Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/234042 
Year of Publication: 
2021
Series/Report no.: 
WIFO Working Papers No. 627
Publisher: 
Austrian Institute of Economic Research (WIFO), Vienna
Abstract: 
We construct a composite index to measure 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. An adequate adjustment of raw data prior to deriving the latent factor is crucial for obtaining precise business cycle signals. By means of a real-time evaluation, we highlight the importance of our proposed adjustment procedure: first, our weekly index significantly outperforms a comparable index without adjusted input variables; secondly, the weekly index outperforms established monthly indicators in nowcasting GDP growth. These insights should help improve recently developed high-frequency indicators.
Subjects: 
Business cycle index
Dynamic factor model
High-frequency data
Nowcasting
JEL: 
C32
C38
C53
C55
E32
Document Type: 
Working Paper

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