Le pouvoir de prévision des indices PMI
AbstractThe forecast of world economic growth plays a key role in the conduct of Canadian monetary policy. In this context, the authors study the usefulness of the monthly Purchasing Managers’ Indexes (PMIs) in predicting short-term real GDP growth in the euro area, Japan, the United Kingdom, and China, as well as in the world economy. The main advantage of the PMIs lies in the timeliness of their releases compared to that of quarterly national accounts data and other related monthly indicators. The authors’ goal is to assess whether PMIs can help predict real GDP growth at the margin of other traditional monthly indicators (on top of the advantage related to their timeliness). To that end, the authors build simple indicator models and verify whether the addition of PMIs improves the in- and out-of-sample predictions. For all economies, PMIs turn out to be significant explanatory variables and to substantially improve the accuracy of predictions.
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Bibliographic InfoPaper provided by Bank of Canada in its series Discussion Papers with number 10-3.
Length: 23 pages
Date of creation: 2010
Date of revision:
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Business fluctuations and cycles; International topics;
Find related papers by JEL classification:
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
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- Evan F. Koenig, 2002. "Using the Purchasing Managers' Index to assess the economy's strength and the likely direction of monetary policy," Economic and Financial Policy Review, Federal Reserve Bank of Dallas.
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- Keeney, Mary & Kennedy, Bernard & Liebermann, Joelle, 2012. "The value of hard and soft data for short-term forecasting of GDP," Economic Letters 11/EL/12, Central Bank of Ireland.
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