A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth

20 Pages Posted: 7 Dec 2016 Last revised: 8 Mar 2017

See all articles by Sean Grover

Sean Grover

ProShares

Kevin L. Kliesen

Federal Reserve Bank of St. Louis - Research Division

Michael W. McCracken

Federal Reserve Banks - Federal Reserve Bank of St. Louis

Date Written: 2016

Abstract

Analyzing the performance of the economy in real time is a challenge for those who must forecast macroeconomic variables such as inflation or employment. A key aspect of this challenge is evaluating the incoming flow of information contained in economic announcements. In this article, the authors develop a simple-to-read index of these announcements that they then use to construct nowcasts. The index tracks whether key economic data have come in stronger, weaker, or as expected during the current quarter relative to a baseline consensus forecast. Specifically, the data releases are weighted relative to their importance in updating forecasts of real gross domestic product growth during the current quarter.

JEL Classification: C53, E37, C22

Suggested Citation

Grover, Sean and Kliesen, Kevin L. and McCracken, Michael W., A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth (2016). Available at SSRN: https://ssrn.com/abstract=2881846 or http://dx.doi.org/10.20955/r.2016.277-296

Sean Grover (Contact Author)

ProShares ( email )

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Kevin L. Kliesen

Federal Reserve Bank of St. Louis - Research Division ( email )

411 Locust St
Saint Louis, MO 63011
United States

Michael W. McCracken

Federal Reserve Banks - Federal Reserve Bank of St. Louis ( email )

411 Locust St
Saint Louis, MO 63011
United States

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