.Recently developed theoretical models emphasize the role of bank balance sheets for the build-up of financial instabilities and the amplification of financial shocks. We build a market-based ...
FRB Atlanta Working Paper , Paper 2022-5

Working Paper
Technological Innovation in Mortgage Underwriting and the Growth in Credit: 1985-2015
Foote, Christopher L.; Loewenstein, Lara; Willen, Paul S. (2018-12-07)
The application of information technology to finance, or ?fintech,? is expected to revolutionize many aspects of borrowing and lending in the future, but technology has been reshaping consumer and mortgage lending for many years. During the 1990s computerization allowed mortgage lenders to reduce loan-processing times and largely replace human-based assessment of credit risk with default predictions generated by sophisticated empirical models. Debt-to-income ratios at origination add little to the predictive power of these models, so the new automated underwriting systems allowed higher ...
Working Papers (Old Series) , Paper 1816

Report
Macroeconomic nowcasting and forecasting with big data
Tambalotti, Andrea; Sbordone, Argia M.; Giannone, Domenico; Bok, Brandyn; Caratelli, Daniele (2017-11-01)
Data, data, data . . . Economists know it well, especially when it comes to monitoring macroeconomic conditions the basis for making informed economic and policy decisions. Handling large and complex data sets was a challenge that macroeconomists engaged in real-time analysis faced long before big data? became pervasive in other disciplines. We review how methods for tracking economic conditions using big data have evolved over time and explain how econometric techniques have advanced to mimic and automate the best practices of forecasters on trading desks, at central banks, and in other ...
Staff Reports , Paper 830

Working Paper
Common and Idiosyncratic Inflation
Luciani, Matteo (2020-03-05)
We use a dynamic factor model to disentangle changes in prices due to economy-wide (common) shocks, from changes in prices due to idiosyncratic shocks. Using 146 disaggregated individual price series from the U.S. PCE price index, we find that most of the fluctuations in core PCE prices observed since 2010 have been idiosyncratic in nature. Moreover, we find that common core inflation responds to economic slack, while the idiosyncratic component does not. That said, even after filtering out idiosyncratic factors, the estimated Phillips curve is extremely flat post-1995. Therefore, our ...
Finance and Economics Discussion Series , Paper 2020-024

Working Paper
The U.S. Syndicated Loan Market: Matching Data
Sicilian, Martin; Shaton, Maya; Hayes, William; Friedrichs, Melanie; Gupta, Kamran; Mislang, Nathan; Lee, Seung Jung; Cohen, Gregory J.; Marsh, W. Blake (2018-12-03)
We introduce a new software package for determining linkages between datasets without common identifiers. We apply these methods to three datasets commonly used in academic research on syndicated lending: Refinitiv LPC DealScan, the Shared National Credit Database, and S&P Global Market Intelligence Compustat. We benchmark the results of our match using results from the literature and previously matched files that are publicly available. We find that the company level matching is enhanced by careful cleaning of the data and considering hierarchical relationships. For loan level matching, a ...
Research Working Paper , Paper RWP 18-9

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