Die Globalen Konjunkturbarometer

Klaus Abberger, Michael Graff (), Oliver Müller () and Jan-Egbert Sturm
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Michael Graff: KOF Swiss Economic Institute, ETH Zurich, Switzerland, http://www.kof.ethz.ch
Oliver Müller: KOF Swiss Economic Institute, ETH Zurich, Switzerland, http://www.kof.ethz.ch

KOF Analysen, 2020, vol. 14, issue 2, 45-61

Abstract: This paper presents the new coincident and leading composite monthly indicators for the global business cycle - the Global Economic Barometers, which KOF publishes online at a monthly frequency since January 2020 (https://kof.ethz.ch/en/forecasts-and-indicators/indicators/kof-globalbaro.html). They target the world's output growth rate cycle. Their calculation comprises two main stages. The first is a variable selection procedure, in which a pre-determined correlation threshold and the targeted leads to the reference series are the selection criteria. In the second stage, the selected variables are combined and transformed into the respective composite indicators, computed as the first partial least squares factor with the reference series as response variable. We analyse the characteristics of the two new indicators in a pseudo real-time setting and demonstrate that both are useful additions to the small number of indicators for the global business cycle published so far. The Barometers are calculated monthly, usually in the first week of a calendar month, and are therefore available promptly and in high frequency. The algorithm for constructing the two barometers is run through again each time. This guarantees the flexibility of the barometer system. When a new barometer value is published, there may be revisions of the previous values, but as a rule, there are no significant changes to the economic signal. Notably, the Barometers were quick to reflect the economic crash triggered by the spread of the Corona virus.

Keywords: Business cycles; composite indicators; leading indicators; coincident indicators; partial least squares; pseudo real-time simulations; Corona virus recessio (search for similar items in EconPapers)
JEL-codes: E32 E37 (search for similar items in EconPapers)
Date: 2020
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