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Short-term Indicator Models for Quarterly GDP Growth in the BRIICS: A Small-scale Bridge Model Approach

Author

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  • Thomas Chalaux

    (OECD)

  • Cyrille Schwellnus

    (OECD)

Abstract

This paper extends the OECD Economics Department’s suite of short-term indicator models for quarterly GDP growth, which currently cover only the G7 countries, to the BRIICS countries. Reflecting the relative scarcity of high-quality macroeconomic time series, the paper adopts a small-scale bridge model approach. The results suggest that in terms of short-term forecast accuracy for the first and second quarter following the most recent GDP release these models outperform simple autoregressive or constant growth benchmarks. The small-scale indicator models would have allowed the identification of the growth slowdown during the global crisis of 2008-09 and the subsequent rebound several months ahead of official GDP releases. Overall, forecast accuracy appears to be similar to that of the existing indicator model suite for the G7 countries, especially once the higher GDP growth volatility in most BRIICS is accounted for. Modèles d'indicateurs de la croissance du PIB à court terme dans les BRIICS : une approche avec des modèles d'étalonnage à petite échelle Ce papier étend aux BRIICS les modèles de prévision de croissance à court terme du Département des Affaires économiques de l’OCDE qui n’englobent pour l’instant que les pays du G7. Considérant le manque de séries macroéconomiques de qualité, ce papier adopte une approche avec des modèles d’étalonnage à petite échelle. Les résultats suggèrent que les prévisions de ces modèles pour les deux trimestres suivant la publication la plus récente du PIB sont plus précises que celles des modèles autorégressifs ou qu’une hypothèse de croissance constante. Ces modèles à petite échelle auraient permis l’identification du ralentissement puis du rebond de la croissance durant la crise globale de 2008-2009 et ce plusieurs mois avant les publications officielles du PIB. Dans l’ensemble, la précision des prévisions semble être similaire à celle des modèles existants pour les pays du G7, particulièrement lorsque la forte volatilité du PIB que connaît la plupart des BRIICS est prise en compte.

Suggested Citation

  • Thomas Chalaux & Cyrille Schwellnus, 2014. "Short-term Indicator Models for Quarterly GDP Growth in the BRIICS: A Small-scale Bridge Model Approach," OECD Economics Department Working Papers 1109, OECD Publishing.
  • Handle: RePEc:oec:ecoaaa:1109-en
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    File URL: http://dx.doi.org/10.1787/5jz5t6b77rg4-en
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    More about this item

    Keywords

    bridge models; croissance; forecasting; growth; indicateurs de court terme; modèle d’étalonnage; prévisions; short-term indicators;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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