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Nowcasting US GDP: The role of ISM business surveys

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  • Lahiri, Kajal
  • Monokroussos, George

Abstract

We study the role of the well-known monthly diffusion indices produced by the Institute for Supply Management (ISM) in nowcasting current quarter US GDP growth. In contrast to the existing literature on ISM surveys, we investigate their marginal impact on these nowcasts when large unbalanced (jagged edge) macroeconomic data sets are used to generate them in real time. We find evidence that these ISM indices are helpful in improving the nowcasts when new ISM information becomes available at the beginning of the month, ahead of other monthly indicators. Furthermore, while the existing literature has focused almost exclusively on manufacturing information, here we establish the increasingly significant role of the recently created non-manufacturing ISM diffusion indices in such nowcasting contexts.

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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 29 (2013)
Issue (Month): 4 ()
Pages: 644-658

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Handle: RePEc:eee:intfor:v:29:y:2013:i:4:p:644-658

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Web page: http://www.elsevier.com/locate/ijforecast

Related research

Keywords: Forecasting; ISM; PMI; NMI; Factor models; Kalman filter; Real time data;

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References

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Cited by:
  1. Khundrakpam, Jeevan Kumar & George, Asish Thomas, 2012. "An Empirical Analysis of the Relationship between WPI and PMI-Manufacturing Price Indices in India," MPRA Paper 50929, University Library of Munich, Germany.
  2. Kajal Lahiri & George Monokroussos & Yongchen Zhao, 2012. "The yield spread puzzle and the information content of SPF forecasts," Discussion Papers 12-04, University at Albany, SUNY, Department of Economics.
  3. Kajal Lahiri & George Monokroussos & Yongchen Zhao, 2012. "Forecasting Consumption in Real Time: The Role of Consumer Confidence Surveys," Discussion Papers 12-02, University at Albany, SUNY, Department of Economics.
  4. Deicy J. Cristiano & Manuel D. Hernández & José David Pulido, 2012. "Pronósticos de corto plazo en tiempo real para la actividad económica colombiana," BORRADORES DE ECONOMIA 009827, BANCO DE LA REPÚBLICA.
  5. Ermişoğlu, Ergun & Akcelik, Yasin & Oduncu, Arif, 2013. "GDP Growth and Credit Data," MPRA Paper 46613, University Library of Munich, Germany.
  6. D’Agostino, Antonello & Schnatz, Bernd, 2012. "Survey-based nowcasting of US growth: a real-time forecast comparison over more than 40 years," Working Paper Series 1455, European Central Bank.

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