New Indicators for Tracking Growth in Real Time

Author/Editor:

Troy D Matheson

Publication Date:

February 1, 2011

Electronic Access:

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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.

Series:

Working Paper No. 2011/043

Subject:

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

English

Publication Date:

February 1, 2011

ISBN/ISSN:

9781455218998/1018-5941

Stock No:

WPIEA2011043

Pages:

22

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