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Le pouvoir de prévision des indices PMI

Author

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  • Claudia Godbout
  • Jocelyn Jacob

Abstract

The forecast of world economic growth plays a key role in the conduct of Canadian monetary policy. In this context, the authors study the usefulness of the monthly Purchasing Managers’ Indexes (PMIs) in predicting short-term real GDP growth in the euro area, Japan, the United Kingdom, and China, as well as in the world economy. The main advantage of the PMIs lies in the timeliness of their releases compared to that of quarterly national accounts data and other related monthly indicators. The authors’ goal is to assess whether PMIs can help predict real GDP growth at the margin of other traditional monthly indicators (on top of the advantage related to their timeliness). To that end, the authors build simple indicator models and verify whether the addition of PMIs improves the in- and out-of-sample predictions. For all economies, PMIs turn out to be significant explanatory variables and to substantially improve the accuracy of predictions.

Suggested Citation

  • Claudia Godbout & Jocelyn Jacob, 2010. "Le pouvoir de prévision des indices PMI," Discussion Papers 10-3, Bank of Canada.
    • Handle: RePEc:bca:bocadp:10-3
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    References listed on IDEAS

    as
    1. Evan F. Koenig, 2002. "Using the Purchasing Managers' Index to assess the economy's strength and the likely direction of monetary policy," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, vol. 1(6).
    2. Brigitte Desroches & Marc-André Gosselin, 2002. "The Usefulness of Consumer Confidence Indexes in the United States," Staff Working Papers 02-22, Bank of Canada.
    3. Yi Zheng & James Rossiter, 2006. "Using Monthly Indicators to Predict Quarterly GDP," Staff Working Papers 06-26, Bank of Canada.
    4. Ethan S. Harris, 1991. "Tracking the economy with the purchasing managers' index," Research Paper 9124, Federal Reserve Bank of New York.
    5. Ethan S. Harris, 1991. "Tracking the economy with the purchasing managers' index," Quarterly Review, Federal Reserve Bank of New York, vol. 16(Aut), pages 61-69.
    6. Matthew Harris & Raymond E. Owens & Pierre-Daniel G. Sarte, 2004. "Using manufacturing surveys to assess economic conditions," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 90(Fall), pages 65-92.
    7. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
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    Citations

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    Cited by:

    1. Maxime Leboeuf & Louis Morel, 2014. "Forecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions," Discussion Papers 14-3, Bank of Canada.
    2. Lombardi, Marco J. & Maier, Philipp, 2011. "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series 1379, European Central Bank.
    3. Keeney, Mary & Kennedy, Bernard & Liebermann, Joelle, 2012. "The value of hard and soft data for short-term forecasting of GDP," Economic Letters 11/EL/12, Central Bank of Ireland.

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    More about this item

    Keywords

    Business fluctuations and cycles; International topics;

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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