IDEAS home Printed from https://ideas.repec.org/a/eee/intfor/v30y2014i4p847-862.html
   My bibliography  Save this article

Tracking world trade and GDP in real time

Author

Listed:
  • Golinelli, Roberto
  • Parigi, Giuseppe

Abstract

This paper proposes a simple procedure for obtaining monthly assessments of short-run perspectives for quarterly world GDP and trade. It combines high-frequency information from emerging and advanced countries so as to explain quarterly national accounts variables through bridge models. The union of all bridge equations leads to our world bridge model (WBM). The WBM approach of this paper is new for two reasons: its equations combine traditional short-run bridging with theoretical level-relationships, and it is the first time that forecasts of world GDP and trade have been computed for both advanced and emerging countries on the basis of a real-time database of approximately 7000 time series. Although the performances of the equations that are searched automatically should be taken as a lower bound, our results show that the forecasting ability of the WBM is superior to the benchmark. Finally, our results confirm that the use of revised data leads to models’ forecasting performances being overstated significantly.

Suggested Citation

  • Golinelli, Roberto & Parigi, Giuseppe, 2014. "Tracking world trade and GDP in real time," International Journal of Forecasting, Elsevier, vol. 30(4), pages 847-862.
  • Handle: RePEc:eee:intfor:v:30:y:2014:i:4:p:847-862
    DOI: 10.1016/j.ijforecast.2014.01.008
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0169207014000521
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Corradi, Valentina & Fernandez, Andres & Swanson, Norman R., 2009. "Information in the Revision Process of Real-Time Datasets," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 455-467.
    2. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2005. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 830-840, September.
    3. 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., vol. 25(4), pages 663-694.
    4. Hervé, Karine & Pain, Nigel & Richardson, Pete & Sédillot, Franck & Beffy, Pierre-Olivier, 2011. "The OECD's new global model," Economic Modelling, Elsevier, vol. 28(1-2), pages 589-601, January.
    5. Audrone Jakaitiene & Stephane Dees, 2012. "Forecasting the World Economy in the Short Term," The World Economy, Wiley Blackwell, vol. 35(3), pages 331-350, March.
    6. Raffaella Giacomini & Halbert White, 2006. "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, vol. 74(6), pages 1545-1578, November.
    7. Calista Cheung & Stéphanie Guichard, 2009. "Understanding the World Trade Collapse," OECD Economics Department Working Papers 729, OECD Publishing.
    8. Giuseppe Parigi & Roberto Golinelli & Giorgio Bodo, 2000. "Forecasting industrial production in the Euro area," Empirical Economics, Springer, vol. 25(4), pages 541-561.
    9. Stark, Tom & Croushore, Dean, 2002. "Reply to the comments on 'Forecasting with a real-time data set for macroeconomists'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 563-567, December.
    10. M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008. "Forecasting Economic and Financial Variables with Global VARs," CESifo Working Paper Series 2263, CESifo.
    11. Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-389, June.
    12. Golinelli, Roberto & Parigi, Giuseppe, 2014. "Tracking world trade and GDP in real time," International Journal of Forecasting, Elsevier, vol. 30(4), pages 847-862.
    13. Bouwman, Kees E. & Jacobs, Jan P.A.M., 2011. "Forecasting with real-time macroeconomic data: The ragged-edge problem and revisions," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 784-792.
    14. Stark, Tom & Croushore, Dean, 2002. "Forecasting with a real-time data set for macroeconomists," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 507-531, December.
    15. Guido Bulligan & Massimiliano Marcellino & Fabrizio Venditti, 2012. "Forecasting economic activity with higher frequency targeted predictors," Temi di discussione (Economic working papers) 847, Bank of Italy, Economic Research and International Relations Area.
