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Nowcasting the Trajectory of the COVID-19 Recovery

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  • Peter Fuleky

Abstract

I develop a weekly coincident index of economic activity in the State of Hawaii. The purpose of the index is to nowcast the recovery from the COVID-19 induced downturn. The index is the first principal component extracted from 18 daily and weekly state-level time series, it captures about 80% of the variation in the sample, it is available with a four-day lag, and it leads the changes in nonfarm payrolls and the Philadelphia Fed coincident index.

Suggested Citation

  • Peter Fuleky, 2020. "Nowcasting the Trajectory of the COVID-19 Recovery," Working Papers 202022, University of Hawaii at Manoa, Department of Economics.
    • Handle: RePEc:hai:wpaper:202022
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    File URL: http://www.economics.hawaii.edu/research/workingpapers/WP_20-22.pdf
    File Function: First version, 2020
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    References listed on IDEAS

    as
    1. Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) halshs-02491811, HAL.
    2. Raj Chetty & John N. Friedman & Michael Stepner & The Opportunity Insights Team, 2020. "The Economic Impacts of COVID-19: Evidence from a New Public Database Built Using Private Sector Data," NBER Working Papers 27431, National Bureau of Economic Research, Inc.
    3. Daniel Lewis & Karel Mertens & James H. Stock, 2020. "U.S. Economic Activity During the Early Weeks of the SARS-Cov-2 Outbreak," NBER Working Papers 26954, National Bureau of Economic Research, Inc.
    4. Aruoba, S. BoraÄŸan & Diebold, Francis X. & Scotti, Chiara, 2009. "Real-Time Measurement of Business Conditions," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 417-427.
    5. Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," Post-Print halshs-02491811, HAL.
    6. Tyler Atkinson & Jim Dolmas & Christoffer Koch & Evan F. Koenig & Karel Mertens & Anthony Murphy & Kei-Mu Yi, 2020. "Mobility and Engagement Following the SARS-Cov-2 Outbreak," Working Papers 2014, Federal Reserve Bank of Dallas.
    7. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2022. "Measuring real activity using a weekly economic index," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 667-687, June.
    8. Bai, Jushan & Ng, Serena, 2008. "Large Dimensional Factor Analysis," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(2), pages 89-163, June.
    9. Theodore M. Crone & Alan Clayton-Matthews, 2005. "Consistent Economic Indexes for the 50 States," The Review of Economics and Statistics, MIT Press, vol. 87(4), pages 593-603, November.
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    Cited by:

    1. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2022. "Measuring real activity using a weekly economic index," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 667-687, June.

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    More about this item

    Keywords

    coincident index; principal component analysis; high-frequency data; nowcasting; COVID-19;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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