Predictive power of confidence indicators for the Russian economy
AbstractThis study examines the forecasting power of confidence indicators for the Russian economy. ARX models are fitted to the six confidence or composite indicators, which were then compared to a simple benchmark AR-model. The study used the output of the five main branches as the reference series. Empirical evidence suggests that confidence indicators do have forecasting power. The power is strongly influenced by the way which the indicator is constructed from the component series. The HSBC Purchasing Managers' Index (PMI), the OECD Composite Leading Indicator (CLI) and the OECD Business Confidence Indicator (BCI) were the best performers in terms of both the information criterion and forecasting accuracy.
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Bibliographic InfoPaper provided by Bank of Finland, Institute for Economies in Transition in its series BOFIT Discussion Papers with number 15/2012.
Length: 42 pages
Date of creation: 12 Jul 2012
Date of revision:
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Postal: Bank of Finland, BOFIT, P.O. Box 160, FI-00101 Helsinki, Finland
Phone: + 358 10 831 2268
Fax: + 358 10 831 2294
Web page: http://www.suomenpankki.fi/bofit_en/
More information through EDIRC
confidence indicators; forecasting; Russia;
Find related papers by JEL classification:
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- P27 - Economic Systems - - Socialist Systems and Transition Economies - - - Performance and Prospects
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-23 (All new papers)
- NEP-CIS-2012-07-23 (Confederation of Independent States)
- NEP-FOR-2012-07-23 (Forecasting)
- NEP-MAC-2012-07-23 (Macroeconomics)
- NEP-TRA-2012-07-23 (Transition Economics)
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.:
- Donald W.K. Andrews, 1990.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Cowles Foundation Discussion Papers
943, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
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