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Le pouvoir de prévision des indices PMI

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  • Claudia Godbout
  • Jocelyn Jacob
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    Abstract

    The 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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    File URL: http://www.bankofcanada.ca/en/res/dp/2010/dp10-3.pdf
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    Bibliographic Info

    Paper provided by Bank of Canada in its series Discussion Papers with number 10-3.

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    Length: 23 pages
    Date of creation: 2010
    Date of revision:
    Handle: RePEc:bca:bocadp:10-3

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    Related research

    Keywords: Business fluctuations and cycles; International topics;

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    References

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    1. 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, Federal Reserve Bank of Dallas.
    2. Brigitte Desroches & Marc-André Gosselin, 2002. "The Usefulness of Consumer Confidence Indexes in the United States," Working Papers, Bank of Canada 02-22, Bank of Canada.
    3. Matthew Harris & Raymond E. Owens & Pierre-Daniel G. Sarte, 2004. "Using manufacturing surveys to assess economic conditions," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Fall, pages 65-92.
    4. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(2), pages 281-291, June.
    5. Ethan S. Harris, 1991. "Tracking the economy with the purchasing managers' index," Research Paper 9124, Federal Reserve Bank of New York.
    6. Ethan S. Harris, 1991. "Tracking the economy with the purchasing managers' index," Quarterly Review, Federal Reserve Bank of New York, issue Aut, pages 61-69.
    7. Isabel Yi Zheng & James Rossiter, 2006. "Using Monthly Indicators to Predict Quarterly GDP," Working Papers, Bank of Canada 06-26, Bank of Canada.
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    Cited by:
    1. 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.
    2. Lombardi, Marco J. & Maier, Philipp, 2011. "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series, European Central Bank 1379, European Central Bank.
    3. Maxime Leboeuf & Louis Morel, 2014. "Forecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions," Discussion Papers 14-3, Bank of Canada.

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