Nowcasting Economic Activity in Times of COVID-19: An Approximation from the Google Community Mobility Report [open pdf - 0B]
From the Abstract: "This paper proposes a leading indicator, the 'Google Mobility Index,' for nowcasting monthly industrial production growth rates in selected economies in Latin America and the Caribbean. The index is constructed using the Google COVID-19 [coronavirus disease 2019] Community Mobility Report database via a Kalman filter. The Google database is publicly available starting from February 15, 2020. The paper uses a backcasting methodology to increase the historical number of observations and then augments a lag of one week in the mobility data with other high-frequency data (air quality) over January 1, 2019 to April 30, 2020. Finally, mixed data sampling regression is implemented for nowcasting industrial production growth rates. The Google Mobility Index is a good predictor of industrial production. The results suggest a significant decline in output of between 5 and 7 percent for March and April, respectively, while indicating a trough in output in mid-April."
Policy Research Working Paper 9247
World Bank Group
World Bank Group: https://www.worldbank.org/