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Predictive power of confidence indicators for the Russian economy

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  • Korte, Niko

    ()
    (BOFIT)

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    Abstract

    This 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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    File URL: http://www.suomenpankki.fi/bofit_en/tutkimus/tutkimusjulkaisut/dp/Documents/2012/dp1512.pdf
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    Bibliographic Info

    Paper provided by Bank of Finland, Institute for Economies in Transition in its series BOFIT Discussion Papers with number 15/2012.

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    Length: 42 pages
    Date of creation: 12 Jul 2012
    Date of revision:
    Handle: RePEc:hhs:bofitp:2012_015

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    Postal: Bank of Finland, BOFIT, P.O. Box 160, FI-00101 Helsinki, Finland
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    Fax: + 358 10 831 2294
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    Web page: http://www.suomenpankki.fi/bofit_en/
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    Related research

    Keywords: confidence indicators; forecasting; Russia;

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    1. 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.
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