What is happening now? The onset of the COVID-19 crisis highlighted the importance of having timely data on the
economy to help policymakers make more informed decisions. However, the most comprehensive measure of activity,
GDP, is published with a long lag, thereby limiting its value to policymakers as a measure of the current state of
the economy. To overcome this information deficiency, we develop a monthly activity indicator (MAI) for Australia.
The MAI aims to provide policymakers with a more immediate snapshot of prevailing economic conditions. We achieve
this by using a dynamic factor model to summarise the information content from a curated list of 30 monthly
predictors selected for their ability to explain movements in quarterly real GDP growth. We undertake a pseudo
out-of-sample nowcasting exercise using the MAI in an unrestricted MIDAS model and find that nowcasts based on the
MAI significantly outperform standard benchmarks. Crucially, outperformance is largest during the COVID-19 crisis,
emphasising the benefit from considering monthly data. Our results demonstrate that the MAI is a useful tool for
policymakers to gain a better understanding of current economic conditions in Australia.