Arbeitspapier
A latent weekly GDP indicator for Germany
This paper introduces a weekly GDP indicator to track real economic activity in Germany in real-time. We use a mixed-frequency dynamic factor model with quarterly, monthly, and weekly indicators and obtain the weekly GDP indicator as the weighted common component of the mixed-frequency dataset. Our indicator is able to approximate latent week-on-week growth of German GDP. In addition, it enables computing a weekly GDP series in levels, which is also of great interest for central bankers, policy makers, and practitioners interested in analysing the current state of the economy in a timely manner. Finally, we demonstrate the benefits of our indicator for high-frequency tracking of the German economy using a recursive nowcasting exercise.
- Sprache
-
Englisch
- Erschienen in
-
Series: Technical Paper ; No. 08/2023
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models
Index Numbers and Aggregation; Leading indicators
Business Fluctuations; Cycles
- Thema
-
Business cycle
dynamic factor model
economic indicator
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Eraslan, Sercan
Reif, Magnus
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2023
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Eraslan, Sercan
- Reif, Magnus
- Deutsche Bundesbank
Entstanden
- 2023
Ähnliche Objekte (12)
A latent weekly GDP indicator for Germany
A financial stress indicator for Germany
Forecasting German GDP using alternative factor models based on large datasets
On the credit-to-GDP gap and spurious medium-term cycles
Factor forecasting using international targeted predictors: the case of German GDP
A novel housing price misalignment indicator for Germany
A composite indicator of financial conditions for Germany
A composite indicator of financial conditions for Germany
A note on the predictive power of survey data in nowcasting euro area GDP
Short-run and long-run comovement of GDP and some expenditure aggregates in Germany, France and Italy
Nowcasting GDP with a large factor model space
Google data in bridge equation models for German GDP
A latent weekly GDP indicator for Germany
A financial stress indicator for Germany
Forecasting German GDP using alternative factor models based on large datasets
On the credit-to-GDP gap and spurious medium-term cycles
Factor forecasting using international targeted predictors: the case of German GDP
A novel housing price misalignment indicator for Germany
A composite indicator of financial conditions for Germany
A composite indicator of financial conditions for Germany
A note on the predictive power of survey data in nowcasting euro area GDP
Short-run and long-run comovement of GDP and some expenditure aggregates in Germany, France and Italy
Nowcasting GDP with a large factor model space
Google data in bridge equation models for German GDP
A latent weekly GDP indicator for Germany
A financial stress indicator for Germany
Forecasting German GDP using alternative factor models based on large datasets
On the credit-to-GDP gap and spurious medium-term cycles
Factor forecasting using international targeted predictors: the case of German GDP
A novel housing price misalignment indicator for Germany
A composite indicator of financial conditions for Germany
A composite indicator of financial conditions for Germany
A note on the predictive power of survey data in nowcasting euro area GDP
Short-run and long-run comovement of GDP and some expenditure aggregates in Germany, France and Italy
Nowcasting GDP with a large factor model space