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The Global Economic Barometers: Composite indicators for the world economy

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Abstract

This paper presents a coincident and a leading composite monthly indicator for the world business cycle − the Global Economic Barometers. Both target the world’s output growth rate cycle. The calculation of these indicators comprises two main stages. The first consists of a variable selection procedure, in which a pre-set correlation threshold and the targeted leads to a reference series are used as selection criteria. In the second stage, the selected variables are combined and transformed into the respective composite indicators, computed as the first partial least squares factor with the reference series as response variable. In the last vintage referred to in this paper (December 2018), out of 6605 transformations from 1681 variables tested in the first stage, 1275 are selected to enter into the coincident and 1228 into the leading composite indicator. We analyse the characteristics of the two new indicators in a pseudo real-time setting and demonstrate that both are useful additions to the small number of indicators for the global business cycle published so far.

Suggested Citation

  • Klaus Abberger & Michael Graff & Jan-Egbert Sturm & Oliver Müller & Aloisio Campelo Jr & Anna Carolina Lemos Gouveia, 2020. "The Global Economic Barometers: Composite indicators for the world economy," KOF Working papers 20-471, KOF Swiss Economic Institute, ETH Zurich.
    • Handle: RePEc:kof:wpskof:20-471
    DOI: 10.3929/ethz-b-000401651
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    Cited by:

    1. Rafael R. S. Guimaraes, 2022. "Deep Learning Macroeconomics," Papers 2201.13380, arXiv.org.
    2. Xiaodong Xu & Hafiz Syed Mohsin Abbas & Chunxia Sun & Samreen Gillani & Atta Ullah & Muhammad Ahsan Ali Raza, 2021. "Impact of globalization and governance determinants on economic growth: An empirical analysis of Asian economies," Growth and Change, Wiley Blackwell, vol. 52(2), pages 1137-1154, June.
    3. Klaus Abberger & Michael Graff & Oliver Müller & Jan-Egbert Sturm, 2022. "Composite global indicators from survey data: the Global Economic Barometers," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 158(3), pages 917-945, August.
    4. Marcelle Chauvet & Rafael R. S. Guimaraes, 2021. "Transfer Learning for Business Cycle Identification," Working Papers Series 545, Central Bank of Brazil, Research Department.
    5. Klaus Abberger & Michael Graff & Oliver Müller & Jan-Egbert Sturm, 2020. "Die Globalen Konjunkturbarometer," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 14(2), pages 45-61, June.

    More about this item

    Keywords

    Business cycles; growth rate cycles; composite indicators; leading indicators; coincident indicators; partial least squares; real-time simulations;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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