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

Martin D. D. Evans(Georgetown University and NBER) ()
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Martin D. D. Evans(Georgetown University and NBER): Department of Economics, Georgetown University, http://www9.georgetown.edu/faculty/evansm1/
Authors registered in the RePEc Author Service: Martin Evans

Working Papers from Georgetown University, Department of Economics

Abstract: This paper describes a method for calculating daily real-time estimates of the current state of the U.S. economy. The estimates are computed from data on scheduled U.S. 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.

Keywords: Keywords: Real-time data; Kalman Filtering; Forecasting GDP (search for similar items in EconPapers)
JEL-codes: C32 E37 (search for similar items in EconPapers)
Date: 2005-05-02
New Economics Papers: this item is included in nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (120)

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Related works:
Journal Article: Where Are We Now? Real-Time Estimates of the Macroeconomy (2005)
Working Paper: Where Are We Now? Real-Time Estimates of the Macro Economy (2005)
Working Paper: Where Are We Now? Real-Time Estimates of the Macro Economy (2005)
Working Paper: Where Are We Now? Real-Time Estimates of the Macroeconomy (2005)
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