A comparison of monthly global indicators for forecasting growth

Christiane Baumeister and Pierre Guérin
Authors registered in the RePEc Author Service: Pierre Guérin

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This paper evaluates the predictive content of a set of alternative monthly indicators of global economic activity for nowcasting and forecasting quarterly world GDP using mixed-frequency models. We find that a recently proposed indicator that covers multiple dimensions of the global economy consistently produces substantial improvements in forecast accuracy, while other monthly measures have more mixed success. This global economic conditions indicator contains valuable information also for assessing the current and future state of the economy for a set of individual countries and groups of countries. We use this indicator to track the evolution of the nowcasts for the US, the OECD area, and the world economy during the coronavirus pandemic and quantify the main factors driving the nowcasts.

Keywords: MIDAS models; global economic conditions; world GDP growth; nowcasting; forecasting; mixed frequency (search for similar items in EconPapers)
JEL-codes: C22 C52 E37 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2020-10
New Economics Papers: this item is included in nep-ets, nep-for and nep-mac
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Citations: View citations in EconPapers (3)

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https://cama.crawford.anu.edu.au/sites/default/fil ... meister_guerin_0.pdf (application/pdf)

Related works:
Journal Article: A comparison of monthly global indicators for forecasting growth (2021)
Working Paper: A Comparison of Monthly Global Indicators for Forecasting Growth (2020)
Working Paper: A Comparison of Monthly Global Indicators for Forecasting Growth (2020)
Working Paper: A Comparison of Monthly Global Indicators for Forecasting Growth (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2020-93

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