Real-Time Measurement of Business Conditions

S. Borağan Aruoba · Francis X. Diebold · Chiara Scotti

31 citations0/0 files storedNational Bureau of Economic Research

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Statistical and numerical algorithms

Abstract

We construct a framework for measuring economic activity at high frequency, potentially in real time.We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering.We illustrate the framework in a prototype empirical example and a simulation study calibrated to the example.

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1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 2002Macroeconomic Forecasting Using Diffusion Indexes 1989New Indexes of Coincident and Leading Economic Indicators 1977Understanding business cycles 2008Nowcasting: The real-time informational content of macroeconomic data 2005The macroeconomy and the yield curve: a dynamic latent factor approach 1977Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory 2002A new coincident index of business cycles based on monthly and quarterly series

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