Tracking the economy at high frequency

Freddy Garc\'ia-Alb\'an and Juan Jarr\'in

Papers from arXiv.org

Abstract: This paper develops a high-frequency economic indicator using a Bayesian Dynamic Factor Model estimated with mixed-frequency data. The model incorporates weekly, monthly, and quarterly official indicators, and allows for dynamic heterogeneity and stochastic volatility. To ensure temporal consistency and avoid irregular aggregation artifacts, we introduce a pseudo-week structure that harmonizes the timing of observations. Our framework integrates dispersed and asynchronous official statistics into a unified High-Frequency Economic Index (HFEI), enabling real-time economic monitoring even in environments characterized by severe data limitations. We apply this framework to construct a high-frequency indicator for Ecuador, a country where official data are sparse and highly asynchronous, and compute pseudo-weekly recession probabilities using a time-varying mean regime-switching model fitted to the resulting index.

Date: 2025-07
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2507.07450

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