Measuring Real Activity Using a Weekly Economic Index

25 Pages Posted: 14 Apr 2020 Last revised: 14 Sep 2020

See all articles by Daniel J. Lewis

Daniel J. Lewis

Federal Reserve Banks - Federal Reserve Bank of New York

Karel Mertens

Federal Reserve Banks - Federal Reserve Bank of Dallas

James H. Stock

Harvard University - Department of Economics; National Bureau of Economic Research (NBER); Harvard University - Harvard Kennedy School (HKS)

Mihir Trivedi

Federal Reserve Banks - Federal Reserve Bank of New York

Multiple version iconThere are 2 versions of this paper

Date Written: April 1, 2020

Abstract

This paper describes a weekly economic index (WEI) developed to track the rapid economic developments associated with the onset of and policy response to the novel coronavirus in the United States. The WEI is a weekly composite index of real economic activity, with eight of ten series available the Thursday after the end of the reference week. In addition to being a weekly real activity index, the WEI has strong predictive power for output measures and provided an accurate nowcast of current-quarter GDP growth in the first half of 2020. We document how the WEI responded to key events and data releases during the first six months of the pandemic.

Keywords: weekly economic index, high frequency, measurement of economic activity, forecasting

JEL Classification: C51, E01, E66

Suggested Citation

Lewis, Daniel J. and Mertens, Karel and Stock, James H. and Trivedi, Mihir, Measuring Real Activity Using a Weekly Economic Index (April 1, 2020). FRB of New York Staff Report No. 920, April 2020, Available at SSRN: https://ssrn.com/abstract=3574732 or http://dx.doi.org/10.2139/ssrn.3574732

Daniel J. Lewis (Contact Author)

Federal Reserve Banks - Federal Reserve Bank of New York ( email )

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Karel Mertens

Federal Reserve Banks - Federal Reserve Bank of Dallas ( email )

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Dallas, TX 75265-5906
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James H. Stock

Harvard University - Department of Economics ( email )

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National Bureau of Economic Research (NBER)

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Harvard University - Harvard Kennedy School (HKS) ( email )

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Mihir Trivedi

Federal Reserve Banks - Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

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