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Measuring real activity using a weekly economic index

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  • Daniel J. Lewis
  • Karel Mertens
  • James H. Stock
  • Mihir Trivedi

Abstract

This paper describes a weekly economic index (WEI) developed to track the rapid economic developments associated with the onset of and policy response to the novel coronavirus in the United States. The WEI is a weekly composite index of real economic activity, with eight of 10 series available the Thursday after the end of the reference week. In addition to being a weekly real activity index, the WEI has strong predictive power for output measures and provided an accurate nowcast of current‐quarter GDP growth in the first half of 2020, with weaker performance in the second half. We document how the WEI responded to key events and data releases during the first 10 months of the pandemic.

Suggested Citation

  • 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.
    • Handle: RePEc:wly:japmet:v:37:y:2022:i:4:p:667-687
    DOI: 10.1002/jae.2873
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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