Monitoring daily unemployment at risk

• Autores: Helena Chuliá, Ignacio Garrón, Jorge Mario Uribe Gil
• Localización: Documents de Treball ( IREA ), Nº. 11, 2022
• Idioma: inglés
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• Resumen

  • Using a high-frequency framework, we show that the Auroba-Diebold-Scotti (ADS) daily business conditions index significantly increases the accuracy of U.S. unemployment nowcasts in real-time. This is of particular relevance in times of recession, such as the Global Financial Crisis and the Covid-19 pandemic, when the unemployment rate is prone to rise steeply. Based on our results, the ADS index presents itself as a better predictor than the financial indicators widely used by the literature and central banks, including both interest and credit spreads and the VXO.