Real-Time Measurement of Business Conditions

被引：426

作者：

Aruoba, S. Boragan ^{[1
]}

Diebold, Francis X. ^{[2
]}

Scotti, Chiara ^{[3
]}

机构：

[1] Univ Maryland, Dept Econ, College Pk, MD 20742 USA

[2] Univ Penn, Dept Econ Finance & Stat, Philadelphia, PA 19104 USA

[3] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 2009年 / 27卷 / 04期

基金：

美国国家科学基金会;

关键词：

Business cycle; Contraction; Dynamic factor model; Expansion; Macroeconomic forecasting; Recession; State space model; Turning point; CYCLES; VARIABLES; SERIES; INDEX;

D O I：

10.1198/jbes.2009.07205

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We construct a framework for measuring economic activity at high frequency. potentially in real time. We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering. We illustrate the framework in a prototype empirical example and a simulation study calibrated to the example.

引用

页码：417 / 427

页数：11

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