Advanced Search
MyIDEAS: Login to save this paper or follow this series

Survey-based nowcasting of US growth: a real-time forecast comparison over more than 40 years

Contents:

Author Info

  • D’Agostino, Antonello
  • Schnatz, Bernd

Abstract

Reliable and timely information about current economic conditions is crucial for policy makers and expectations formation. This paper demonstrates the efficacy of the Survey of Professional Forecasters (SPF) and the Purchasing Manager Indices (PMI) in anticipating US real economic activity. We conduct a fully-fledged real-time out-ofsample forecasting exercise linking these surveys to US GDP and industrial production growth over a long sample period. We find that both indicators convey valuable information for assessing current economic conditions. The SPF clearly outperforms the PMI in forecasting GDP growth, while it performs quite poorly in anticipating industrial production growth. Combining the information included in both surveys further improves the accuracy of both, the PMI and the SPF-based forecast. JEL Classification: E37, E47, C22, C53

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1455.pdf
Download Restriction: no

Bibliographic Info

Paper provided by European Central Bank in its series Working Paper Series with number 1455.

as in new window
Length:
Date of creation: Aug 2012
Date of revision:
Handle: RePEc:ecb:ecbwps:20121455

Contact details of provider:
Postal: Postfach 16 03 19, Frankfurt am Main, Germany
Phone: +49 69 1344 0
Fax: +49 69 1344 6000
Web page: http://www.ecb.europa.eu/home/html/index.en.html
More information through EDIRC

Order Information:
Postal: Press and Information Division, European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany
Email:

Related research

Keywords: business cycle; forecasting; PMI; Real Time Data; US;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  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.
  2. Chiara Scotti & S.Boragan Aruoba & Francis X. Diebold & University of Maryland, 2006. "Real-Time Measurement of Business Conditions," Computing in Economics and Finance 2006 387, Society for Computational Economics.
  3. Liebermann, Joelle, 2011. "Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters," Research Technical Papers 3/RT/11, Central Bank of Ireland.
  4. Todd E. Clark & Kenneth D. West, 2005. "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper RWP 05-05, Federal Reserve Bank of Kansas City.
  5. Genre, Véronique & Kenny, Geoff & Meyler, Aidan & Timmermann, Allan, 2010. "Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average?," Working Paper Series 1277, European Central Bank.
  6. Kajal Lahiri & George Monokroussos, 2011. "Nowcasting US GDP: The role of ISM Business Surveys," Discussion Papers 11-01, University at Albany, SUNY, Department of Economics.
  7. Domenico Giannone & Lucrezia Reichlin & David Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
  8. Audrone Jakaitiene & Stephane Dees, 2012. "Forecasting the World Economy in the Short Term," The World Economy, Wiley Blackwell, vol. 35(3), pages 331-350, 03.
  9. Carriero, Andrea & Marcellino, Massimiliano, 2007. "A comparison of methods for the construction of composite coincident and leading indexes for the UK," International Journal of Forecasting, Elsevier, vol. 23(2), pages 219-236.
  10. Vermeulen, Philip, 2012. "Quantifying the qualitative responses of the output purchasing managers index in the US and the Euro area," Working Paper Series 1417, European Central Bank.
  11. Antonello D’Agostino & Kieran Mcquinn & Karl Whelan, 2012. "Are Some Forecasters Really Better Than Others?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(4), pages 715-732, 06.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ecb:ecbwps:20121455. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Official Publications).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.