Real-time macroeconomic monitoring using mixed frequency data: Evidence from China

Wei Zhang, Jie He, Chanyuan Ge and Rui Xue

Economic Modelling, 2022, vol. 117, issue C

Abstract: Timely and effective monitoring of macroeconomic dynamics is crucial for the management and stabilization of the macroeconomy. However, existing studies tend to rely on low-frequency macro-level data to monitor economic fluctuations and fail to capture changes that take place in real time. This study therefore develops a novel real-time monitoring system of China's macroeconomic prosperity by incorporating monthly and quarterly macroeconomic data with high-frequency daily Internet search data from January 1, 2012 to March 31, 2019. We find that our daily prosperity indexes can provide real-time monitoring signals with daily updates, significantly improving the accuracy of key macroeconomic indicators for nowcasting. Moreover, our monitoring system incorporates leading, coincident, and lagging indexes, and enables simultaneous monitoring of the synergistic and asymmetric characteristics of cyclical fluctuations, depicting a comprehensive picture of the business cycle. Our findings have practical implications for enhancing the quality and timeliness of macroeconomic monitoring and early intervention.

Keywords: Macroeconomic monitoring; Mixed frequency data; Daily prosperity index; Regime switching; MS-MF-DF model (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999322003054
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322003054

DOI: 10.1016/j.econmod.2022.106068

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().