TY - DATA T1 - forecasting-lowfrequency-macroeconomic-events-with-highfrequency-data AU - Galvão, Ana Beatriz AU - Owyang, Michael DO - doi:10.15456/jae.2022327.1159870331 AB - High-frequency financial and economic indicators are usually time-aggregated before computing forecasts of macroeconomic events, such as recessions. We propose a mixed-frequency alternative that delivers high-frequency probability forecasts (including their confidence bands) for low-frequency events. The new approach is compared with single-frequency alternatives using loss functions for rare-event forecasting. We find (i) the weekly-sampled term spread improves over the monthly-sampled to predict NBER recessions, (ii) the predictive content of financial variables is supplementary to economic activity for forecasts of vulnerability events, and (iii) a weekly activity index can date the 2020 business cycle peak in real-time using a mixed-frequency filtering. ET - 1 PY - 2022 PB - ZBW - Leibniz Informationszentrum Wirtschaft UR - https://journaldata.zbw.eu/dataset/forecasting-lowfrequency-macroeconomic-events-with-highfrequency-data ER -