WIFO Working Papers

Discussion papers by WIFO staff, consultants and guests – As of 2006 available online only – Free download

WIFO Working Papers are not peer reviewed and are not necessarily based on a coordinated position of WIFO. The authors were informed about the Guidelines for Good Scientific Practice of the Austrian Agency for Research Integrity (ÖAWI), in particular with regard to the documentation of all elements necessary for the replicability of the results.

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Philipp Wegmüller, Christian Glocker, Valentino Guggia
Weekly Economic Activity: Measurement and Informational Content
WIFO Working Papers, 2021, (627), 33 pages
Online since: 14.04.2021 0:00
We construct a composite index to measure real activity of the Swiss economy on a weekly frequency. The index is based on a novel high-frequency data-set capturing economic activity across distinct dimensions over a long-time horizon. An adequate adjustment of raw data prior to deriving the latent factor is crucial for obtaining precise business cycle signals. By means of a real-time evaluation, we highlight the importance of our proposed adjustment procedure: first, our weekly index significantly outperforms a comparable index without adjusted input variables; secondly, the weekly index outperforms established monthly indicators in nowcasting GDP growth. These insights should help improve recently developed high-frequency indicators.
JEL-Codes:C32, C38, C53, C55, E32
Keywords:Business cycle index, Dynamic factor model, High-frequency data, Nowcasting
Research group:Macroeconomics and Public Finance
Language:English