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Where Are We Now? Real-Time Estimates of the Macroeconomy Author info | Abstract | Publisher info | Download info | Related research | Statistics Martin D. D. Evans (Georgetown University and the National Bureau of Economic Research)
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This paper describes a method for calculating daily realtime estimates of the current state of the U.S. economy. The estimates are computed from data on scheduled U.S. macroeconomic announcements using an econometric model that allows for variable reporting lags, temporal aggregation, and other complications in the data. The model can be applied to find real-time estimates of GDP, inflation, unemployment, or any other macroeconomic variable of interest. In this paper, I focus on the problem of estimating the current level of and growth rate in GDP. I construct daily real-time estimates of GDP that incorporate public information known on the day in question. The real-time estimates produced by the model are uniquely suited to studying how perceived developments in the macroeconomy are linked to asset prices over a wide range of frequencies. The estimates also provide, for the first time, daily time series that can be used in practical policy decisions.
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Article provided by International Journal of Central Banking in its journal International Journal of Central Banking .
Volume (Year): 1 (2005)
Issue (Month): 2 (September)
Pages:
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Keywords: Other versions of this item:
Paper Evans, Martin D.D., 2005.
"Where Are We Now? Real-Time Estimates of the Macro Economy ,"
CEPR Discussion Papers
5270, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Martin D.D. Evans, 2005.
"Where Are We Now? Real-Time Estimates of the Macro Economy ,"
NBER Working Papers
11064, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Evans, Martin D, 2005.
"Where Are We Now? Real-Time Estimates of the Macroeconomy ,"
MPRA Paper
831, University Library of Munich, Germany.
[Downloadable!] Martin D. D. Evans(Georgetown University and NBER), .
"Where Are We Now? Real-time Estimates of the Macro Economy ,"
Working Papers
gueconwpa~05-05-02, Georgetown University, Department of Economics.
[Downloadable!] Find related papers by JEL classification: C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation
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S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007.
"Real-Time Measurement of Business Conditions, Second Version ,"
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Domenico Giannone & Lucrezia Reichlin & David Small, 2005.
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2005-42, Board of Governors of the Federal Reserve System (U.S.).
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David H. Small & Domenico Giannone & Lucrezia Reichlin, 2006.
"Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases ,"
Working Paper Series
633, European Central Bank.
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"Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases ,"
CEPR Discussion Papers
5178, C.E.P.R. Discussion Papers.
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"Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases ,"
Money Macro and Finance (MMF) Research Group Conference 2006
164, Money Macro and Finance Research Group.
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Temi di discussione (Economic working papers)
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Mario Forni & Filippo Altissimo & Riccardo Cristadoro & Marco Lippi & Giovanni Veronese., 2008.
"New Eurocoin: Tracking Economic Growth in Real Time ,"
Center for Economic Research (RECent)
020, University of Modena and Reggio E., Dept. of Economics.
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"New EuroCOIN: Tracking Economic Growth in Real Time ,"
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5633, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Martin D.D. Evans & Richard K. Lyons, 2005.
"Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting ,"
NBER Working Papers
11042, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), .
"Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting ,"
Working Papers
gueconwpa~05-05-01, Georgetown University, Department of Economics.
[Downloadable!] Martin D. D. Evans & Richard K. Lyons, 2005.
"Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting ,"
American Economic Review ,
American Economic Association, vol. 95(2), pages 405-414, May.
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ECARES Working Papers
2008_008, Université Libre de Bruxelles, Ecares.
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S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008.
"Real-Time Measurement of Business Conditions ,"
NBER Working Papers
14349, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008.
"Real-time measurement of business conditions ,"
Working Papers
08-19, Federal Reserve Bank of Philadelphia.
[Downloadable!] S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007.
"Real-Time Measurement of Business Conditions ,"
PIER Working Paper Archive
07-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
[Downloadable!] Chiara Scotti & S.Boragan Aruoba & Francis X. Diebold & University of Maryland, 2006.
"Real-Time Measurement of Business Conditions ,"
Computing in Economics and Finance 2006
387, Society for Computational Economics.
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"Real-time measurement of business conditions ,"
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Money Macro and Finance (MMF) Research Group Conference 2006
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John Galbraith & Greg Tkacz, 2009.
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