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The Daily Economic Indicator: tracking economic activity daily during the lockdown

The SARS-CoV-2 outbreak made clear the urgent need to depart from traditional statistics, typically released with a lag and available at a relatively low frequency. This led to unparalleled efforts to put forward high-frequency indicators to track economic developments timely. By resorting to non-tr...

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Detalles Bibliográficos
Autores principales: Lourenço, Nuno, Rua, António
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Published by Elsevier B.V. 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9757878/
https://www.ncbi.nlm.nih.gov/pubmed/36569374
http://dx.doi.org/10.1016/j.econmod.2021.105500
Descripción
Sumario:The SARS-CoV-2 outbreak made clear the urgent need to depart from traditional statistics, typically released with a lag and available at a relatively low frequency. This led to unparalleled efforts to put forward high-frequency indicators to track economic developments timely. By resorting to non-traditional data sources, we propose a novel daily economic indicator to track economic activity in Portugal. It corresponds to the latent variable of a set of daily series within a factor model framework. We find a sudden and sharp drop in economic activity in mid-March 2020, when the lockdown of several activities was declared due to the COVID-19 pandemic. Since in this approach we address the complexities of high-frequency data without further smoothing, we are able to identify sudden changes of economic activity in a timely and daily manner in contrast with other approaches.