Real-Time Measurement of Business Conditions, Second Version

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.

Number of Pages in PDF File: 28

Keywords: Business cycle, Expansion, Recession, State space model, Macroeconomic forecasting, Dynamic factor model, Contraction, Turning point

JEL Classification: E32,E37,C01,C22

working papers series