(with Francis X. Diebold, Jeremy J. Nalewaik, Frank Schorfheide and Dongho Song)

Published in Journal of Econometrics, April 2016, 191(2), 384-397.

We provide a new measure of historical U.S. GDP growth, obtained by applying optimal signal-extraction techniques to the noisy expenditure-side and income-side GDP estimates. The quarter-by-quarter values of our new measure often differ noticeably from those of the traditional measures. Its dynamic properties differ as well, indicating that the persistence of aggregate output dynamics is stronger than previously thought.

First draft : January 2013

Implemented by the Federal Reserve Bank of Philadelphia as GDPplus

Paper

NBER Working Paper 18954 [April 2013]

Federal Reserve Bank of Philadelphia Working Paper [April 2013]

Most Recent Working Paper (may not be identical to the published version)

Published Paper (requires subscription)

Additional Materials

Maryland Center for Economics and Policy (MCEP) Summary

(with Francis X. Diebold, Jeremy J. Nalewaik, Frank Schorfheide and Dongho Song)

Published in Causality, Prediction, and Specification Analysis: Recent Advances and Future Directions: Essays in Honor of Halbert L. White Jr (X. Chen and N. Swanson eds.), 2013, Springer, 1-26.

Two often-divergent U.S. GDP estimates are available, a widely-used expenditure-side version GDPE, and a much less widely-used income-side version GDPI . We propose and explore a “forecast combination” approach to combining them. We then put the theory to work, producing a superior combined estimate of GDP growth for the U.S., GDPC. We compare GDPC to GDPE and GDPI , with particular attention to behavior over the business cycle. We discuss several variations and extensions.

First draft : August 2011

Paper

NBER Working Paper 17421 [September 2011]

Federal Reserve Bank of Philadelphia Working Paper [September 2011]

Most Recent Working Paper (may not be identical to the published version)

(with Francis X. Diebold, Ayhan Kose and Marco Terrones)

Published in NBER International Seminar on Macroeconomics 2010, 2011, 245-286

We propose and implement a framework for characterizing and monitoring the global business cycle. Our framework utilizes high-frequency data, allows us to account for a potentially large amount of missing observations, and is designed to facilitate the updating of global activity estimates as data are released and revisions become available. We apply the framework to the G-7 countries and study various aspects of national and global business cycles, obtaining three main results. First, our measure of the global business cycle — the G-7 real activity factor — captures a significant amount of common variation across countries and displays the major global cyclical events of the past forty years. Second, the G-7 and idiosyncratic country factors appear to play different roles at different times in shaping national economic activity. Finally, the degree of G-7 business cycle synchronization among country factors has changed over time.

First draft : May 2010

Paper

NBER Working Paper [August 2010]

Most Recent Working Paper (may not be identical to the published version)

Published Version

Additional Materials

Extracted country factors (business-cycle indices) and the G-7 factor.

(with Francis X. Diebold)

Prepared for the American Economic Association 2010 Annual Meeting Session “Revisiting and Rethinking the Business Cycle”.

Published in American Economic Review Papers and Proceedings, May 2010, 100(2), 20-24

We sketch a framework for monitoring macroeconomic activity in real-time and push it in new directions. In particular, we focus not only on real activity, which has received most attention to date, but also on inflation and its interaction with real activity. As for the recent recession, we find that (1) it likely ended around July 2009; (2) its most extreme aspects concern a real activity decline that was unusually long but less unusually deep, and an inflation decline that was unusually deep but brief; and (3) its real activity and inflation interactions were strongly positive, consistent with an adverse demand shock.

First Draft : December 2009

Paper

NBER Working Paper 15657 [January 2010]

Most Recent Working Paper (may not be identical to the published version)

Published Version (Requires Subscription)

(with Francis X. Diebold and Chiara Scotti)

Published in Journal of Business and Economic Statistics, 2009, 27(4), 417-427 (lead article).

We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering. We illustrate the framework in a prototype empirical example and a simulation study calibrated to the example.

First Draft : March 2007

As of January 9, 2009, the Federal Reserve Bank of Philadelphia started producing the Aruoba-Diebold-Scotti Business Conditions Index based on the methods developed in this paper.

Paper

NBER Working Paper 14349 [September 2008]

Most Recent Working Paper (may not be identical to the published version)

Published Version (requires subscription)

Additional Materials

Simple Example (uses Eviews)

RATS code that replicates the results of the paper (also includes our data) (Written by Tom Doan from Estima — offered here with no warranties)

Press Mentions

Dow Jones Newswires [January 9, 2009]

The Press of Atlantic City [January 11, 2009]

Philadelphia Inquirer [January 15, 2009]

Econ Browser (James Hamilton’s Blog) [April 15, 2009]

Capital Spectator [November 20, 2009]

Philadelphia Inquirer [January 29, 2010]

(with Francis X. Diebold and Glenn D. Rudebusch)

Published in Journal of Econometrics, March-April 2006, 131(1-2), 309-338.

We estimate a model that summarizes the yield curve using latent factors (specifically, level, slope, and curvature) and also includes observable macroeconomic variables (specifically, real activity, inflation, and the monetary policy instrument). Our goal is to provide a characterization of the dynamic interactions between the macroeconomy and the yield curve. We find strong evidence of the effects of macro variables on future movements in the yield curve and evidence for a reverse influence as well. We also relate our results to the expectations hypothesis.

Paper

NBER Working Paper 10616 [July 2004]

Most Recent Working Paper (may not be identical to the published version)

Published Version (requires subscription)

Additional Materials

Data Used in the Paper (text file)

RATS code that replicates the results of the paper (Written by Tom Doan from Estima — offered here with no warranties)