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New Indicators for Tracking Growth in Real Time

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  • Troy Matheson

Abstract

We develop monthly indicators for tracking growth in 32 advanced and emerging-market economies. We test the historical performance of our indicators and find that they do a good job at describing the business cycle. In a recursive out-of-sample forecasting exercise, we find that the indicators generally produce good GDP growth forecasts relative to a range of time series models.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 11/43.

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Length: 22
Date of creation: 01 Feb 2011
Date of revision:
Handle: RePEc:imf:imfwpa:11/43

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Keywords: Developed countries; Economic growth; Economic indicators; Emerging markets; Forecasting models; gdp growth; forecasting; real gdp; equation; time series; business cycle; statistics; equations; covariance; missing observations; surveys; econometrics; correlation; growth rates; estimation procedure; business cycles; explanatory power; outliers; survey; random walk; missing data; standard deviation; data transformation; standard deviations; extrapolation; maximum likelihood estimator; bayesian information criterion; samples; gdp growth rates; constant term;

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References

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  1. S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," NBER Working Papers 15657, National Bureau of Economic Research, Inc.
  2. Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
  3. Catherine Doz & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print, HAL peer-00844811, HAL.
  4. Domenico Giannone & Lucrezia Reichlin & David H Small, 2007. "Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group 164, Money Macro and Finance Research Group.
  5. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
  6. Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe, 2004. "Bridge models to forecast the euro area GDP," International Journal of Forecasting, Elsevier, Elsevier, vol. 20(3), pages 447-460.
  7. Mario Forni & Filippo Altissimo & Riccardo Cristadoro & Marco Lippi & Giovanni Veronese., 2008. "New Eurocoin: Tracking Economic Growth in Real Time," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics 020, University of Modena and Reggio E., Dept. of Economics.
  8. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November.
  9. Troy Matheson, 2007. "An analysis of the informational content of New Zealand data releases: the importance of business opinion surveys," Reserve Bank of New Zealand Discussion Paper Series DP2007/13, Reserve Bank of New Zealand.
  10. Banbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2007. "Bayesian VARs with Large Panels," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6326, C.E.P.R. Discussion Papers.
  11. Angelini, Elena & Henry, Jérôme & Marcellino, Massimiliano, 2004. "Interpolation and Backdating with A Large Information Set," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4533, C.E.P.R. Discussion Papers.
  12. Maximo Camacho & Gabriel Perez-Quiros, 2010. "Introducing the euro-sting: Short-term indicator of euro area growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(4), pages 663-694.
  13. Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
  14. Kitchen, John & Monaco, Ralph, 2003. "Real-Time Forecasting in Practice: The U.S. Treasury Staff's Real-Time GDP Forecast System," MPRA Paper 21068, University Library of Munich, Germany, revised Oct 2003.
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Cited by:
  1. Bhattacharya, Rudrani & Pandey, Radhika & Veronese, Giovanni, 2011. "Tracking India Growth in Real Time," Working Papers, National Institute of Public Finance and Policy 11/90, National Institute of Public Finance and Policy.
  2. António Afonso & João Tovar Jalles, 2011. "A Longer-run Perspective on Fiscal Sustainability," Working Papers Department of Economics, ISEG - School of Economics and Management, Department of Economics, University of Lisbon 2011/17, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.

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