Arbeitspapier
High-frequency real economic activity indicator for Canada
I construct a weekly measure of real economic activity in Canada. Based on the work of Aruoba et al. (2009), the indicator is extracted as an unobserved component underlying the co-movement of four monthly observed real macroeconomic variables - employment, manufacturing sales, retail sales and GDP. The indicator has a number of applications in macroeconomics and finance - it can be used to measure macroeconomic news, to quantify the impact of news on financial asset prices, to study exchange rate movements and as an input in nowcasting and forecasting exercises.
- Language
-
Englisch
- Bibliographic citation
-
Series: Bank of Canada Working Paper ; No. 2013-42
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models
Business Fluctuations; Cycles
- Subject
-
Econometric and statistical methods
Business fluctuations and cycles
- Event
-
Geistige Schöpfung
- (who)
-
Kumar, Gitanjali
- Event
-
Veröffentlichung
- (who)
-
Bank of Canada
- (where)
-
Ottawa
- (when)
-
2013
- DOI
-
doi:10.34989/swp-2013-42
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kumar, Gitanjali
- Bank of Canada
Time of origin
- 2013
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