American Economic Review: Insights
ISSN 2640-205X (Print) | ISSN 2640-2068 (Online)
Clearing the Fog: The Predictive Power of Weather for Employment Reports and Their Asset Price Responses
American Economic Review: Insights
vol. 1,
no. 3, December 2019
(pp. 373–88)
Abstract
This paper exploits vast granular data—with over one million county-month observations—to estimate a dynamic panel data model of weather's local employment effects. The fitted county model is then aggregated and used to generate in-sample and rolling out-of-sample (nowcast) estimates of the weather effect on national monthly employment. These nowcasts, which use only employment and weather data available prior to a given employment report, are significantly predictive not only of the surprise component of employment reports but also of stock and bond market returns on the days of employment reports.Citation
Wilson, Daniel J. 2019. "Clearing the Fog: The Predictive Power of Weather for Employment Reports and Their Asset Price Responses." American Economic Review: Insights, 1 (3): 373–88. DOI: 10.1257/aeri.20180432Additional Materials
JEL Classification
- C53 Forecasting Models; Simulation Methods
- G12 Equities; Fixed Income Securities
- G17 Financial Forecasting and Simulation
- H63 National Debt; Debt Management; Sovereign Debt
- Q54 Climate; Natural Disasters and Their Management; Global Warming
- R23 Urban, Rural, Regional, Real Estate, and Transportation Economics: Regional Migration; Regional Labor Markets; Population; Neighborhood Characteristics