Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions

17 Pages Posted: 12 Jan 2010 Last revised: 17 Jan 2010

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)

Multiple version iconThere are 3 versions of this paper

Date Written: January 8, 2010

Abstract

We sketch a framework for monitoring macroeconomic activity in real-time and push it in new directions. In particular, we focus not only on real activity, which has received most attention to date, but also on inflation and its interaction with real activity. As for the recent recession, we find that (1) it likely ended around July 2009; (2) its most extreme aspects concern a real activity decline that was unusually long but less unusually deep, and an inflation decline that was unusually deep but brief; and (3) its real activity and inflation interactions were strongly positive, consistent with an adverse demand shock.

Keywords: Nowcasting, Prices, Wages, Business cycle, Expansion, Contraction, Recession, Turning point, State-space model, Dynamic factor model

JEL Classification: E31, E32, E37, C01, C22

Suggested Citation

Aruoba, S. Boragan and Diebold, Francis X., Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions (January 8, 2010). PIER Working Paper No. 10-002, Available at SSRN: https://ssrn.com/abstract=1534675 or http://dx.doi.org/10.2139/ssrn.1534675

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/

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