Abstract
This paper uses information at the daily, monthly, and quarterly frequencies to construct a daily World Economic Gauge (WEG). We postulate a mixed-frequency dynamic factor model to extract data observable at different frequencies in order to track the health of the global economy. We show that the WEG offers a reliable basis for tracking economic activity during key events such as COVID-19 and the Global Financial Crisis. Moreover, the WEG is shown to contain leading information about the output growth of the OECD, G7, NAFTA, European Union, and euro areas, in addition to the output growth of 42 individual countries.
| Original language | English |
|---|---|
| Journal | Journal of Forecasting |
| DOIs | |
| Publication status | Published - 4 Apr 2024 |
| Externally published | Yes |
Keywords
- dynamic factor model
- economic conditions
- global indicator
- mixed-frequency models
- state-space model
ASJC Scopus subject areas
- Modelling and Simulation
- Economics and Econometrics
- Computer Science Applications
- Strategy and Management
- Statistics, Probability and Uncertainty
- Management Science and Operations Research
