Work

Real-Time Measurement of Business Conditions

Year: 2008

Type: report

Abstract: We construct a framework for measuring economic activity at high frequency, potentially in real time.We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering.We illustrate the framework in a prototype empirical example and a simulation study calibrated to the example.

Source: National Bureau of Economic Research

DOI: 10.3386/w14349

Authors: S. Boragan Aruoba, Francis Diebold, Chiara Scotti

Institutions: National Bureau of Economic Research, Federal Reserve Board of Governors, University of Maryland, College Park, University of Pennsylvania

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: National Science Foundation, University of Pennsylvania, State University of New York, University at Albany

OpenAlex ID: W4361746784

Cites: 37

Cited by: 31

Related to: 10