High-frequency real economic activity indicator for Canada

by Gitanjali Kumar

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.

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Year of publication:	2013
Authors:	Kumar, Gitanjali
Publisher:	Ottawa : Bank of Canada
Subject:	Econometric and statistical methods \| Business fluctuations and cycles \| Kanada \| Canada \| Konjunktur \| Business cycle \| Wirtschaftsindikator \| Economic indicator \| Statistische Methode \| Statistical method