DataPalooza 2022

Background • Beige books are released 8 times per year by each of the 12 Federal Reserve Districts • Released two weeks before the Federal Open Market Committee ( FOMC ) • Goal: Aid bank-examiners with a way to identify risk in a bank with more timely data • Create a high-risk predictive model based on asset deterioration (Texas Ratio) • Independent Variables • C apital, A sset quality, M anagement, E arnings, L iquidity, S ensitivity to market risk (CAMELS) Key Ratios • Beige Book Sentiment Score

Model Variables

• Capital, Asset Quality, Management, Earnings, Liquidity, and Sensitivity to market risk (CAMELS)

• Tier 1 Capital Ratio • Loan Loss Allowance • Efficiency Ratio • Net Non ‐ Core Funding Dependency Ratio • Long Term Assets to Total Assets • Texas Ratio (dependent variable)

• Sentiment Scores • Neutral (pct) • Positive (pct) • Negative (pct) • Economic

• GDP ‐ based recession indicator • Unemployment rate & YoY % change • CPI & YoY % change