Weekly economic activity: Measurement and informational content

Philipp Wegmüller, Christian Glocker and Valentino Guggia
Authors registered in the RePEc Author Service: Philipp Wegmueller

International Journal of Forecasting, 2023, vol. 39, issue 1, 228-243

Abstract: We construct a composite index to measure the real activity of the Swiss economy on a weekly frequency. The index is based on a novel high-frequency data set capturing economic activity across distinct dimensions over a long time horizon. We propose a six-step procedure for extracting precise business cycle signals from the raw data. By means of a real-time evaluation, we highlight the importance of our proposed adjustment procedure: (i) our weekly index significantly outperforms a comparable index without adjusted input variables; and (ii) the weekly index outperforms established monthly indicators in nowcasting GDP growth. These insights should help improve other recently developed high-frequency indicators.

Keywords: Business cycle index; Dynamic factor model; High-frequency data; Nowcasting; Seasonal adjustment; Forecast evaluation; Covid-19 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (6)

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Working Paper: Weekly Economic Activity: Measurement and Informational Content (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:39:y:2023:i:1:p:228-243

DOI: 10.1016/j.ijforecast.2021.10.010

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