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An unconventional weekly economic activity index for Germany

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  • Eraslan, Sercan
  • Götz, Thomas

Abstract

We introduce an unconventional activity index for the German economy at weekly frequency in order to monitor economic developments in real time. The index contains nine high-frequency, rather unconventional weekly indicators. These are augmented by monthly industrial production and quarterly gross domestic product (GDP). The weekly activity index is then calculated as the common factor of the mixed-frequency dataset. We show that the index (i) exhibits a high correlation with quarterly GDP growth, (ii) is able to serve as a reliable weekly coincident indicator for economic activity, and (iii) can be used to generate timely nowcasts for GDP growth in Germany.

Suggested Citation

  • Eraslan, Sercan & Götz, Thomas, 2021. "An unconventional weekly economic activity index for Germany," Economics Letters, Elsevier, vol. 204(C).
    • Handle: RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001580
    DOI: 10.1016/j.econlet.2021.109881
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    References listed on IDEAS

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    1. Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
    2. 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.
    3. 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.
    4. 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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    Keywords

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    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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