Dissecting the purchasing managers' index

Boriss Siliverstovs

No 15-376, KOF Working papers from KOF Swiss Economic Institute, ETH Zurich

Abstract: We apply the novel approach of Siliverstovs (2015) to modelling data sampled at different frequencies in order to scrutinise the composition of one of the most influential economic indicators in Switzerland. The Purchasing Managers' Index consists of eight sub-indices out of which only five enter the total index with differentiated weights, which were specified for its American counterpart about thirty years ago. In this paper, we address the question whether the current fixed weighting scheme of the PMI components is supported by the data. We find that the relative weights of the PMI components are generally supported by the data, except the fact that one component, found very informative for explaining GDP growth, is currently omitted from the PMI composition.

Keywords: GDP growth; MIDAS; LASSO; MIDASSO; PMI; Real-time data; Switzerland (search for similar items in EconPapers)
Pages: 15 pages
Date: 2015-03
New Economics Papers: this item is included in nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:kof:wpskof:15-376

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