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Weekly Economic Activity: Measurement and Informational Content
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.
Keywords:Business cycle index, Dynamic factor model, High-frequency data, Nowcasting, Seasonal adjustment, Forecast evaluation,
Covid-19
Forschungsbereich:Makroökonomie und öffentliche Finanzen
Sprache:Englisch