Real-Time Measurement of Business Conditions

(with Francis X. Diebold and Chiara Scotti)

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.

First Draft : March 2007

Working Paper [April 2008]

The current factor [Updated August 15, 2008. The current paper uses data up to March 2007 and we thought it might be interesting to update the factor with new (some newly-released and some revised) data. We update this page every week.]