Where Are We Now? Real-Time Estimates of the Macro Economy

Where Are We Now? Real-Time Estimates of the Macro Economy
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Where Are We Now? Real-Time Estimates of the Macro Economy
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Author
Listed:
Evans, Martin D.D.
Registered:
Martin Evans
Abstract
This paper describes a method for calculating daily real-time estimates of the current state of the US economy. The estimates are computed from data on scheduled US macroeconomic announcements using an econometric model that allows for variable reporting lags, temporal aggregation, and other complications in the data. The model can be applied to find real-time estimates of GDP, inflation, unemployment or any other macroeconomic variable of interest. In this paper I focus on the problem of estimating the current level of and growth rate in GDP. I construct daily real-time estimates of GDP that incorporate public information known on the day in question. The real-time estimates produced by the model are uniquely suited to studying how perceived developments the macro economy are linked to asset prices over a wide range of frequencies. The estimates also provide, for the first time, daily time series that can be used in practical policy decisions.
Suggested Citation
Evans, Martin D.D., 2005.
Where Are We Now? Real-Time Estimates of the Macro Economy
,"
CEPR Discussion Papers
5270, C.E.P.R. Discussion Papers.
Handle:
RePEc:cpr:ceprdp:5270
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Martin D. D. Evans, 2005.
Where Are We Now? Real-Time Estimates of the Macroeconomy
,"
International Journal of Central Banking
, International Journal of Central Banking, vol. 1(2), September.
Martin D.D. Evans, 2005.
Where Are We Now? Real-Time Estimates of the Macro Economy
,"
NBER Working Papers
11064, National Bureau of Economic Research, Inc.
Evans, Martin D, 2005.
Where Are We Now? Real-Time Estimates of the Macroeconomy
,"
MPRA Paper
831, University Library of Munich, Germany.
Martin D. D. Evans(Georgetown University and NBER), 2005.
Where Are We Now? Real-time Estimates of the Macro Economy
,"
Working Papers
gueconwpa~05-05-02, Georgetown University, Department of Economics.
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More about this item
Keywords
JEL
classification:
C32
- Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
E37
- Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following
NEP Reports
NEP-BEC-2005-12-09
(Business Economics)
NEP-ECM-2005-12-09
(Econometrics)
NEP-ETS-2005-12-09
(Econometric Time Series)
NEP-MAC-2005-12-09
(Macroeconomics)
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