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We propose a mixed\u2010frequency alternative that delivers high\u2010frequency probability forecasts (including their confidence bands) for low\u2010frequency events. The new approach is compared with single\u2010frequency alternatives using loss functions for rare\u2010event forecasting. We find (i) the weekly\u2010sampled term spread improves over the monthly\u2010sampled 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\u2010time using a mixed\u2010frequency filtering.<\/jats:p>","DOI":"10.1002\/jae.2931","type":"journal-article","created":{"date-parts":[[2022,8,25]],"date-time":"2022-08-25T09:19:33Z","timestamp":1661419173000},"page":"1314-1333","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":11,"title":["Forecasting low\u2010frequency macroeconomic events with high\u2010frequency data"],"prefix":"10.1002","volume":"37","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3263-9450","authenticated-orcid":false,"given":"Ana Beatriz","family":"Galv\u00e3o","sequence":"first","affiliation":[{"name":"Warwick Business School University of Warwick  Coventry UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2109-3432","authenticated-orcid":false,"given":"Michael","family":"Owyang","sequence":"additional","affiliation":[{"name":"Research Division Federal Reserve Bank of St. Louis  St. Louis Missouri USA"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2022,10,3]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20161923"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1993.10476321"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.01.004"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2013.767199"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109018001308"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1257\/pol.4.2.1"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.2284274"},{"key":"e_1_2_9_9_1","first-page":"2018\u20107","article-title":"Economic forecasts with the yield curve","author":"Bauer M. 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