Weekly economic activity: Measurement and informational content |
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Institution: | Austrian Institute of Economic Research, Arsenal Objekt 20, 1030 Vienna, Austria |
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Abstract: | We construct a composite index to measure the real activity of the Swiss economy on a weekly frequency. The index is based on a novel high-frequency data set capturing economic activity across distinct dimensions over a long time horizon. We propose a six-step procedure for extracting precise business cycle signals from the raw data. By means of a real-time evaluation, we highlight the importance of our proposed adjustment procedure: (i) our weekly index significantly outperforms a comparable index without adjusted input variables; and (ii) the weekly index outperforms established monthly indicators in nowcasting GDP growth. These insights should help improve other recently developed high-frequency indicators. |
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Keywords: | Business cycle index Dynamic factor model High-frequency data Nowcasting Seasonal adjustment Forecast evaluation Covid-19 |
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