Where Are We Now? Real-Time Estimates of the Macroeconomy
AbstractThis 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 831.
Date of creation: 14 Mar 2005
Date of revision:
Publication status: Published in International Journal of Central Banking Number 2.Volume(2005): pp. 127-175
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.D., 2005. "Where Are We Now? Real-Time Estimates of the Macro Economy," CEPR Discussion Papers 5270, C.E.P.R. Discussion Papers.
- Martin D. D. Evans(Georgetown University and NBER), 2005. "Where Are We Now? Real-time Estimates of the Macro Economy," Working Papers gueconwpa~05-05-02, Georgetown University, Department of Economics.
- 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.
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-25 (All new papers)
- NEP-CBA-2006-11-25 (Central Banking)
- NEP-ETS-2006-11-25 (Econometric Time Series)
- NEP-MAC-2006-11-25 (Macroeconomics)
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- Nowcasting (economics) in Wikipedia (English)
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