Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/95696
Authors: 
Kumar, Gitanjali
Year of Publication: 
2013
Series/Report no.: 
Bank of Canada Working Paper 2013-42
Abstract: 
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.
Subjects: 
Econometric and statistical methods
Business fluctuations and cycles
JEL: 
C38
E32
Document Type: 
Working Paper

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