    16. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
    17. McGuckin, Robert H. & Ozyildirim, Ataman & Zarnowitz, Victor, 2007. "A More Timely and Useful Index of Leading Indicators," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 110-120, January.
    18. Pesaran, M. Hashem & Schuermann, Til & Smith, L. Vanessa, 2009. "Forecasting economic and financial variables with global VARs," International Journal of Forecasting, Elsevier, vol. 25(4), pages 642-675, October.
    19. Pesaran, M. Hashem & Schuermann, Til & Smith, L. Vanessa, 2009. "Rejoinder to comments on forecasting economic and financial variables with global VARs," International Journal of Forecasting, Elsevier, vol. 25(4), pages 703-715, October.
    20. Heij, Christiaan & van Dijk, Dick & Groenen, Patrick J.F., 2011. "Real-time macroeconomic forecasting with leading indicators: An empirical comparison," International Journal of Forecasting, Elsevier, vol. 27(2), pages 466-481, April.
    21. Bernanke, Ben S. & Boivin, Jean, 2003. "Monetary policy in a data-rich environment," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 525-546, April.
    22. Fair, Ray C, 1993. "Testing the Rational Expectations Hypothesis in Macroeconometric Models," Oxford Economic Papers, Oxford University Press, vol. 45(2), pages 169-190, April.
    23. Pesaran M.H. & Schuermann T. & Weiner S.M., 2004. "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 129-162, April.
    24. Pesaran, Hashem & Timmermann, Allan, 2005. "Real-Time Econometrics," Econometric Theory, Cambridge University Press, vol. 21(1), pages 212-231, February.
    25. Andrei A. Levchenko & Logan Lewis & Linda L. Tesar, 2009. "The Collapse of International Trade During the 2008-2009 Crisis: In Search of the Smoking Gun," Working Papers 592, Research Seminar in International Economics, University of Michigan.
    26. Jesús Fernández-Villaverde, 2008. "Horizons of Understanding: A Review of Ray Fair's Estimating How the Macroeconomy Works," Journal of Economic Literature, American Economic Association, vol. 46(3), pages 685-703, September.
    27. Qin, Duo & Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Quising, Pilipinas, 2008. "Automatic leading indicators versus macroeconometric structural models: A comparison of inflation and GDP growth forecasting," International Journal of Forecasting, Elsevier, vol. 24(3), pages 399-413.
    28. Boivin, Jean & Ng, Serena, 2006. "Are more data always better for factor analysis?," Journal of Econometrics, Elsevier, vol. 132(1), pages 169-194, May.
    29. Alessandro Girardi & Roberto Golinelli & Carmine Pappalardo, 2017. "The role of indicator selection in nowcasting euro-area GDP in pseudo-real time," Empirical Economics, Springer, vol. 53(1), pages 79-99, August.
    30. Clements Michael P. & Hendry David F., 2008. "Economic Forecasting in a Changing World," Capitalism and Society, De Gruyter, vol. 3(2), pages 1-20, October.
    31. Stock, James H & Watson, Mark W, 1996. "Evidence on Structural Instability in Macroeconomic Time Series Relations," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 11-30, January.
    32. Fabio Busetti, 2006. "Preliminary data and econometric forecasting: an application with the Bank of Italy Quarterly Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(1), pages 1-23.
    33. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
    34. Norman R. Swanson & Halbert White, 1997. "A Model Selection Approach To Real-Time Macroeconomic Forecasting Using Linear Models And Artificial Neural Networks," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 540-550, November.
    35. Alessandro Borin & Riccardo Cristadoro & Roberto Golinelli & Giuseppe Parigi, 2012. "Forecasting world output: the rising importance of emerging economies," Temi di discussione (Economic working papers) 853, Bank of Italy, Economic Research and International Relations Area.
