Real-Time Measurement of Business Conditions

36 Pages Posted: 22 Sep 2007

See all articles by S. Borağan Aruoba

S. Borağan Aruoba

University of Maryland - Department of Economics

Francis X. Diebold

University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

Chiara Scotti

Board of Governors of the Federal Reserve System

Multiple version iconThere are 3 versions of this paper

Date Written: August 2007

Abstract

We construct a framework for measuring economic activity in real time (e.g., minute-by-minute), using a variety of stock and flow data observed at mixed frequencies. Specifically, we propose a dynamic factor model that permits exact filtering, and we explore the efficacy of our methods both in a simulation study and in a detailed empirical example.

Keywords: Import prices, Export prices, Trade balance, Marshall-Lerner condition, DGE model

JEL Classification: E32, E37, C01, C22

Suggested Citation

Aruoba, S. Boragan and Diebold, Francis X. and Scotti, Chiara, Real-Time Measurement of Business Conditions (August 2007). FRB International Finance Discussion Paper No. 901, PIER Working Paper No. 07-028, Available at SSRN: https://ssrn.com/abstract=1016059 or http://dx.doi.org/10.2139/ssrn.1016059

S. Boragan Aruoba (Contact Author)

University of Maryland - Department of Economics ( email )

College Park, MD 20742
United States
301-405-3508 (Phone)
301-405-3542 (Fax)

Francis X. Diebold

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States
215-898-1507 (Phone)
215-573-4217 (Fax)

HOME PAGE: http://www.ssc.upenn.edu/~fdiebold/

National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
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Chiara Scotti

Board of Governors of the Federal Reserve System ( email )

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Washington, DC 20551
United States

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