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Foreign PMIs: A reliable indicator for exports?

Listed author(s):
  • Sandra Hanslin
  • Rolf Scheufele

Foreign economic activity is a major determinant of export development. This paper presents an indicator for now- and forecasting exports, which is based on survey data that captures foreign economic perspectives. We construct an indicator by weighting foreign PMIs of main trading partners with their respective export shares. For two very trade exposed countries (Germany and Switzerland) the paper shows that the indicator based on foreign PMIs is strongly correlated with exports (total as well as goods exports). In an out-of-sample forecast comparison we employ MIDAS models to forecast the two different definitions of exports. We document that our export indicator performs very well relative to univariate benchmarks and relative to other major leading indicators using hard and soft data.

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File URL: https://www.snb.ch/n/mmr/reference/working_paper_2016_01/source/working_paper_2016_01.n.pdf
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Paper provided by Swiss National Bank in its series Working Papers with number 2016-01.

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Length: 27 pages
Date of creation: 2016
Handle: RePEc:snb:snbwpa:2016-01
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  1. Robert Lehmann, 2015. "Survey-based indicators vs. hard data: What improves export forecasts in Europe?," ifo Working Paper Series Ifo Working Paper No. 196, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  2. Lahiri, Kajal & Monokroussos, George, 2013. "Nowcasting US GDP: The role of ISM business surveys," International Journal of Forecasting, Elsevier, vol. 29(4), pages 644-658.
  3. Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2006. "A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 499-526.
  4. Nils Jannsen & Julia Richter, 2012. "Kapazitätsauslastung im Ausland als Indikator für die deutschen Investitionsgüterexporte," Wirtschaftsdienst, Springer;German National Library of Economics, vol. 92(12), pages 833-837, December.
  5. Massimiliano Marcellino & Christian Schumacher, 2010. "Factor MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 518-550, 08.
  6. Daniel Kaufmann & Rolf Scheufele, 2015. "Business tendency surveys and macroeconomic fluctuations," KOF Working papers 15-378, KOF Swiss Economic Institute, ETH Zurich.
  7. Christian Grimme & Klaus Wohlrabe, 2014. "Die ifo Exporterwartungen – ein neuer Indikator zur Lage der Exportindustrie in Deutschland," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 67(23), pages 64-65, December.
  8. Steffen Elstner & Christian Grimme & Ulrich Haskamp, 2013. "Das ifo Exportklima – ein Frühindikator für die deutsche Exportprognose," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 66(04), pages 36-43, 03.
  9. Cláudia Duarte & Fátima Cardoso, 2006. "The Use of Qualitative Information for Forecasting Exports," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
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