    36. Golinelli, Roberto & Parigi, Giuseppe, 2008. "Real-time squared: A real-time data set for real-time GDP forecasting," International Journal of Forecasting, Elsevier, vol. 24(3), pages 368-385.
    37. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-162, April.
    38. Marcelle Chauvet & Chengxuan Yu, 2006. "International business cycles: G7 and OECD countries," Economic Review, Federal Reserve Bank of Atlanta, vol. 91(Q 1), pages 43-54.
    39. S. Borağan Aruoba & Francis X. Diebold & M. Ayhan Kose & Marco E. Terrones, 2011. "Globalization, the Business Cycle, and Macroeconomic Monitoring," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 7(1), pages 245-286.
    40. Marie Diron, 2008. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 371-390.
    41. Swanson, Norman R. & van Dijk, Dick, 2006. "Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 24-42, January.
    42. Liu, Philip & Matheson, Troy & Romeu, Rafael, 2012. "Real-time forecasts of economic activity for Latin American economies," Economic Modelling, Elsevier, vol. 29(4), pages 1090-1098.
    43. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521634809, June.
    44. Stéphanie Guichard & Elena Rusticelli, 2011. "A Dynamic Factor Model for World Trade Growth," OECD Economics Department Working Papers 874, OECD Publishing.
    45. Matthias Burgert & Stephane Dees, 2009. "Forecasting World Trade: Direct Versus “Bottom-Up” Approaches," Open Economies Review, Springer, vol. 20(3), pages 385-402, July.
    46. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    47. Nigel Pain & Annabelle Mourougane & Franck Sédillot & Laurence Le Fouler, 2005. "The New OECD International Trade Model," OECD Economics Department Working Papers 440, OECD Publishing.
    48. Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe, 2004. "Bridge models to forecast the euro area GDP," International Journal of Forecasting, Elsevier, vol. 20(3), pages 447-460.
    49. Ayhan Kose, M. & Otrok, Christopher & Whiteman, Charles H., 2008. "Understanding the evolution of world business cycles," Journal of International Economics, Elsevier, vol. 75(1), pages 110-130, May.
    50. Stock, James H. & Watson, Mark W., 2006. "Forecasting with Many Predictors," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 10, pages 515-554, Elsevier.
    51. Gerard van Welzenis & Wim Suyker, 2005. "Explanatory note on the CPB world trade series," CPB Memorandum 116, CPB Netherlands Bureau for Economic Policy Analysis.
    52. Andrei A Levchenko & Logan T Lewis & Linda L Tesar, 2010. "The Collapse of International Trade during the 2008–09 Crisis: In Search of the Smoking Gun," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 58(2), pages 214-253, December.
    53. Mark W. Watson & James H. Stock, 2004. "Combination forecasts of output growth in a seven-country data set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 405-430.
    54. Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
    55. M. Hashem Pesaran & Allan Timmermann, 2004. "Real Time Econometrics," CESifo Working Paper Series 1169, CESifo.
    56. Gordon H. Hanson, 2012. "The Rise of Middle Kingdoms: Emerging Economies in Global Trade," Journal of Economic Perspectives, American Economic Association, vol. 26(2), pages 41-64, Spring.
    57. Giuseppe Parigi & Roberto Golinelli, 2007. "The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(2), pages 77-94.
    58. Matthieu Bussière & Giovanni Callegari & Fabio Ghironi & Giulia Sestieri & Norihiko Yamano, 2013. "Estimating Trade Elasticities: Demand Composition and the Trade Collapse of 2008-2009," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 118-151, July.
    59. Fair, Ray C, 1993. "Testing Macroeconomic Models," American Economic Review, American Economic Association, vol. 83(2), pages 287-293, May.
    60. Bharat Trehan, 1989. "Forecasting growth in current quarter real GNP," Economic Review, Federal Reserve Bank of San Francisco, issue Win, pages 39-52.
    61. Clements, Michael P & Galvão, Ana Beatriz, 2008. "Macroeconomic Forecasting With Mixed-Frequency Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 546-554.
