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Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions

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  • S. Boragan Aruoba

    ()
    (Department of Economics, University of Maryland)

  • Francis X. Diebold

    ()
    (Department of Economics, University of Pennsylvania and NBER)

Abstract

We sketch a framework for monitoring macroeconomic activity in real-time and push it in new directions. In particular, we focus not only on real activity, which has received most attention to date, but also on inflation and its interaction with real activity. As for the recent recession, we find that (1) it likely ended around July 2009; (2) its most extreme aspects concern a real activity decline that was unusually long but less unusually deep, and an inflation decline that was unusually deep but brief; and (3) its real activity and inflation interactions were strongly positive, consistent with an adverse demand shock.

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Bibliographic Info

Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 10-002.

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Length: 17 pages
Date of creation: 08 Jan 2010
Date of revision:
Handle: RePEc:pen:papers:10-002

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Keywords: Nowcasting; Prices; Wages; Business cycle; Expansion; Contraction; Recession; Turning point; State-space model; Dynamic factor model;

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References

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Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Nowcasting: recession ended in July 2009
    by Economic Logician in Economic Logic on 2010-02-10 15:19:00
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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Cited by:
  1. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1120-54, December.
  2. Troy Matheson, 2011. "New Indicators for Tracking Growth in Real Time," IMF Working Papers 11/43, International Monetary Fund.
  3. S. Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongo Song, 2011. "Improving GDP measurement: a forecast combination perspective," Working Papers 11-41, Federal Reserve Bank of Philadelphia.
  4. Leiva-Leon, Danilo, 2013. "Real vs. Nominal Cycles: A Multistate Markov-Switching Bi-Factor Approach," MPRA Paper 54456, University Library of Munich, Germany.

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  1. Economic Logic blog

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