Real-Time Measurement of Business Conditions, Second Version

28 Pages Posted: 4 Apr 2008

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

Date Written: April 4, 20008

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.

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

JEL Classification: E32,E37,C01,C22

Suggested Citation

Aruoba, S. Boragan and Diebold, Francis X. and Scotti, Chiara, Real-Time Measurement of Business Conditions, Second Version (April 4, 20008). PIER Working Paper No. 08-011, Available at SSRN: https://ssrn.com/abstract=1116685 or http://dx.doi.org/10.2139/ssrn.1116685

S. Boragan Aruoba

University of Maryland - Department of Economics ( email )

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

Francis X. Diebold (Contact Author)

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)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Chiara Scotti

Board of Governors of the Federal Reserve System ( email )

20th St. and Constitution Ave.
Washington, DC 20551
United States

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