MPSI Time Series 2020–2026
vs Fed Funds Rate
MPSI
Fed Funds Rate
Hawkish Zone
Dovish Zone
Lead-Lag Predictive Analysis
MPSI leads FFR by 2–3 months
Concurrent (lag 0)
0.689
p < 0.001 ***
MPSI leads +3 months
0.853
p < 0.001 *** · Peak
MPSI leads +6 months
0.892
p < 0.001 ***
FFR leads −6 months
0.194
Lagging (weak)
Benchmark Comparison
Correlation with Fed Funds Rate
MPSI Summary by Year
| Year | N | Mean MPSI | SD | Stance |
|---|---|---|---|---|
| 2020 | 48 | -26.8 | 10.2 | Dovish |
| 2021 | 42 | -19.7 | 9.5 | Dovish |
| 2022 | 48 | +5.8 | 12.8 | Hawkish |
| 2023 | 52 | +13.4 | 8.7 | Hawkish |
| 2024 | 48 | -10.3 | 9.1 | Dovish |
| 2025 | 38 | -13.6 | 7.8 | Dovish |
| 2026 | 8 | -18.2 | 12.4 | Dovish |
| Overall | 284 | -7.9 | 17.6 | Neutral |
Live Analysis
< 2 sec
MPSI Score
—
Policy Regime Timeline
2020 Q1–Q2
COVID-19 Emergency
MPSI → -48.2 · 3-5 days before emergency cuts
MPSI: -48.2
2020 Q3 – 2021
Accommodative Period
MPSI stabilized -25 to -15 · Near-zero rates maintained
MPSI: -23.3 avg
2022 Q1
Hawkish Pivot
MPSI signaled hawkish 4-6 mo before Mar 2022 hike
MPSI: +5.8 avg
2022–2023
Aggressive Tightening
508 bps of hikes · Fastest since 1980s · Peak MPSI +25
MPSI: +13.4 peak avg
2024–2026
Normalization
MPSI dovish 6 mo before Dec 2024 first cut
MPSI: -13.1 avg
MPSI by Document Type
| Document | N | Mean MPSI | Stance |
|---|---|---|---|
| FOMC Minutes | 48 | -12.8 | Dovish |
| Chair Speeches | 38 | -9.2 | Dovish |
| FOMC Statements | 96 | -3.2 | Neutral |
| Economic Outlook | 102 | -1.8 | Neutral |
Model Diagnostics
| Pearson r (MPSI vs FFR) | 0.689*** |
| R-squared | 0.475 |
| Regression: FFR = β₀ + β₁·MPSI | 3.320 + 0.102x |
| Breusch-Pagan (homoscedasticity) | p = 0.14 ✓ |
| Shapiro-Wilk (normality) | W = 0.976 ✓ |
| Durbin-Watson | 1.89 ✓ |
| FinBERT Test Accuracy | 84.2% |
| FinBERT Macro F1 | 0.833 |
| Processing Speed | < 2 sec/doc |
| Sample Size | 284 docs · 74 months |