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

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  • S. Boragan Aruoba
  • Francis X. Diebold

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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File URL: http://www.aeaweb.org/articles.php?doi=10.1257/aer.100.2.20
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Article provided by American Economic Association in its journal American Economic Review.

Volume (Year): 100 (2010)
Issue (Month): 2 (May)
Pages: 20-24

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Handle: RePEc:aea:aecrev:v:100:y:2010:i:2:p:20-24
Note: DOI: 10.1257/aer.100.2.20
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Find related papers by JEL classification:
  • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
  • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
  • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
  • I12 - Health, Education, and Welfare - - Health - - - Health Behavior
  • I31 - Health, Education, and Welfare - - Welfare, Well-Being, and Poverty - - - General Welfare, Well-Being
  • J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials
  • I12 - Health, Education, and Welfare - - Health - - - Health Behavior
  • J12 - Labor and Demographic Economics - - Demographic Economics - - - Marriage; Marital Dissolution; Family Structure
  • J13 - Labor and Demographic Economics - - Demographic Economics - - - Fertility; Family Planning; Child Care; Children; Youth
  • J14 - Labor and Demographic Economics - - Demographic Economics - - - Economics of the Elderly; Economics of the Handicapped; Non-Labor Market Discrimination
  • O15 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Economic Development: Human Resources; Human Development; Income Distribution; Migration
  • J24 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Human Capital; Skills; Occupational Choice; Labor Productivity
  • J63 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Turnover; Vacancies; Layoffs
  • M12 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Personnel Management; Executives; Executive Compensation
  • M50 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Personnel Economics - - - General

References listed on IDEAS
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  1. 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.
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  4. Stephanie Schmitt-Grohe & Martin Uribe, 2005. "Optimal Inflation Stabilization in a Medium-Scale Macroeconomic Model," NBER Working Papers 11854, National Bureau of Economic Research, Inc.
  5. Maximo Camacho & Gabriel Perez-Quiros, 2010. "Introducing the euro-sting: Short-term indicator of euro area growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 663-694.
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  11. Frederic S. Mishkin & Klaus Schmidt-Hebbel D., 2006. "Monetary Policy Under Inflation Targeting: An Introduction," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(3), pages 5-17, December.
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  15. Reinhart, Carmen & Rogoff, Kenneth, 2009. "This Time It’s Different: Eight Centuries of Financial Folly-Preface," MPRA Paper 17451, University Library of Munich, Germany.
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Full references (including those not matched with items on IDEAS)

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. Máximo Camacho & Jaime Martínez-Martín, 2014. "Real-time forecasting us GDP from small-scale factor models," Banco de Espa�a Working Papers 1425, Banco de Espa�a.
  2. S. Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2011. "Improving GDP Measurement: A Forecast Combination Perspective," NBER Working Papers 17421, National Bureau of Economic Research, Inc.
  3. Troy Matheson, 2011. "New Indicators for Tracking Growth in Real Time," IMF Working Papers 11/43, International Monetary Fund.
  4. Valentina Raponi & Cecilia Frale, 2014. "Revisions in official data and forecasting," Statistical Methods and Applications, Springer, vol. 23(3), pages 451-472, August.
  5. Marcos Dal Bianco & Jaime Martinez-Martín & Maximo Camacho, 2013. "Short-Run Forecasting of Argentine GDP Growth," Working Papers 1314, BBVA Bank, Economic Research Department.
  6. 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.
  7. Leiva-Leon Danilo, 2014. "Real vs. nominal cycles: a multistate Markov-switching bi-factor approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(5), pages 24, December.

This item is featured on the following reading lists or Wikipedia pages:

  1. Economic Logic blog

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