Le pouvoir de prévision des indices PMI

Claudia Godbout and Jocelyn Jacob

Discussion Papers from Bank of Canada

Abstract: The forecast of world economic growth plays a key role in the conduct of Canadian monetary policy. In this context, the authors study the usefulness of the monthly Purchasing Managers’ Indexes (PMIs) in predicting short-term real GDP growth in the euro area, Japan, the United Kingdom, and China, as well as in the world economy. The main advantage of the PMIs lies in the timeliness of their releases compared to that of quarterly national accounts data and other related monthly indicators. The authors’ goal is to assess whether PMIs can help predict real GDP growth at the margin of other traditional monthly indicators (on top of the advantage related to their timeliness). To that end, the authors build simple indicator models and verify whether the addition of PMIs improves the in- and out-of-sample predictions. For all economies, PMIs turn out to be significant explanatory variables and to substantially improve the accuracy of predictions.

Keywords: Business fluctuations and cycles; International topics (search for similar items in EconPapers)
JEL-codes: E37 F47 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2010
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocadp:10-3

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