Where Are We Now? Real-time Estimates of the Macro Economy
AbstractThis paper describes a method for calculating daily real-time 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 the macro economy 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. Classification-JEL Codes:E37 C32
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Bibliographic InfoPaper provided by Georgetown University, Department of Economics in its series Working Papers with number gueconwpa~05-05-02.
Date of creation: 02 May 2005
Date of revision:
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Postal: Georgetown University Department of Economics Washington, DC 20057-1036
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Postal: Marcia Suss Administrative Officer Georgetown University Department of Economics Washington, DC 20057-1036
Other versions of this item:
- Martin D. D. Evans, 2005. "Where Are We Now? Real-Time Estimates of the Macroeconomy," International Journal of Central Banking, International Journal of Central Banking, vol. 1(2), September.
- Evans, Martin D, 2005. "Where Are We Now? Real-Time Estimates of the Macroeconomy," MPRA Paper 831, University Library of Munich, Germany.
- 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.
- 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.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-01-16 (All new papers)
- NEP-ETS-2005-01-16 (Econometric Time Series)
- NEP-MAC-2005-01-16 (Macroeconomics)
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This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading lists or Wikipedia pages:
- Nowcasting (economics) in Wikipedia (English)
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