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High-Frequency Real Economic Activity Indicator for Canada

Gitanjali Kumar ()

Staff Working Papers from Bank of Canada

Abstract: I construct a weekly measure of real economic activity in Canada. Based on the work of Aruoba et al. (2009), the indicator is extracted as an unobserved component underlying the co-movement of four monthly observed real macroeconomic variables - employment, manufacturing sales, retail sales and GDP. The indicator has a number of applications in macroeconomics and finance - it can be used to measure macroeconomic news, to quantify the impact of news on financial asset prices, to study exchange rate movements and as an input in nowcasting and forecasting exercises.

Keywords: Business fluctuations and cycles; Econometric and statistical methods (search for similar items in EconPapers)
JEL-codes: C38 E32 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2013
New Economics Papers: this item is included in nep-for and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:13-42

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