Nowcasting the trajectory of the COVID-19 recovery

ABSTRACT

I develop a weekly coincident index of economic activity in the State of Hawaii. The purpose of the index is to nowcast the recovery from the COVID-19 induced downturn. The index is the first principal component extracted from 18 daily and weekly state-level time series, it captures about 80% of the variation in the sample, it is available with a four-day lag, and it predicts the changes in nonfarm payrolls, the Philadelphia Fed coincident index, and excise tax revenues.

KEYWORDS:

• Coincident index
• principal component analysis
• high-frequency data
• nowcasting
• COVID-19

JEL CODES:

• C22
• C53
• C55
• C82
• E27

Disclosure statement

No potential conflict of interest was reported by the author.