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High-Frequency Real Economic Activity Indicator for Canada


  • Gitanjali Kumar


I construct a weekly measure of real economic activity in Canada. Based on the work of Aruoba et al. (2009), the indicator is extracted as an unobserved component underlying the co-movement of four monthly observed real macroeconomic variables - employment, manufacturing sales, retail sales and GDP. The indicator has a number of applications in macroeconomics and finance - it can be used to measure macroeconomic news, to quantify the impact of news on financial asset prices, to study exchange rate movements and as an input in nowcasting and forecasting exercises.

Suggested Citation

  • Gitanjali Kumar, 2013. "High-Frequency Real Economic Activity Indicator for Canada," Staff Working Papers 13-42, Bank of Canada.
  • Handle: RePEc:bca:bocawp:13-42

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    References listed on IDEAS

    1. 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.
    2. Molodtsova, Tanya & Papell, David H., 2009. "Out-of-sample exchange rate predictability with Taylor rule fundamentals," Journal of International Economics, Elsevier, vol. 77(2), pages 167-180, April.
    3. Toni Gravelle & Richhild Moessner, 2001. "Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency," Staff Working Papers 01-5, Bank of Canada.
    4. Scotti, Chiara, 2016. "Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 1-19.
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    Cited by:

    1. Ana Lariau & Moataz El-Said & Misa Takebe, 2016. "An Assessment of the Exchange Rate Pass-Through in Angola and Nigeria," IMF Working Papers 16/191, International Monetary Fund.
    2. Narayan Bulusu & Pierre Guérin, 2018. "What Drives Interbank Loans? Evidence from Canada," Staff Working Papers 18-5, Bank of Canada.

    More about this item


    Business fluctuations and cycles; Econometric and statistical methods;

    JEL classification:

    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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