Daily Indicator of Mexico’s Economic Activity

Abstract This paper presents the first approximation of the Daily Indicator of Economic Activity in Mexico (IDAEM in Spanish) with the aim of monitoring the country’s macroeconomic behavior at a high frequency. In order to generate the IDAEM, the following is proposed: (i) to build a high-frequency database, i.e., Google Trends topics and economic and financial variables that, when aggregated monthly, relate to the Global Indicator of Economic Activity (IGAE)—a Mexican monthly gross domestic product measure, (ii) estimate a high-frequency dynamic factor that is cointegrated at the monthly level with the IGAE, and (iii) restrict the daily values of the IDAEM to satisfy monthly time constraints corresponding to the values of the IGAE. We find that the IDAEM represents a reliable approximation of the movement of the economic situation in Mexico at a high frequency.