New Indicators for Tracking Growth in Real Time

ByTroy D Matheson

February 1, 2011

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

We develop monthly indicators for tracking growth in 32 advanced and emerging-market economies. We test the historical performance of our indicators and find that they do a good job at describing the business cycle. In a recursive out-of-sample forecasting exercise, we find that the indicators generally produce good GDP growth forecasts relative to a range of time series models.

Subject: Business cycles, Economic and financial statistics, Factor models, Global financial crisis of 2008-2009, Vector autoregression

Keywords: real GDP, WP

Pages:
22
Volume:
2011
DOI:
https://doi.org/10.5089/9781455218998.001
Issue:
043
Series:
Working Paper No. 2011/043
Stock No:
WPIEA2011043
ISBN:
9781455218998
ISSN:
1018-5941

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