Real-Time Measurement of Business Conditions

Abstract

We construct a framework for measuring economic activity in real time (e.g., minute-by-minute), using a variety of stock and flow data observed at mixed frequencies. Specifically, we propose a dynamic factor model that permits exact filtering, and we explore the efficacy of our methods both in a simulation study and in a detailed empirical example.Business cycle, Expansion, Recession, State space model, Macroeconomic forecasting, Dynamic factor model