Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions

S. Boragan Aruoba and Francis Diebold

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: We sketch a framework for monitoring macroeconomic activity in real-time and push it in new directions. In particular, we focus not only on real activity, which has received most attention to date, but also on inflation and its interaction with real activity. As for the recent recession, we find that (1) it likely ended around July 2009; (2) its most extreme aspects concern a real activity decline that was unusually long but less unusually deep, and an inflation decline that was unusually deep but brief; and (3) its real activity and inflation interactions were strongly positive, consistent with an adverse demand shock.

Keywords: Nowcasting; Prices; Wages; Business cycle; Expansion; Contraction; Recession; Turning point; State-space model; Dynamic factor model (search for similar items in EconPapers)
JEL-codes: C01 C22 E31 E32 E37 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2010-01-08
New Economics Papers: this item is included in nep-cba and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (71)

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Related works:
Journal Article: Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions (2010)
Working Paper: Real-time macroeconomic monitoring: real activity, inflation, and interactions (2010)
Working Paper: Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pen:papers:10-002

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