A latent weekly GDP indicator for Germany

Sercan Eraslan and Magnus Reif

No 08/2023, Technical Papers from Deutsche Bundesbank

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.

Keywords: Business cycle; dynamic factor model; economic indicator (search for similar items in EconPapers)
JEL-codes: C38 C43 E32 (search for similar items in EconPapers)
Date: 2023
New Economics Papers: this item is included in nep-eec and nep-eur
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubtps:283352

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