Author
Abstract
[eng] New Indicators for Tracking Growth in Real Time in 32 Advanced and Emerging Economies. . We develop monthly indicators for tracking short-run trends in real GDP growth in 32 advanced and emerging-market economies. To do so, we use a two-stage procedure inspired by Giannone et alii (2008) that combines the estimation of dynamic factor models on and the application of the Kalman filter to heterogeneous data in terms of frequency and publishing delays. We test the historical performance of our indicators and find that they do a good job at describing the business cycle. In a recursive out-of-sample forecasting exercise, we find that the indicators generally produce good real GDP growth forecasts relative to a range of time series models. [fre] Dans cet article, nous élaborons des indicateurs mensuels de suivi des tendances à court terme des taux de croissance du PIB réel dans 32 économies de marché avancées et émergentes. Pour ce faire, nous recourons à une procédure en deux étapes inspirée de Giannone et alii (2008), combinant l’estimation de modèles à facteurs dynamiques et l’utilisation du filtre de Kalman sur des données présentant des périodicités et des délais de publication différents. Nous constatons que ces indicateurs décrivent de manière satisfaisante le cycle conjoncturel des pays concernés sur le passé. Un exercice récursif de prévision hors échantillon montre en outre qu’ils fournissent en général de bonnes prévisions de croissance comparativement à un large éventail de modèles de prévision concurrents.
Suggested Citation
Troy D. Matheson, 2012.
"De nouveaux indicateurs de suivi de la croissance en temps réel dans 32 économies avancées et émergentes,"
Économie et Prévision, Programme National Persée, vol. 199(1), pages 31-50.
Handle:
RePEc:prs:ecoprv:ecop_0249-4744_2012_num_199_1_8097
DOI: 10.3406/ecop.2012.8097
Note: DOI:10.3406/ecop.2012.8097
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