NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Where Are We Now? Real-Time Estimates of the Macro Economy

Martin D.D. Evans

NBER Working Paper No. 11064
Issued in January 2005
NBER Program(s):   EFG

This paper describes a method for calculating daily real-time estimates of the current state of the U.S. economy. The estimates are computed from data on scheduled U.S. macroeconomic announcements using an econometric model that allows for variable reporting lags, temporal aggregation, and other complications in the data. The model can be applied to find real-time estimates of GDP, inflation, unemployment or any other macroeconomic variable of interest. In this paper I focus on the problem of estimating the current level of and growth rate in GDP. I construct daily real-time estimates of GDP that incorporate public information known on the day in question. The real-time estimates produced by the model are uniquely-suited to studying how perceived developments the macro economy are linked to asset prices over a wide range of frequencies. The estimates also provide, for the first time, daily time series that can be used in practical policy decisions.

download in pdf format
   (385 K)

email paper

This paper is available as PDF (385 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Published: Martin D. D. Evans, 2005. "Where Are We Now? Real-Time Estimates of the Macroeconomy," International Journal of Central Banking, International Journal of Central Banking, vol. 1(2), September.

Users who downloaded this paper also downloaded these:
Andersen, Bollerslev, Diebold, and Vega w8959 Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Stock and Watson New Indexes of Coincident and Leading Economic Indicators
Stock and Watson w2772 A Probability Model of The Coincident Economic Indicators
Cutler, Poterba, and Summers w2538 What Moves Stock Prices?
Beber, Brandt, and Kavajecz w16534 What Does Equity Sector Orderflow Tell Us about the Economy?
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us