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Philipp Wegmüller, Christian Glocker, Valentino Guggia
Weekly Economic Activity: Measurement and Informational Content
WIFO Working Papers, 2021, (627), 33 Seiten
Online seit: 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
Forschungsbereich:Makroökonomie und europäische Wirtschaftspolitik
Sprache:Englisch

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