High-frequency Data and Real Economic Activity
Saturday, Jan. 5, 2019 2:30 PM - 4:30 PM
- Chair: Andrew H. McCallum, Federal Reserve Board
The Self-Constrained Hand-to-Mouth
AbstractThis paper examines the response of food expenditures to the receipt of paychecks using financial account data from a personal finance app. Similar to previous studies, this paper finds that food expenditures increase during the week the paycheck is received. While the standard explanation for this result is temporary liquidity constraints, this paper argues otherwise. Intuitively, it's unlikely that individuals will be liquidity constrained during the weeks they receive their paycheck. Therefore, their decision to spend more during weeks in which they have more liquidity likely reflects preferences and not constraints. The intuition is formalized through specifying a buffer stock model of consumption. Model simulations show that indeed consumption behavior is not affected by liquidity during the week the paycheck is received. The empirical results match the theoretical predictions and confirm that temporary liquidity constraints cannot explain excess sensitivity to regular paychecks.
Weekly Payroll Employment Data for the United States
AbstractThis paper examines new weekly employment series based on payroll processor microdata covering one fifth of U.S. private employment. These series provide very high frequency information about a large segment of the labor market, potentially complementing more well-known labor market indicators. We document several interesting features of the data. First, the seasonal fluctuations are generally similar to comparable BLS series, though with some important deviations that may be related to end-of-year bonuses. We also document within-month cycles, where employment grows more quickly at the start of most months and weakens later in the month. Second, we show a strong relationship between our weekly series and weekly unemployment insurance claims, which suggests some forecasting power. Third, we study the impact of time aggregation on the measurement of employment inaction, which is relevant for fitting models with non-convex adjustment costs. Finally, we explore whether the weekly data have any additional forecasting power for official employment releases once monthly data have been accounted for.
Fast Adjustment to Exchange Rate Shocks
AbstractWe use the universe of U.S. international trade observed at the daily frequency to document how quickly exchange rate shocks pass-through to trade quantities and trade prices. By focusing on large, unanticipated exchange rate shocks and daily trade flows, our specifications do not face the same challenges as typical exchange rate pass-through regressions. Our results provide new evidence about the degree and speed of pass-through. We close with a discussion of the implications these results have for macroeconomic models.
- E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy
- F4 - Macroeconomic Aspects of International Trade and Finance