WWWI

High-frequency weekly economic nowcasting

The Weekly WIFO Economic Index (WWWI) provides weekly nowcasts of real GDP growth rates and National Accounts components from both production and demand sides. The approach employs informative temporal disaggregation using dynamic factor model versions of Chow-Lin and Litterman methods, estimated using Kalman filtering to handle mixed frequencies and missing observations. Monthly indicators cover production, trade, employment, and sentiment. Weekly indicators include cashless transactions, unemployment, road, rail, and air transport, electricity consumption, and industrial emissions. Developed during the COVID-19 pandemic, the WWWI continues to serve as a high-frequency tool for Austrian business cycle analysis.

The Weekly WIFO Economic Index (WWWI) provides weekly forecasts of growth rates of real GDP and its components from the production and demand sides of the quarterly National Accounts.

The modelling approach is based on informative temporal disaggregation. The models incorporate a wide range of monthly and weekly leading indicators. The monthly indicators cover production, retail sales, foreign trade, employment, tourism overnight stays, and business sentiment. The weekly indicators cover cashless transactions, unemployment, transport indicators (road, rail, and air), electricity consumption, and industrial emissions.

For temporal disaggregation, dynamic factor model versions of Chow-Lin and Litterman disaggregation approaches are used. The models are estimated using a Kalman filter that handles aggregation constraints, missing observations, and mixed frequencies. Principal components are used to synthesise multiple weekly indicators into a single composite indicator.

Leading indicators are adjusted for outliers, but not for seasonal or calendar effects. Seasonal effects are mitigated using year-on-year growth rates. The models are updated with the latest data to ensure maximum lead on the quarterly data.

The WWWI was developed during the pandemic to provide a timely economic assessment during lockdowns. It continues to be a useful tool in the current business cycle analysis providing a detailed, high-frequency and timely nowcast of the Austrian economy.