    62. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jos Jansen & Jasper de Winter, 2016. "Improving model-based near-term GDP forecasts by subjective forecasts: A real-time exercise for the G7 countries," DNB Working Papers 507, Netherlands Central Bank, Research Department.
    2. E. Terrones, Marco & Kose, Ayhan & Sugawara, Naotaka, 2020. "Global Recessions," CEPR Discussion Papers 14397, C.E.P.R. Discussion Papers.
    3. Alessandro Girardi & Roberto Golinelli & Carmine Pappalardo, 2017. "The role of indicator selection in nowcasting euro-area GDP in pseudo-real time," Empirical Economics, Springer, vol. 53(1), pages 79-99, August.
    4. Chen, Qiwei & Costantini, Mauro & Deschamps, Bruno, 2016. "How accurate are professional forecasts in Asia? Evidence from ten countries," International Journal of Forecasting, Elsevier, vol. 32(1), pages 154-167.
    5. Ravazzolo, Francesco & Vespignani, Joaquin, 2017. "World steel production: A new monthly indicator of global real economic activity," Working Papers 2017-08, University of Tasmania, Tasmanian School of Business and Economics.
    6. Laurent Ferrara & Clément Marsilli, 2019. "Nowcasting global economic growth: A factor‐augmented mixed‐frequency approach," The World Economy, Wiley Blackwell, vol. 42(3), pages 846-875, March.
    7. Ullrich Heilemann & Karsten Müller, 2018. "Wenig Unterschiede – Zur Treffsicherheit Internationaler Prognosen und Prognostiker
      [Few differences—on the accuracy of international forecasts and forecaster]
      ," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 12(3), pages 195-233, December.
    8. Sokolov-Mladenović, Svetlana & Milovančević, Milos & Mladenović, Igor, 2017. "Evaluation of trade influence on economic growth rate by computational intelligence approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 358-362.
    9. Laurent Ferrara & Anna Simoni, 2019. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," Working papers 717, Banque de France.
    10. Kose, M. Ayhan & Sugawara, Naotaka & Terrones, Marco E., 2020. "Global Recessions," MPRA Paper 98608, University Library of Munich, Germany.
    11. Camacho, Maximo & Martinez-Martin, Jaime, 2015. "Monitoring the world business cycle," Economic Modelling, Elsevier, vol. 51(C), pages 617-625.
    12. Heinisch, Katja & Lindner, Axel, 2018. "For how long do IMF forecasts of world economic growth stay up-to-date?," EconStor Open Access Articles, ZBW - Leibniz Information Centre for Economics, pages 1-6.
    13. Pao-Lan Kuo & Chien-Liang Chiu & Chan-Sheng Chen & Mei-Chih Wang, 2020. "The Dynamic Relationships between the Baltic Dry Index and the BRICS Stock Markets: A Wavelet Analysis," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(3), pages 340-351, March.
    14. Golinelli, Roberto & Parigi, Giuseppe, 2014. "Tracking world trade and GDP in real time," International Journal of Forecasting, Elsevier, vol. 30(4), pages 847-862.
    15. Francesco Ravazzolo & Joaquin Vespignani, 2020. "World steel production: A new monthly indicator of global real economic activity," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 53(2), pages 743-766, May.
    16. Baumann, Ursel & Gómez-Salvador, Ramón & Seitz, Franz, 2019. "Detecting turning points in global economic activity," Working Paper Series 2310, European Central Bank.
    17. Lya Paola Sierra Suárez & Jaime Andrés Collazos-Rodríguez & Johana Sanabria-Domínguez & Pavel Vidal-Alejandro, 2017. "La construcción de indicadores de la actividad económica: una revisión bibliográfica," Revista Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, vol. 36(64), pages 79-107, October.

    More about this item

    Keywords

    World trade and GDP forecasts; Augmented bridge models; World bridge model; Real-time data;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:30:y:2014:i:4:p:847-862. 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: (Haili He). General contact details of provider: http://www.elsevier.com/locate/ijforecast .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.