Weekly Economic Activity: Measurement and Informational Content

Philipp Wegmüller, Christian Glocker and Valentino Guggia
Authors registered in the RePEc Author Service: Philipp Wegmueller

No 627, WIFO Working Papers from WIFO

Abstract: 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.

Keywords: Business cycle index; Dynamic factor model; High-frequency data; Nowcasting (search for similar items in EconPapers)
Pages: 33 pages
Date: 2021-04-21
New Economics Papers: this item is included in nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Weekly economic activity: Measurement and informational content (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:wfo:wpaper:y:2021:i:627

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