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World steel production: A new monthly indicator of global real economic activity

In this paper we propose a new indicator of monthly global real economic activity, named world steel production. We use world steel production, OECD industrial production index and Kilian’s rea index to forecast world real GDP, and key commodity prices. We find that world steel production generates large statistically significant gains in forecasting world real GDP and oil prices, relative to an autoregressive benchmark. A forecast combination of the three indices produces statistically significant gains in forecasting world real GDP, oil, natural gas, gold and fertilizer prices, relative to an autoregressive benchmark.

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File URL: http://eprints.utas.edu.au/23636/1/2017-08_Ravazzolo_Vespignani.pdf
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Paper provided by University of Tasmania, Tasmanian School of Business and Economics in its series Working Papers with number 2017-08.

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Length: 25 pages
Date of creation: 2017
Publication status: Published by the University of Tasmania. Discussion paper 2017-08
Handle: RePEc:tas:wpaper:23636
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Phone: +61 3 6226 7672
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Web page: http://www.utas.edu.au/business-and-economics

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