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Real-time Aggregation of Macroeconomic Surprises: a Real Activity Surprise Index
| Content Provider | Semantic Scholar |
|---|---|
| Author | Scotti, Chiara |
| Copyright Year | 2012 |
| Abstract | We construct a real-time, real activity index that summarizes recent economic data surprises and measures deviation from consensus expectations. The value of the index, on a given day, is a weighted average of the surprises from a set of releases, where the weights depend on the contribution of the associated real activity indicator to a business condition index al aAruoba, Diebold, and Scotti (2009). We apply this methodology to construct indexes for the United States, Euro Area, the United Kingdom, Canada, and Japan. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=CEF2012&paper_id=533 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |