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A latent weekly GDP indicator for Germany

Author

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  • Eraslan, Sercan
  • Reif, Magnus

Abstract

This paper introduces a weekly GDP indicator to track real economic activity in Germany in real-time. We use a mixed-frequency dynamic factor model with quarterly, monthly, and weekly indicators and obtain the weekly GDP indicator as the weighted common component of the mixed-frequency dataset. Our indicator is able to approximate latent week-on-week growth of German GDP. In addition, it enables computing a weekly GDP series in levels, which is also of great interest for central bankers, policy makers, and practitioners interested in analysing the current state of the economy in a timely manner. Finally, we demonstrate the benefits of our indicator for high-frequency tracking of the German economy using a recursive nowcasting exercise.

Suggested Citation

  • Eraslan, Sercan & Reif, Magnus, 2023. "A latent weekly GDP indicator for Germany," Technical Papers 08/2023, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubtps:283352
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    References listed on IDEAS

    as
    1. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Nowcasting tail risk to economic activity at a weekly frequency," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 843-866, August.
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    7. Robert Lehmann & Magnus Reif, 2021. "Predicting the German Economy: Headline Survey Indices Under Test," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 215-232, November.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Business cycle; dynamic factor model; economic indicator;
    All these keywords.

    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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