Where Are We Now? Real-Time Estimates of the Macroeconomy

Martin Evans

MPRA Paper from University Library of Munich, Germany

Abstract: This paper describes a method for calculating daily realtime 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 in the macroeconomy 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.

JEL-codes: G0 G00 (search for similar items in EconPapers)
Date: 2005-03-14
New Economics Papers: this item is included in nep-cba, nep-ets and nep-mac
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Citations: View citations in EconPapers (123)

Published in International Journal of Central Banking Number 2.Volume(2005): pp. 127-175

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https://mpra.ub.uni-muenchen.de/831/1/MPRA_paper_831.pdf original version (application/pdf)

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 Macro Economy (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:831

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